基于价格粘性的货币政策、股票价格与宏观经济之间动态关系研究

发布时间：2018-05-28 04:01

本文选题：价格粘性 + 货币政策　；参考：《上海大学学报(社会科学版)》2012年03期

【摘要】：在价格粘性下,包含金融资产交易的货币数量模型和货币政策的利率传导渠道均揭示了股票价格先于经济增长和通货膨胀而动的形成机理。基于我国月度统计数据的协整检验表明,在1999年至2010年期间,我国的通货膨胀与经济增长、股票价格、货币政策之间存在着长期协整关系;基于SVAR模型的方差分解表明,股票价格的冲击和广义货币(m2)的冲击是我国通货膨胀波动的主要动因,通货膨胀的冲击对实际经济增长波动的贡献率在20%左右,而货币供给的冲击对股价波动的贡献率明显高于通货膨胀的冲击和实际经济增长的冲击。为提高货币政策的前瞻性和有效性,实现物价稳定和经济的平稳增长,货币政策应该高度关注股票价格波动,并及时对其波动作出适度反应。
[Abstract]:In the case of price stickiness, the monetary quantitative model including financial asset trading and the interest rate transmission channel of monetary policy all reveal the formation mechanism of stock price prior to economic growth and inflation. The cointegration test based on monthly statistical data in China shows that there is a long-term cointegration relationship between inflation and economic growth, stock price and monetary policy between 1999 and 2010. The variance decomposition based on SVAR model shows that there exists a long-term cointegration relationship between inflation and economic growth, stock price and monetary policy. The shock of stock price and broad money are the main causes of inflation fluctuation in China. The contribution rate of inflation shock to the fluctuation of real economic growth is about 20%. The contribution rate of money supply shock to stock price fluctuation is obviously higher than that of inflation and real economic growth. In order to improve the foresight and effectiveness of monetary policy and realize price stability and steady economic growth, monetary policy should pay close attention to the fluctuation of stock price and make a moderate response to the fluctuation in time.
【作者单位】：上海大学经济学院;
【基金】：教育部人文社会科学基金规划项目(09YJA790136) 上海市教委重点项目(10ZS67)
【分类号】：F822.0;F832.51;F124;F224

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