我国证券市场价格与货币供给量互动关系的研究

An Empirical Analysis on the Interactive Relationship between Stock Price and Money Supply in China

文章使用协整检验和因果关系检验的方法研究了中国证券市场价格和货币供应量的关系,以期研究我国货币市场和资本市场直接的相互关系,检验货币供应量这一中间目标在我国中央银行调控证券市场过程中的适用性。实证结果显示我国证券市场价格和M0、M2之间存在着长期稳定的协整关系。证券市场价格可以用货币供应量M0和M2来解释,而证券市场价格变化不是引起货币供应量变化的原因。中央银行可以利用货币供应量和证券市场价格存在的长期稳定的关系,把货币供应量作为调控证券市场的中间目标,灵活调控证券市场。

This paper studies the relationship between the Chinese stock price and money supply by employing the approaches of co-integration regression and test of causality in order to study the direct interrelationship between monetary market and capital market in China and to test the applicability of the intermediate target——money supply——in the process of controlling the stock market by the central government in China. The prices of money supply can be explained by M0 and M2, while the price change in the stock market does not result in the change of money supply. The central government can take advantage of the long and stable relationship between money supply and price in the stock market to flexibly control the stock market by taking money supply as an intermediate target to control the stock market.