次贷危机前后股价波动对货币需求影响的差异性研究

Study of Different Effect on Currency Demand by Stock Price-Before and after Subprime Crisis

货币需求与股价波动存在紧密的联系,并且会因股市状态不同而呈现差异性。本文通过构建向量自回归(VAR)模型,利用脉冲响应函数和方差分解实证分析了次贷危机前后我国股价波动对货币需求影响的差异性。研究表明:从影响方向看,次贷危机前的股价波动与货币需求同向变动,股价上升会导致货币需求增加;而次贷危机后,股价波动与货币需求反向变动,股价上升会减少货币需求量,而下降则使货币需求增加。从影响程度看,次贷危机前后股价波动对货币需求的影响具有不对称性,次贷危机后的反向效果大于危机前的正向影响效果。

Monetary demand is closely related to the stock price, which presents the differences due to different states of the stock market. This article, through constructing Vector Auto-Regressive （VAR） model and applying impulse response function and variance decomposition, empirically analyzes the different affects on currency demand by stock price before and after the subprime crisis in China. The result shows that monetary demand changes coincidentally with stock price in direction before the subprime crisis, rising prices leading to increased demand for money, and contrast after the subprime crisis, ris- ing price falling backward demand for money. In degree of effect, the impact of stock price on monetary demand has an asym- metry, the negative effect after the crisis stranger than pre-crisis positive effect.