货币供应量对我国股票市场影响的实证研究

本文将货币供应量与沪深股指作为代表变量纳入货币金融系统内进行分析,旨在借鉴较为成熟的金融计量方法实证分析货币供应量对于股票价格指数的互动情况,建立适当的VAR模型以及利用VAR模型进行分析,同时对数据进行乔纳森检验(Johansen检验)和格兰杰(Granger)因果检验,并在此基础上分析货币供应量作为货币政策中介工具作用于股票市场的可控性和可测性,从而研究货币供应量与股票价格指数之间的相关关系,得出货币供应量对于股票市场的一般影响机制,指出我国货币政策的缺陷和存在的问题,提出相应的应对策略与建议。

A Positive Analysis of the Impact of Money Supply on China Stock Market

In this thesis,money supply and Shanghai and Shenzhen stock price index are used as representative variables of the monetary and financial system,financial measures such as ADF unit root test,Johansen cointegration test,vector autoregressive（VAR） and Vector Error Correction Model（VECM） are applied to study the interrelationship between money supply and stock price index,the measurability and testability of all levels of money supply which can be regard as controllable intermediary instruments of monetary policy were analyzed to get the integrated effects of impact.The research combined theory with practice in this thesis to study the relevant theoretical system,interaction in short and long-term,causality and mutual influence ability.The results of positive analysis and the economic significance are summarized in the last part,then the trend of future policy as well as the possible impact on the stock market and specific proposals are put forward.