货币供应量与资产价格交互影响的实证研究——基于频域格兰杰因果关系检验

An Empirical Study of the Interaction between Money Supply and Asset Price Based on Granger Causality Test in Frequency Domain

文章选取我国2000年1月-2014年12月的货币供应量、股票价格和房地产价格的月度数据,利用频域格兰杰因果关系检验方法分析了各层次货币供应量与资产中具有代表性的股票价格和房地产价格之间的交互影响,发现不同层次的货币供给量在不同的频段对股票价格和房地产价格的波动具有不同预测作用,同时股票价格和房地产价格会在不同频段影响货币发行量。本研究旨在为货币政策的制定提供一定的参考意见。

On the basis of the methodology of Granger causality test in the frequency domain and the monthly data of money supply, stock price and real estate price in China from January, 2000 to De- cember, 2014, this paper analyzes the interaction between the different levels of money supply and the stock price and real estate price, which are representatives of the assets. The result shows that differ- ent levels of money growth have different effects on the fluctuation of stock price and real estate price in different frequency bands, at the same time, the stock price and real estate price also affect the money growth in different frequency bands. The study can provide a reference for the formulation of monetary policy.