CAJ | 학술논문

本文运用格兰杰因果关系检验和向量自回归方法分析了1997年1月至2011年6月我国股票价格、GDP、通货膨胀率和货币政策的关系，实证结果表明，在中国，股票价格对通货膨胀的效应为正向，即股市上涨能带动通货膨胀水平的上涨。股票市场对GDP的影响短期内主要表现为替代效应，长期来看，则是财富效应和投资效应占主导；同时，货币供应量和利率对股票价格均有影响，但影响均不显著。通过格兰杰因果关系检验发现，利率变动导致货币供应量和股票价格发生变化。而货币供应量的变化影响着通货膨胀，也一定程度影响利率和股票价格。通过广义脉冲响应发现，中国人民银行紧缩性的利率政策并不能抑制股票价格上涨。增加货币供给短期内能够推动股市上涨，但长期对股市仍没有效果。
본문운용격란걸인과관계검험화향량자회귀방법분석료1997년1월지2011년6월아국고표개격、GDP、통화팽창솔화화폐정책적관계，실증결과표명，재중국，고표개격대통화팽창적효응위정향，즉고시상창능대동통화팽창수평적상창。고표시장대GDP적영향단기내주요표현위체대효응，장기래간，칙시재부효응화투자효응점주도；동시，화폐공응량화리솔대고표개격균유영향，단영향균불현저。통과격란걸인과관계검험발현，리솔변동도치화폐공응량화고표개격발생변화。이화폐공응량적변화영향착통화팽창，야일정정도영향리솔화고표개격。통과엄의맥충향응발현，중국인민은행긴축성적리솔정책병불능억제고표개격상창。증가화폐공급단기내능구추동고시상창，단장기대고시잉몰유효과。
Using the Granger causality test and the VAR to analyze the relationship among China stock price, GDP,the inflation rate and the monetary policy from January of 1997 to June of 2011 ,we concluded that,in China, the substitution effect dominates impact of stock market on economy in the short run, whereas, the fortune effect and investment effect dominated in the long run. The change of stock price also influences inflation positively. Both of the money supply and interest have insignificant effect on stock market, the Granger causality test dictates that, the interest rate influences the money supply and stock price. The change of money supply affects inflation rate,interest rate and stock price. The generalized impulse response functions show that,the central bank＇ s tight interest rate policy can＇ t restrain stock prices. Increasing the money supply in the short term can promote the stock market prices,but in the long - term stock market can＇t be affected by money supply.