货币流动性对中国资产市场的冲击效应研究——来自1997—2010年的经验证据  

Research on the Shock Effect of Monetary Liquidity on Asset Market in China

作　　者：刘刚[1] 尹涛[1] 

机构地区：[1]广东商学院金融学院,广东广州510320

出　　处：《经济与管理》2011年第9期58-63,共6页Economy and Management

基　　金：国家自然科学基金项目(71073031);国家社会科学基金青年项目(11CGJ009);教育部人文社科基金一般项目(10YJA790079);广东省哲学社会科学规划青年项目(GD10YYJ07);广东高校优秀青年创新人才培养计划项目(WYM08018)

摘　　要：金融危机后,中国实施了积极的财政政策和适度宽松的货币政策,虽然经济实现了快速复苏,但资产价格上涨的压力也再度显现。实证研究结果表明,货币流动性与我国资产价格之间存在单向的格兰杰因果关系,脉冲响应函数结果也显示,流动性过剩后一般会出现资产价格上涨,尤以房地产市场和股票市场的脉冲响应较为明显,债券市场的脉冲响应相对不太显著。Chinese government implements progressive fiscal policy and moderate ease monetary policy after global financial crisis, which greatly facilitates economic recovery, but the pressure for the asset price rise appears again. The empirical study shows that there is a one-way Granger cause and effect relationship between monetary liquidity and asset prices. Meanwhile, the result of impulse response function also shows that liquidity excess is often accompanied by a long-term rise of asset prices, especiaUy, real estate market and share market responds greatly, it is relatively not so obvious for the response of bond market.

关 键 词：货币流动性 资产市场 冲击效应 

分 类 号：F832.51[经济管理—金融学]