摘要
货币政策是影响股票价格的重要因素之一。本文采用向量自回归模型,通过Johanson协整检验、Granger因果检验、脉冲响应函数和方差分解等计量经济学手段,研究了狭义货币供应量M1对我国股票价格的影响。研究结果表明,货币供应量对股票价格的影响不显著。
Monetary policy is a potential factor influencing stock prices. Using the Vector Autoregression model, through Granger causality tests, Impulse response function and Variance decomposition, we study the impact of money supply on the stock prices. The results show that the impact of the money supply on the stock prices is not significant.
出处
《投资研究》
北大核心
2012年第3期25-34,共10页
Review of Investment Studies
