我国股票市场对货币需求影响的实证研究

发布时间：2018-01-09 09:33

本文关键词：我国股票市场对货币需求影响的实证研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文研究股票市场对货币需求的影响,采用1994年1季度至2011年3季度为样本,运用“一般到特殊”的方法建立了自回归分布滞后模型(ADL),并由此推导出误差修正模型(ECM),在此基础上分析了我国货币需求函数的长期均衡状态和短期动态行为。本文的结论表明：从长期来看,我国股票市场对货币需求存在显著负的影响,即股票市场对货币需求的替代效应大于财富效应、资产组合效应以及交易效应三者之和；股票的预期收益率每增加1个百分点,实际长期货币需求将增加0.111%。因此,中央银行在制定货币政策时不仅要考虑实体经济的货币需求,还要关注股票市场对货币需求的影响,货币政策的制定应当将资产价格纳入其关注范围。
[Abstract]:This paper studies the influence of stock market on money demand, using the sample from the first quarter of 1994 to the third quarter of 2011, and using the method of "general to special" to establish an autoregressive distributed lag model (ADL). The error correction model (ECM) is derived, and the long-term equilibrium state and short-term dynamic behavior of the money demand function in China are analyzed. The conclusion of this paper shows that in the long run, the stock market has a significant negative effect on the demand for money, that is, the substitution effect of the stock market on the demand for money is greater than the effect of wealth. The sum of portfolio effect and transaction effect; For every 1 percentage point increase in the expected return on stocks, the real long-term monetary demand will increase by 0.111%. Therefore, the central bank should not only consider the monetary needs of the real economy when formulating monetary policy. We should also pay attention to the influence of stock market on money demand, and monetary policy should include asset price in its scope of concern.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822;F224

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