货币流动性对我国资产市场的冲击效应研究——来自1997—2010年的经验证据

Research on the Shock Effect of Monetary Liquidity on Asset Market in China——Based on an empirical test from 1997 to 2010

金融危机后我国实施了较为积极的财政政策和适度宽松的货币政策,经济快速复苏,但资产价格上涨的压力也再度显现。实证研究结果表明,货币流动性与我国资产价格之间存在单向的格兰杰因果关系,而脉冲响应函数结果也显示,流动性过剩出现后将伴随着长期的资产价格上涨,尤以房地产市场和股票市场的脉冲响应较为明显,债券市场的脉冲响应则相对不太显著。

Chinese government implements positive fiscal policy and moderate ease monetary policy after global financial crisis,which greatly facilitates economic recovery,but the pressure on the rise of asset price appears again.The empirical study shows that there is an one-way Granger cause and effect relationship between monetary liqudity and asset prices.Meanwhile,the result of impulse response function also shows that liqudity excess is often accompanied by a long-term rise of asset prices,especially,real estate market and share market reponds greatly,it is,relatively,not so obvious for the response of bond market.