我国货币供应量与上证综指关系的实证研究  

Empirical Study on Relationship between Chinese Money Supply and Shanghai Composite Index

作　　者：邓玛 姜翔程[1] 

机构地区：[1]河海大学商学院,南京211100

出　　处：《世界科技研究与发展》2015年第6期746-752,共7页World Sci-Tech R&D

基　　金：教育部人文社科规划基金(10YJA790080)资助

摘　　要：通过研究货币政策与股票价格的相互影响机制,获取2001年1月到2013年10月货币供应量和上证综合指数数据,建立VAR模型对货币供应量和股票价格的相互关系进行了实证分析,认为不同层次的货币供应量变化均不能对上证指数的走势产生影响,货币政策的调控作用失效;其次股票价格变化仅对狭义货币供应量具有显著的影响,对广义货币供应量没有影响,货币供应量和上证股指两者的稳定均衡关系并不是相互的。The mutual influence mechanism of monetary policy and stock price is studied in the article. Data about the money supply and the Shanghai composite index from January 2001 to October 2013 are got and the VAR model on the relationship between money supply and stock price is established in order to empirical analysis. The money supply changes of different levels does not have a strong impact on the Shanghai composite index is firstly confirmed. This is a fact that the regulation function of monetary policy was invalid; Secondly the article also thinks stock price changes only having a significant effect to the narrow money supply, and it having no effect on the broad money supply, all of these implies the influence of both the stability of the equilibrium relationship is not mutual.

关 键 词：货币供应量 股票价格 向量自回归模型 实证研究 上证指数 方差分解 脉冲响应函数 

分 类 号：F822.2[经济管理—财政学] F832.51