中国的股票价格波动及货币政策反应

本文在阐述中国的股票价格波动情况及成因的基础上，分析中国股票价格的信息功能，并对中国的股票价格与各层次货币供应量进行协整和Granger因果检验。结果表明，从总体上看，中国的股票价格在1995年之后，具备一定的信息功能；股票价格与各层次货币供应量之间存在协整、因果关系。由此，货币当局应对股票价格波动做出反应。文章以前瞻性利率规则为基础，运用IS—PC—AP模型，采用GMM法估计出中国包含股票价格因素的货币政策反应函数。

Stock Price Fluctuations and Monetary Policy Reactions in China

Based on the analysis on the stock price fluctuations and the reasons in China, this article shows the information roles of stock prices. And it makes the cointegration and Granger causality tests between stock prices and money supplies of different levels in China. The results shows after 1995, in generally, the stock prices play the information roles in China; there are cointegration and causality relationships between stock prices and money supplies of different levels. Therefore, monetary authority should make reactions to stock price fluctuations. Based on the forward- looking interest rule, using IS - PC - AP model and GMM, it estimates Chinese monetary policy function considering stock prices.