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本文采用单位根检验、协整检验、向量自回归模型和格兰杰因果关系检验的方法分析了货币供应量和股票价格之间的相互关系,进而检验货币供给量这一中介指标在宏观调控证券市场的适用性。实证结果显示,股票价格和狭义货币M1、广义货币M2之间存在长期的协整关系。M2的变动会引起证券价格的变动,股票价格的变动会引起M1、M2的变动。但从货币供应量的不同层次对股票价格影响程度来看,M2对股市价格的影响较大,M1和M0的影响则非常小。因此,货币当局在制定货币政策时要考虑货币供应量尤其是M2层次的货币对证券市场的影响,并积极引导货币资金投向实体经济。
In this paper, the unit root test, cointegration test, vector regression model and Granger causality test method to analyze the relationship between the money supply and stock prices, and then test the money supply the intermediary indicators in the macro-control securities Market applicability. The empirical results show that there is a long-term cointegration relationship between the stock price and the narrow money M1 and the broad money M2. M2 changes will cause the securities price changes, changes in stock prices will cause M1, M2 changes. However, from the perspective of the impact of different levels of money supply on the stock price, M2 has a greater impact on the stock market price, and the impact of M1 and M0 is very small. Therefore, when setting monetary policy, monetary authorities should consider the impact of money supply, especially the M2-level currency on the securities market, and actively guide the monetary funds to the real economy.