我国货币政策对股票价格泡沫的影响——基于VEC模型的分析  

Impact of China's monetary policy on the bubble of stock prices:an empirical analysis based on VEC model

作　　者：陆歆儿 范晓静[1] LU Xin-er;FAN Xiao-jing(Business School,Shanghai University of Science and Technology,Shanghai 200093,China)

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《科技与管理》2018年第6期97-104,共8页Science-Technology and Management

摘　　要：本文将股票的价格分为基本价格和泡沫价格两部分。选取2008年6月至2017年6月的月度数据,通过构建向量误差修正(VEC)模型实证分析了货币政策对股票这两部分价格的不同影响。脉冲响应分析的结果表明:扩大货币供应量会降低股票的基本价格、推高股票的泡沫价格;增加金融机构贷款余额会增加股票的基础价格、会降低股票的泡沫价格。本文结果对于使用宽松或紧缩货币政策和货币政策工具的选择具有指导意义。This article divides the price of the stock into the basic price and the bubble price. This article selected data from June 2008 to June 2017 to construct a VEC model. Then empirically analyze the different effects of monetary policy on the two parts of the stock price. Impulse response analysis results show: expanding the money supply will reduce the basic price of the stock and increase the bubble price of the stock; Increasing the loan balance of a financial institution will increase the base price of the stock and will reduce the bubble price of the stock. The results of this paper are of guiding significance for the selection of loose or tight monetary policies and monetary policy tools.

关 键 词：货币政策 股票市场 泡沫价格 VEC模型 

分 类 号：F832.5[经济管理—金融学]