银行信贷与股票价格动态关系研究  

A Study of the Dynamic Relationship Between Bank Credit and Stock Price

作　　者：桂荷发[1] 邹朋飞[1] 严武[1] 

机构地区：[1]江西财经大学金融学院

出　　处：《金融论坛》2008年第11期46-52,共7页Finance Forum

基　　金：教育部人文社科2008年度规划基金项目(08JA790059)<金融价格泡沫形成与综合治理研究>的阶段性成果

摘　　要：本文采用五变量VAR模型对我国银行信贷与股票价格之间的动态关系进行实证分析,发现股票价格的上涨会导致银行信贷的扩张,但银行信贷扩张不是股票价格上涨的原因。基于此,本文提出对银行信贷的调控要考虑股票市场的影响。在股票市场繁荣的时候应该通过增加股票供给、丰富投资产品等措施防止股市泡沫的扩大,降低市场对股价升幅的预期,同时密切关注银行信贷资金的流向,防止资金由实体经济大量流向股票市场;而在股票市场萧条的时候,放松银行信贷并不能阻止股票价格下跌,稳定股票市场的关键是增强投资者信心,改善投资者对未来股票价格的预期。This paper empirically analyzes the dynamic relationship between Chinese bank credit and stock price with a 5-variable VAR model. The result shows that the rise of stock price can cause the expansion of bank credit, but the latter is not the reason of the former. Based on this finding, the paper proposes that the supervision department should take the impact of stock market into ac- count in the proeess of controlling bank credit. In detail, during the bull market, the supervision department can increase stock sup- ply and investment products to prevent the expansion of the bubble, and guard bank credit funds against flowing from real economy tO stock market. On the contrary, during the recession period, because loosing bank credit cannot stop stock price falling, the crucial point to stabilize the stock market is strengthening investors＇ confidence and changing their expectation on the stock price.

关 键 词：银行信贷 股票价格 VAR模型 

分 类 号：F832.4[经济管理—金融学] F832.51F224