我国货币政策对股票市场影响的有效性分析

Can China's Monetary Policy Affect the Stock Market Efficiently

采用2002-2010年的月度数据,在VAR模型的基础上研究了货币政策对股票市场的影响。发现股价、货币供应量、利率和物价之间存在长期均衡关系;货币供应量的变化与股价变化同方向,而利率变化与股价变化反方向;货币供应量和利率虽然都能解释股价的变动,但其作用相对于股价本身来说显得微乎其微;货币供应量与股价之间存在双向Granger因果关系,利率与股价之间不存在Granger因果关系。因此得出货币政策难以有效影响股票市场的结论。

This paper analyzes the impact of China＇ s monetary policy on the stock market by using monthly data from 2002 to 2009 on the basis of VAR model. It finds that there is a long - term and harmonious relationship among stock price, money supply, interest rate and prices; money supply and stock price change in the same direction while interest rate and stock price change reversely. Both money supply and interest rate can account for the change of stock price, but their influence is negligible. A two - way Granger causality earl be observed between money supply and stock price rather than between interest rate and stock price. Therefore, the paper argues that monetary policy cannot effectively influence the stock market.