货币供给对股票价格影响机制的时变特征研究

发布时间：2018-01-02 19:21

本文关键词：货币供给对股票价格影响机制的时变特征研究　出处：《价格理论与实践》2017年05期 　论文类型：期刊论文

【摘要】：2017年初以来,M2与股票市场经历了一次回调行情,货币政策作为宏观经济的一种调节手段对股票价格会产生一定影响,但货币供给在不同宏形势下对股票价格影响的长短期效应有所不同。针对不同宏观背景系统的分析货币政策对股票价格调控效应的时变特征,以期更好地执行货币政策,调节资本市场是极具意义的。本文采用TVP-FAVAR模型研究不同宏观经济背景下货币供给对股票价格影响机制的时变特征。结果发现货币供给量增加对股票价格仅具有短期的提振效应,而不存在长期影响。这种短期效应具有显著的非对称性。其中,货币供给增加在股市繁荣时期对股票价格的提振作用明显大于紧缩时期。此外,"新常态"时期下,股票价格能够在极短时间内对货币供给调整做出反应,这说明货币政策有效性已大幅提高。
[Abstract]:Since early 2017, M _ 2 and the stock market have experienced a correction, monetary policy as a macroeconomic adjustment means will have a certain impact on the stock price. However, the effect of money supply on stock price is different in different macro situations. The time-varying characteristics of monetary policy on stock price regulation are analyzed according to different macro background system. In order to better implement monetary policy. It is of great significance to regulate capital market. This paper studies the time-varying characteristics of the mechanism of money supply influencing stock price under different macroeconomic background by using TVP-FAVAR model. The results show that the increase of money supply has a positive effect on stock price. Stock prices have only short-term boost effects. There is no long-term effect. This short-term effect has significant asymmetry. Among them, the increase in the money supply in the stock market boom is significantly stronger than in the period of tightening. During the "new normal" period, stock prices can react to the adjustment of money supply in a very short period of time, which indicates that the effectiveness of monetary policy has been greatly improved.
【作者单位】：吉林大学数量经济研究中心;
【基金】：国家社会科学基金重大项目:引领经济发展新常态的市场基础、体制机制和发展方式研究(15ZDC008)
【分类号】：F822;F832.51
【正文快照】： 协调“稳增长与防风险”的双重目标,成为当前时期经济金融工作的重点。2017年中央经济工作会议强调:“货币政策要保持稳健中性,努力畅通货币政策传导渠道和机制,维护流动性基本稳定。”而股票市场作为金融市场的重要组成部分,其稳定发展是维护我国金融稳定、防范金融风险的重

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