基于VECM模型对M2、CPI、房价指数和上证综指动态关系的研究

发布时间：2018-03-25 14:04

本文选题：VECM模型　切入点：CPI　出处：《复旦大学》2013年硕士论文

【摘要】：近年来我国的广义货币供应量M2一直以高于GDP的速度增长,截止2013年2月28日,广义货币M2余额99.86万亿元,目前已破百万亿元人民币。与此同时,我们看到的是我国房地产价格的持续攀升、居民消费价格水平的逐步走高以及股市的剧烈波动。与国际水平相比较,我们明显发现目前中国的M2/GDP是全世界最高的,因此我们认为中国的房地产价格和居民消费价格存在一定的“货币现象”,中国的货币存在着严重的超发现象。考虑到目前拉动中国经济三驾马车之一的内需持续不振以及高企的房价,我们有理由认为高企的房价一定程度上抑制了消费,也就是说在中国房地产仍然存在着强烈的刚性需求,且购房支出在居民收入中的占比较大,人们需要在基本消费和购房消费两者中做出一定的选择。我们还观察到作为货币流向之一的中国股市,其涨跌与货币供应量关联度较小,因此有必要探究股市在广义货币供应量不断增长背景下的自身波动特点。本文选取2005年7月至2013年2月的月度数据,基于VECM模型,对货币供应量M2、居民消费价格指数CPI、70个大中城市新建住宅价格指数和上证综合指数进行VECM估计、脉冲响应和方差分解。我们发现上述四个变量之间存在长期稳定的均衡状态,货币供应量长期偏离均衡状态,居民消费价格指数和房地产价格确实存在一定的“货币现象”,而股市不存在“货币现象”。另外我们发现,房地产兼具刚性消费属性和投资属性,因此与居民基本消费品和股市投资之间均存在着替代关系,其价格波动成为影响后两者价格波动的重要影响因素。而股市存在过度调整现象,且股市对其他三个变量的影响并不显著,说明股市赚钱效应较低,其剧烈的波动已经使得资金降低对其投资兴趣。根据我们发现的现象和原因,我们针对性地提出了相应的政策建议。
[Abstract]:In recent years, the M2 of broad money supply in China has been increasing at a rate higher than that of GDP. As of February 28, 2013, the balance of M2 in broad money has reached 99.86 trillion yuan, which has now exceeded 100 trillion yuan. At the same time, What we see is the rising of real estate price, the rising of consumer price and the sharp fluctuation of stock market. Compared with the international level, we clearly find that China's current M2/GDP is the highest in the world. Therefore, we believe that there is a "monetary phenomenon" in real estate prices and consumer prices in China, and that there is a serious phenomenon of superdiscovery in Chinese currency. Given that domestic demand, one of the three main drivers of the Chinese economy, continues to be depressed and high house prices are high, we have reason to believe that high housing prices have to some extent dampened consumption. In other words, there is still a strong rigid demand for real estate in China, and the expenditure on housing purchase is relatively large in the income of residents, people need to make a certain choice between the basic consumption and the consumption of housing. We also observe that Chinese stock market, as one of the money flows, has less correlation with the money supply, so it is necessary to explore the fluctuation characteristics of the stock market in the context of the growing broad money supply. Based on the monthly data from July 2005 to February 2013, based on the VECM model, this paper estimates the money supply M2, the consumer price index (CPI), the newly built housing price index of 70 large and medium-sized cities and the composite index of Shanghai Stock Exchange. Pulse response and variance decomposition. We find that there is a long-term stable equilibrium state between the four variables, and the money supply deviates from the equilibrium state for a long time. The consumer price index and the real estate price of residents do exist certain "monetary phenomena", while the stock market does not have "monetary phenomena." in addition, we find that real estate has both rigid consumption and investment attributes. Therefore, there is a substitute relationship with the basic consumer goods and stock market investment, and the price fluctuation becomes an important factor affecting the latter two price fluctuations, while the stock market has the phenomenon of excessive adjustment. And the impact of the stock market on the other three variables is not significant, indicating that the stock market has a low profit effect, and its violent fluctuations have led to a decrease in the interest of funds in its investment. According to the phenomena and reasons we have found, We have put forward the corresponding policy suggestion pertinently.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F726;F299.23;F822.2;F832.51

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