| 货币供给量与证券市场价格关系的再研究 |
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| 引用本文： | 陈学胜,周爱民.货币供给量与证券市场价格关系的再研究[J].海南金融,2011(10):18-21. |
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| 作者姓名： | 陈学胜 周爱民 |
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| 作者单位： | 1. 山东大学威海分校商学院,山东威海,264209
2. 南开大学经济学院,天津,300071 |
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| 基金项目： | 国家社科基金资助项目(05BJL027)支持 |
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| 摘 要： | 本文利用最小二乘法将货币供给分成预期和非预期两部分,估计货币供给和股票价格变动率的两变量向量自回归(VAR)模型,在VAR模型架构下以Granger因果关系检验和预测误差变异数分解讨论货币供给和股票价格变动率的因果关系和相对外生性.股票市场波动是货币供给M0、M1的Granger原因.只有预期外的货币供给M0的变动是我...
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| 关 键 词： | 货币供给 资本市场 利率 向量自回归模型 |
Research on the Relationship between Money supply and Stock Prices |
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| CHEN Xue-sheng,ZHOU Ai-min.Research on the Relationship between Money supply and Stock Prices[J].Hainan Finance,2011(10):18-21. |
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| Authors: | CHEN Xue-sheng ZHOU Ai-min |
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| Institution: | CHEN Xue-sheng1,ZHOU Ai-min2(1.Business School Shangdong University at Weihai,Weihai 264209,China,2.The School of Economics Nankai University,Tianjin 300071,China) |
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| Abstract: | This paper studied the relationship between money supply and stock prices again.First,the actual money supply is decomposed into the expected component and unexpected component by using the two-stage least squares method.Then,the bivariate vector autoregressive(VAR) model is estimated and the Granger-causality test and forecast error variance decomposition are conducted in the context of the VAR model. |
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| Keywords: | Money supply Capital market Interest rate VAR model |
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