货币政策是否影响股票市场:基于中国股市的实证分析

货币政策是否影响股票市场，对该问题的回答涉及到中央银行是否有能力以及如何干预股票市场。本文运用协整检验、Granger因果关系检验、向量自回归模型等计量方法分析得出如下结论：1．货币供应量M1、M2与股市流通市值存在双向因果关系，名义利率Nr、实际利率Rr是股市流通市值Nc的Granger原因；2．中央银行可以通过货币供应量和利率两种方式影响股票市场，其中利率更有效。这些结论对于货币当局调控股票市场具有重要的借鉴意义。

Whether the Monetary Policy Influences the Stock Market: A Demonstration on Chinese Stock Market

It is related to whether and how the central bank has the capacity to intervene the stock market when answering the question that if the monetary policy influences the stock market. By such approach as co-integration test, Granger causality test, vector autoregressive model, the paper gives such conclusions: 1. the money supply (M1 M2) has a bilateral causality with the Negotiable Capitalization of the stock market, but the nominal and real interest rate(Nr Rr) is a Granger causality of the Negotiable Capitalization of the stock market; 2. the central bank may influence the stock market by money supply and interest rate, but the later is more efficient. The conclusions may give an important clue when the monetary authority dominates the stock market.