摘要
在威廉斯估价模型和货币内生性理论框架内,通过理论分析可以看出,股票价格变化会对货币供给变化产生一定冲击,同时,货币供给变化也会对股票价格变化产生一定影响。但是,通过选取中国金融市场的历史数据进行平稳性检验和协整分析,并建立VAR模型,用SAS编程对货币供给与股票价格进行格兰杰因果关系检验,运用脉冲响应函数和方差分解对此因果关系及VAR模型的参数进行解释后,得出的结论却与理论分析有所不同:股票价格变化对货币供给变化具有显著的影响,且对各层次货币供给影响程度不同,但货币供给变化对股票价格变化的影响却不显著。因此,管理当局不仅要分析宏观经济对货币的需求,也要关注股票价格变化对货币供给的影响。
In the Williams evaluation model and monetary endogenous theoretical framework, it can be seen from the theoretical analysis that the changes in stock prices will impose some impact on the changes in the money supply, and at the same time, the changes in the money supply will impose some impact on changes in stock prices as well. However, after making a stationarity test and co-integration analysis by selecting the historic data of Chinese financial market, establishing the VAR model, testing the Granger causality of stock prices and money supply by SAS program, and explaining the causal relationship and the parameters of the VAR model by impulse response functions and variance decompositions, we have arrived at a conclusion different from the theoretical one. Ours is that the changes in stock prices have a significant impact on the changes in money supply, and the impacts on all levels of money supply are varying, but the impact of the changes in money supply on the changes in stock prices is not significant. After stafionarity testing and cointegration analyzing, the VAR model is established by selecting the experience of China＇s financial market data, then testing the Granger causality of stock prices and money supply by SAS program, and explaining the causal relationship and the parameters of the VAR model by impulse response functions and variance decompositions, however, the empirical conclusions are different from the theoretical conclusions that the changes in stock prices have a significant impact on the changes in money supply, and the impacts on all levels of money supply are varying, but the impact of the changes in money partments supply on the changes in stock prices is not significant. As a result, we suggest that Chinese government deconcerned should not only analyze the money demand of macro-economy, but also pay attention to the impact of the changes in stock prices on money supply.
出处
《西安交通大学学报（社会科学版）》
CSSCI
北大核心
2010年第1期10-18,共9页
Journal of Xi'an Jiaotong University：Social Sciences
基金
教育部人文社会科学研究青年基金项目(09XJC790011)
