摘要
本文以中国1999年7月至2012年6月的数据为基础,对货币供应量、实际利率、股票价格之间的相互作用机制进行了研究,进而论证了货币政策在股票市场中传导的有效性。协整检验表明,三者之间存在长期均衡关系。通过建立向量误差修正(VEC)模型,并对模型参数做Johansen载荷检验,结合Granger因果检验和脉冲响应函数分析,发现利率工具比货币数量工具对股票市场的影响更有效,但效率并不高。总体看来,货币政策在股票市场中传导的效率不高。最后建议央行推进利率市场化等措施,以提高传导效率。
This paper studies the relationship between stock price, money supply and real interest rate with the monthly data from 1999.07 to 2012.06 in China, and investigates monetary policy＇s transmission efficiency in the stock market. We find the three variables can reach a long-term equilibrium by co-integration tests. Through developing a VEC model and using Johansen load test, Granger causality test, and impulse response function analysis on the related model, we studies the adjustment mechanism of these variables and find out the interest rate policy instrument is more efficient to affect share prices than money supply quantities. In conclusion, the monetary policy＇ s transmission in the stock market is not efficient. Finally, we suggest the People＇ s Bank of China advances market-oriented interest rate reform to improve the transmission efficiency.
出处
《金融监管研究》
2013年第5期61-79,共19页
Financial Regulation Research
基金
国家自然科学基金青年科学基金项目"基于逻辑平滑转移的非线性非对称政策反应规则的不确定性检验:对中国货币政策的应用"(71003016)的阶段性成果
