| 货币供应量对股市影响的实证分析 |
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| 引用本文： | 沈冰,廖杰,马哲光.货币供应量对股市影响的实证分析[J].东北师大学报(哲学社会科学版),2012(4):25-30. |
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| 作者姓名： | 沈冰 廖杰 马哲光 |
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| 作者单位： | 西南大学经济管理学院 |
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| 基金项目： | 国家社会科学基金项目(10BJY060) |
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| 摘 要： | 笔者利用我国货币供应量和股票价格指数的相关数据,通过构建VAR模型,分别对牛市和熊市两种行情下货币供应量对股票价格指数的影响进行实证分析。研究表明:两种行情下,货币供应量与股票价格指数均存在长期均衡关系,在牛市行情下,货币供应量对股票价格指数的上涨具有积极的促进作用,而在熊市行情下,货币供应量对股票价格指数影响不大。
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| 关 键 词： | 货币供应量 股票市场 VAR模型 脉冲响应 方差分解 |
Empirical Research on the Influence of Monetary Supply to the Stock Price Index |
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| SHEN Bing,LIAO Jie,MA Zhe-guang.Empirical Research on the Influence of Monetary Supply to the Stock Price Index[J].Journal of Northeast Normal University(Social Science),2012(4):25-30. |
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| Authors: | SHEN Bing LIAO Jie MA Zhe-guang |
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| Institution: | (College of Economics and Management,Southwest University,Chongqing 400715,China) |
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| Abstract: | Based on the research of monetary supply and stock price index data,the paper aims to discuss the influence of monetary supply to the stock price index by using the VAR model,and the different situations in bull market and bear market has been distinguished.The research shows that there is a stationary relationship between monetary supply and stock price index in two kinds of market,in the bull market,an increasing monetary supply has helped to raise the stock price index,but in a bear market,the monetary supply has little effect on stock price index. |
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| Keywords: | Monetary Supply Stock Market VAR Model Impulse Response Variance Decomposition |
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