我国股票价格对货币市场利率的影响研究

金融市场调控需要强化资本市场与货币市场之间的联动。以我国货币市场短期银行间同业拆借利率为例，运用面板数据模型与格兰杰因果关系检验方法实证研究股票价格对货币市场利率的影响。研究表明：短期银行间同业拆借利率对“上证”和“深证”A股与B股股票价格指数的反应系数不一样；“上证”B股、“深证”A股和B股股票价格指数部分是短期银行间同业拆借利率的格兰杰原因，而“上证”A股股票价格指数均不是短期银行间同业拆借利率的格兰杰原因。因此，在利率市场化背景下，为防范股票价格波动引起的货币市场利率风险，应重点关注“上证”B股、“深证”A股和B股股票市场的稳定性。

A Study on the Influence of Stock Price on Currency Market Rates in China

In order to regulate financial market, it is needed to strengthen the linkage between capital market and money market. The influence of stock price on currency market rates is empirically studied by the methods of Panel Data model and Granger Causal relationship test with short-term interbank offered rates in China＇ s currency market as the sample. The research indicates that the reaction coefficients of short-term interbank offered rates to stock price index of A-share and B-share in Shanghai and Shenzhen stock Exchange is different. Part of the stock price index of B-share in Shanghai stock Exchange and A-share and B-share in Shenzhen stock Exchange is the Granger cause of short-term interbank offered rates, but all the stock price index of A-share in Shanghai stock Ex- change is not the Granger cause of short-term interbank offered rates. Therefore, in the context of market-oriented in- terest rate close attention should been paid to the stability of stock market of B-share in Shanghai stock Exchange and A-share and B-share in Shenzhen stock Exchange in order to be on guard against the interest rate risk of currency market caused by the fluctuation of stock price.