证券投资基金、资本市场及货币政策传导机制  

Securities Investment Fund,Capital Markets and Conduction Mechanism of Monetary Policy in China

作　　者：黄国平[1] 李捷 程寨华[3] 

机构地区：[1]中国社会科学院金融研究所,北京100028 [2]中国保险行业协会,北京100140 [3]中国电子信息产业集团有限公司,北京100846

出　　处：《管理科学》2016年第3期136-147,共12页Journal of Management Science

基　　金：国家社会科学基金(12&ZD086)~~

摘　　要：从宏观和市场发展层面上,在SVAR分析框架内,结合有向非循环图技术和Granger因果方法,对2006年至2015年中国证券投资基金与M2、M0、SHIBOR、股票、债券以及居民存款之间的联动关系进行分析,研究证券投资基金与股票、债券、居民存款等金融市场和服务之间的因果联系以及证券投资基金发展对货币政策在资本市场的传导机制的影响效果。研究结果表明,股票与证券投资基金存在紧密的因果互动关系,但它们与其他变量之间还没形成有效联动,表明当前中国金融体系发展还不完善,市场还处于分割状态。相对于M0和M2,SHIBOR与金融市场中主要指标变量之间相关性更小,反映了中国以货币供应量作为主要中介目标的现状以及利率还未完全市场化的事实。股票与证券投资基金相互冲击较大,但与其他变量的互动作用较小,说明当前中国金融市场还不成熟,证券投资基金的投资渠道狭窄,扎堆于高风险股票类资本市场,加剧了股票市场剧烈波动和风险集中。M0、M2和SHIBOR的波动性对基金、债券和股票的冲击较小,同时,它们自身受基金和股票冲击也不大。但债券对M0具有较强冲击作用,说明当前的货币政策与资本市场相互影响较小,货币政策通过资产价格传导渠道影响资本市场的功能尚未发挥。将计入证券投资基金的广义货币M+2作为货币政策的中介目标,对改善货币政策对资本市场监测和调控效果不大,但对减小财政政策对货币政策冲击、提高中国货币政策执行稳定性和独立性有正面作用。尽管从Granger因果关系看,M+2没有提高货币政策与金融市场的互动效果,但从DAG因果关系看,它改善了货币政策与资本市场同期因果互动关系,从而提高了货币政策对资本市场的敏感性。The analyzing framework that consist of structural vector autoregressive （SVAR） model, Granger Causality Test, and technique of directed acyclic graphs （ DAG）, is taken to investigate interacting effects between M2, M0, SHIBOR, stocks, bonds, resident deposits and securities investment funds from macro level and market development. Meanwhile, an exploration on how securities investment funds affect Monetary Policy Conducting Mechanism on capital markets in China is also done. Using monthly data from 2006 to 2015, the positive analysis is taken which is based on securities investment fund, M2, M0, SHIBOR, stocks, bonds, and resident deposits. Causal analysis results show that stocks and securities investment funds are closely related to each other, but are not effectively linked with other variables. And it is proved that current status of China＇s financial market is in segmentation, and the development of financial system is still imperfect. Compared with Mo and M2 , SHIBOR is less correlated with stocks, bonds, resident deposits, and securities investment funds, and it reflects the current situation of China＇s money supply as the main intermediary objective, as well as interest rate is not yet fully market-oriented. Variance Decomposition results show stock has a big impact on securities investment funds, vice versa, and it may indicate that the current Chinese financial market is not mature, and the investment channels of securities investment funds are so narrow that they exacerbate the stock markets＇ volatility and risk concentration. There exists less impact for M0, as well as M2 and SHIBOR, on securities investment funds, bonds and stocks. In addition, there is no impact for securities investment funds and stocks on Mo, M2, and SHIBOR, while bonds have a strong impact on them0. This shows that the transmission channels of monetary policy through asset price have not played a role that affects capital markets. Under the current economic and financial market environment, adding securities inve

关 键 词：证券投资基金 资本市场 货币政策 有向非循环图 结构VAR模型 

分 类 号：F830.2[经济管理—金融学]