股票价格、实体经济与货币政策研究——基于我国1997-2011年的经验证据

本文运用格兰杰因果关系检验和向量自回归方法分析了1997年1月至2011年6月我国股票价格、GDP、通货膨胀率和货币政策的关系,实证结果表明,在中国,股票价格对通货膨胀的效应为正向,即股市上涨能带动通货膨胀水平的上涨。股票市场对GDP的影响短期内主要表现为替代效应,长期来看,则是财富效应和投资效应占主导;同时,货币供应量和利率对股票价格均有影响,但影响均不显著。通过格兰杰因果关系检验发现,利率变动导致货币供应量和股票价格发生变化。而货币供应量的变化影响着通货膨胀,也一定程度影响利率和股票价格。通过广义脉冲响应发现,中国人民银行紧缩性的利率政策并不能抑制股票价格上涨。增加货币供给短期内能够推动股市上涨,但长期对股市仍没有效果。

Empirical Study on the Nexus among Stock Price,Real Economy and Monetary Policy:Based on China’s Data from 1997 to 2011

Using the Granger causality test and the VAR to analyze the relationship among China stock price,GDP,the inflation rate and the monetary policy from January of 1997 to June of 2011,we concluded that,in China,the substitution effect dominates impact of stock market on economy in the short run,whereas,the fortune effect and investment effect dominated in the long run.The change of stock price also influences inflation positively.Both of the money supply and interest have insignificant effect on stock market,the Granger causality test dictates that,the interest rate influences the money supply and stock price.The change of money supply affects inflation rate,interest rate and stock price.The generalized impulse response functions show that,the central bank’s tight interest rate policy can’t restrain stock prices.Increasing the money supply in the short term can promote the stock market prices,but in the long-term stock market can’t be affected by money supply.