基于价格粘性的货币政策、股票价格与宏观经济之间动态关系研究

On the Dynamic Relations among the Sticky-price Monetary Policy,the Stock Price and the Macro Economy

在价格粘性下,包含金融资产交易的货币数量模型和货币政策的利率传导渠道均揭示了股票价格先于经济增长和通货膨胀而动的形成机理。基于我国月度统计数据的协整检验表明,在1999年至2010年期间,我国的通货膨胀与经济增长、股票价格、货币政策之间存在着长期协整关系;基于SVAR模型的方差分解表明,股票价格的冲击和广义货币(m2)的冲击是我国通货膨胀波动的主要动因,通货膨胀的冲击对实际经济增长波动的贡献率在20%左右,而货币供给的冲击对股价波动的贡献率明显高于通货膨胀的冲击和实际经济增长的冲击。为提高货币政策的前瞻性和有效性,实现物价稳定和经济的平稳增长,货币政策应该高度关注股票价格波动,并及时对其波动作出适度反应。

Under the condition of price stickiness,both the money quantity model including financial asset exchange and the interest rate transmission channel in the monetary policy demonstrate the mechanism that the stock price moves prior to the economic growth and inflation.The cointegration test based on the national monthly statistics shows that during 1999 and 2010,there existed a long-term Co-integrated Relation between China＇s inflation and economic growth,the stock price and the monetary policy.The SVAR-model variance decomposition shows that China＇ s inflation fluctuation is mainly caused by the impact of stock price and the impact of broad money（m2）.The inflation shock explains about 20% of the actual economic growth,but the contribution rate of money supply shock on the stock price fluctuation is higher.In order to improve the proactivity and effectiveness of the monetary policy and to maintain the prices and economic growth at a stable level,close attention should be paid to the stock price fluctuation and quick responses should be made in accordance when making the monetary policy.