货币供应量与股票、房地产价格相互影响的实证研究
发布时间：2018-10-26 12:53
【摘要】：近年来我国经济经历了持续高速发展的阶段,而货币供给对资产价格的稳定不言而喻,同时资产价格的波动反过来也能够影响货币市场的均衡。本文在概述国内外已有理论研究成果的基础上,吸收和借鉴有效的实证研究方法,从理论和实证两个方面论述货币供应量、股票价格和房地产价格之间的关系以及相互影响的机理。 本文利用1998年～2011年间的月度数据实证研研会后发现三者之间存在协整关系。并通过格兰杰因果关系检验,证明货币供应量与房地产价格之间互为因果关系,而房地产价格的波动是股票价格波动的一个格兰杰原因。在之后的脉冲响应函数和方差分解的分析中显示：货币供应量的增长短期内能够显著推高房地产价格；另一方面房地产价格对货币供应量的影响也呈正向关系,虽然长期有增大趋势但短期内这种影响关系并不显著。因为股市的吸收作用,股票价格的波动短期内能够显著引起货币供应量的变化,但在长期中两者之间保持稳定；而实证结果表明货币供应量对股价的影响甚微。同时,房地产价格对股票价格的影响显著,且短期内为正向关系,长期中又呈现出负向关系；股票价格对房地产价格的影响为正相关关系,长期中保持稳定。 在本文的最后,针对我国目前现状,结合货币供应量、股票价格以及房地产价格相互关系的研究结果,提出了若干政策建议：1、加强对我国货币供给的控制,保持适度增长水平。2、严格审查房地产信贷资金流向,坚持房价的总体调控政策不动摇。3、鉴于货币供给变化对股票价格变化影响不大,而其主要受自身规律支配,因此政府应当进一步完善资本市场法规和制度体系。4、权衡两个市场互动特征,实施协同调控,防止金融风险的积累和传递。
[Abstract]:In recent years, China's economy has experienced a period of sustained and rapid development, and the stability of money supply to asset prices is self-evident, and the fluctuation of asset prices can also affect the balance of the money market. On the basis of summarizing the existing theoretical research results at home and abroad, this paper absorbs and draws lessons from effective empirical research methods, and discusses the money supply from both theoretical and empirical aspects. The relationship between stock price and real estate price and the mechanism of mutual influence. Based on the monthly data from 1998 to 2011, this paper finds that there is a cointegration relationship between the three. Through Granger causality test, it is proved that money supply and real estate price are causality, and the fluctuation of real estate price is a Granger cause of stock price fluctuation. The analysis of impulse response function and variance decomposition shows that the increase of money supply can significantly push up the real estate price in the short term; On the other hand, the influence of real estate price on money supply is also positive. Because of the absorption of the stock market, the fluctuation of stock price can cause the change of money supply in the short term, but it keeps stable in the long run, but the empirical results show that the money supply has little effect on the stock price. At the same time, the impact of real estate prices on stock prices is significant, and in the short term is a positive relationship, and in the long run there is a negative relationship; the impact of stock prices on real estate prices is a positive correlation, and remains stable in the long run. At the end of this paper, according to the current situation of our country, combined with the research results of the relationship among money supply, stock price and real estate price, some policy suggestions are put forward: 1. Strengthen the control of money supply in our country. Maintain a moderate growth level. 2. Strictly review the flow of real estate credit funds, and adhere to the overall policy of controlling housing prices. 3. Since the change in money supply has little effect on the changes in stock prices, it is mainly governed by its own laws. Therefore, the government should further improve the capital market laws and regulations and institutional system. 4, weigh the characteristics of interaction between the two markets, implement coordinated regulation and control, prevent the accumulation and transmission of financial risks.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.2;F832.51;F293.3;F224
[Abstract]:In recent years, China's economy has experienced a period of sustained and rapid development, and the stability of money supply to asset prices is self-evident, and the fluctuation of asset prices can also affect the balance of the money market. On the basis of summarizing the existing theoretical research results at home and abroad, this paper absorbs and draws lessons from effective empirical research methods, and discusses the money supply from both theoretical and empirical aspects. The relationship between stock price and real estate price and the mechanism of mutual influence. Based on the monthly data from 1998 to 2011, this paper finds that there is a cointegration relationship between the three. Through Granger causality test, it is proved that money supply and real estate price are causality, and the fluctuation of real estate price is a Granger cause of stock price fluctuation. The analysis of impulse response function and variance decomposition shows that the increase of money supply can significantly push up the real estate price in the short term; On the other hand, the influence of real estate price on money supply is also positive. Because of the absorption of the stock market, the fluctuation of stock price can cause the change of money supply in the short term, but it keeps stable in the long run, but the empirical results show that the money supply has little effect on the stock price. At the same time, the impact of real estate prices on stock prices is significant, and in the short term is a positive relationship, and in the long run there is a negative relationship; the impact of stock prices on real estate prices is a positive correlation, and remains stable in the long run. At the end of this paper, according to the current situation of our country, combined with the research results of the relationship among money supply, stock price and real estate price, some policy suggestions are put forward: 1. Strengthen the control of money supply in our country. Maintain a moderate growth level. 2. Strictly review the flow of real estate credit funds, and adhere to the overall policy of controlling housing prices. 3. Since the change in money supply has little effect on the changes in stock prices, it is mainly governed by its own laws. Therefore, the government should further improve the capital market laws and regulations and institutional system. 4, weigh the characteristics of interaction between the two markets, implement coordinated regulation and control, prevent the accumulation and transmission of financial risks.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.2;F832.51;F293.3;F224
【参考文献】
相关期刊论文 前10条
1 冯怡;;基础货币供应量与房地产价格关系的实证研究[J];中国城市经济;2011年20期
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3 张帅;;我国资产价格财富效应的比较研究[J];当代经济;2010年09期
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5 刘q，
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