中国货币供应量与资产价格关系的实证研究

发布时间：2018-03-28 15:45

本文选题：货币供应量　切入点：资产价格　出处：《首都经济贸易大学》2017年硕士论文

【摘要】：由于货币供应量与通货膨胀间具有稳定的关系,因此中央银行可以采取通货膨胀目标制,通过调控货币供应量来维持较低的物价水平,为经济发展提供一个稳定的宏观经济环境,这已经成为经济学界的共识。但是随着20世纪80年代以来资产价格膨胀频频引起金融危机的爆发,资产价格是否应该纳入传统的货币政策目标成为经济学界关注的问题。因为仅仅是一般物价水平的稳定已经不能够保证经济的平稳运行,资产价格的波动同样对社会经济生活产生了举足轻重的影响。自改革开放的近四十年来,高额的货币供应量与温和的通货膨胀并存一直是我国宏观经济运行的典型特征,两者间关系对传统交易方程式的背离也被称为“中国货币之谜”。对于中国货币之谜的解释,目前理论界存在着多种多样的假说。鉴于我国近些年来金融市场及房地产市场迅速发展的现实情况,本文选择其中一种理论——金融资产囤积假说,从理论和实证两个方面对其进行验证。该理论假说承接扩展的货币数量论,两者都将资产市场纳入货币政策分析的框架当中,以此来解释中国货币之谜的现象,并为货币政策在关注通货膨胀的同时是否也要关注资产价格提供依据。本文在相关理论和研究文献综述的基础上,归纳了货币供应量与资产价格之间关系的理论,并在此基础上运用计量方法对货币量与股票价格和房地产价格的相关性进行实证分析。实证结果表明:M2与上证指数、深证指数间均存在长期稳定的均衡关系;M2是房地产价格的格兰杰成因,脉冲响应分析也表明,M2对我国商品房平均销售价格有着显著的正向影响,且正向影响持续时间较长。此外,本文从我国资产市场、信贷市场以及居民持有的金融资产的规模和结构上,进一步证明了金融资产囤积理论,即大量货币供应量流入了以股票市场和房地产市场为代表的资产市场,从而推动资产价格的上升。这在货币需求结构上表现为执行资产职能的货币占比上升,也使得我国多年来持续存在的超额货币供给并没有引起物价水平的大幅上涨。根据以上的理论及实证分析,本文最后也提出了相应的政策建议:货币当局实施货币政策时应关注资产价格;规范资本市场运作;深化金融体制改革。
[Abstract]:Since there is a stable relationship between money supply and inflation, the central bank can adopt the inflation targeting system to maintain a relatively low price level by regulating the money supply. Providing a stable macroeconomic environment for economic development has become a consensus among economists. However, with the frequent outbreak of financial crises caused by asset price inflation since the 1980s, Whether asset prices should be incorporated into the traditional monetary policy objectives has become a concern for economists, because the stability of the general price level can no longer guarantee the smooth operation of the economy. The fluctuation of asset prices has also had a significant impact on social and economic life. Since the reform and opening up nearly 40 years ago, the coexistence of high money supply and moderate inflation has been a typical feature of China's macroeconomic operation. The departure of the relationship from the traditional trading equation is also referred to as the "mystery of Chinese currency". In view of the rapid development of financial market and real estate market in China in recent years, this paper chooses one of the theories-financial asset hoarding hypothesis. The theoretical hypothesis takes on the extended quantitative theory of money, both of which take the asset market into the framework of monetary policy analysis to explain the enigma of Chinese currency. And provides the basis for the monetary policy to pay attention to the inflation as well as the asset price. Based on the relevant theories and literature review, this paper sums up the theory of the relationship between money supply and asset price. On the basis of this, empirical analysis is made on the correlation between currency quantity and stock price and real estate price. The empirical results show that: M2 and Shanghai Stock Exchange Index, There is a long-term stable equilibrium relationship between Shenzhen Stock Exchange Index and M 2 is the Granger cause of real estate price. Impulse response analysis also shows that M 2 has a significant positive effect on the average selling price of commercial housing in China. In addition, this paper further proves the theory of financial asset hoarding from the scale and structure of asset market, credit market and financial assets held by residents in China. That is, a large amount of money supply flows into the asset market, represented by the stock market and the real estate market, thus promoting the rise in asset prices. The excess money supply that has persisted in China for many years has not caused the price level to rise by a large margin. According to the above theoretical and empirical analysis, Finally, the paper puts forward the corresponding policy suggestions: monetary authorities should pay attention to asset prices, standardize the operation of capital market, and deepen the reform of financial system.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.2

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