货币供给、股票价格波动与物价水平的联动关系——基于VAR模型的实证分析

The Linkage Between Money Supply,Stock Volatility and Price Level——An Empirical Analysis Based on VAR Model

物价指数作为宏观经济健康运行的诊断指标之一,与股票市场、货币供给有着系统的联动关系。文章选取我国2007年1月—2021年10月的178期月度数据资料,运用VAR模型对货币供给、股票价格波动和物价水平三者之间的联动关系进行实证分析。研究表明:其一,货币供给、股票价格波动和物价水平之间存在不对称的联动关系;其二,货币供给、股票价格波动、物价水平之间存在长期稳定的均衡关系,当受到外界冲击影响后较难回到初始状态;其三,货币供给增加会冲击股票市场繁荣,也会推动物价水平上升,但这种影响具有时滞性,股票价格波动会反作用于物价水平。今后,政府应进一步加强对货币供给的宏观调控,加强对股票市场的监管和调控,继续实施稳健的货币政策,更好地引导市场投资和消费。

As one of the diagnostic indicators of macroeconomic health operation,the price index has a systematic linkage relationship with stock prices and money supply.This paper uses the 178 monthly data of the national government from January 2007 to October 2021 as the research object of this paper,and empirically analyzes the linkage between money supply,stock fluctuations and price levels with the help of the VAR model.The results of the study found that:(1)there is an asymmetrical linkage relationship between the money supply,stock fluctuations and price levels;(2)there is a long-term stable equilibrium re⁃lationship between the three variables,and it is difficult to return to the original state when affected by external shocks;(3)the in⁃crease in the money supply will impact the prosperity of the stock market,and to a certain extent,it will also promote the price level,but this effect has a time lag,and in turn,the stock fluctuation will react to the price level.In the future,the government should further strengthen the macro-control of money supply,strengthen the supervision and control of the stock market,contin⁃ue to adhere to the prudent monetary policy,and better guide the market investment and consumption.