货币政策变量与股票价格的动态关联性研究

本文利用1998年1月到2007年2月的月度数据,在理论分析货币政策变量与股票价格关系的基础上,通过HP滤波、Granger因果检验,预测方差分解以及时变参数状态空间模型,对我国M1、M2、商业银行贷款利率、银行间同业拆借利率与股票价格之间的动态关联性进行研究.研究结果表明:我国货币政策变量与股价之间存在不完全双向因果关系;股票市场传导渠道存在,但传导效率不高;股票价格对货币政策变量的反馈作用强于正向传导作用;应把股价作为货币政策参考指标进行监测和调控.

Research on the Dynamic Relations between Monetary Variables and Stock Price

On the basis of theoretical analysis of the relationship between monetary variables and stock price,taking the monthly date of 1998.1-2007.2 as sample,with the methods of HP filter,Granger causality test,variance decomposition and state space model,this paper researches on the dynamic relations between M1,M2,commercial banks' lending rate,CHIBOR and the stock price of China,and finally indicates that there are incomplete bidirectional relations between monetary variables and the stock price,the monetary stock price transmission channel is existed while the efficiency is low;the feedback function of stock price to monetary variables is higher than the positive-going function,and stock price should be taken as reference index of monetary policy to be monitored and regulated.