基于价格粘性的股价超调现象的理论分析与检验

发布时间：2018-04-09 18:51

本文选题：价格粘性　切入点：货币数量　出处：《商业经济与管理》2010年11期

【摘要】：文章通过将价格粘性和金融资产价格引入货币数量模型,从理论上论证了在价格粘性下,一次性货币供给的冲击将使金融资产价格处于短期超调状态,而持续性的、同方向的货币供给冲击以及投资者的预期自我实现共同作用,将使金融资产价格在较长时期内处于累积性的超调状态,由此而形成金融资产价格与基本面相背离的"剪刀差"现象。基于我国统计数据的实证检验表明:股价与M1之间存在协整关系和互为因果关系,股价对M1冲击存在1期滞后和先升后降的脉冲响应;股价与M2及股价之间不存在因果关系。
[Abstract]:By introducing price stickiness and financial asset price into the monetary quantity model, the paper theoretically proves that under the price viscosity, the one-off money supply shock will make the financial asset price in the short-term overshoot state, and the financial asset price will be sustained.The combination of the same direction of money supply shock and the self-realization of investors' expectations will cause the financial asset prices to be in a cumulative overshoot for a longer period of time.As a result, financial asset prices deviate from the fundamentals of the "scissors difference" phenomenon.The empirical test based on the statistical data of China shows that there is cointegration and causality between stock price and M1, the impulse response of stock price to M1 shock is lagged first and then descending, and there is no causality between share price and M2 and stock price.
【作者单位】：上海大学经济学院;
【基金】：教育部人文社会科学研究规划基金项目“包含价格粘性与股价波动的货币政策规则研究”(09YJA790136) 上海市教委科研创新重点项目“货币政策、股价及实体经济间的作用机理研究”(10ZS67)
【分类号】：F831.51;F821;F224

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