货币政策与资产价格的关系研究——基于通货膨胀与股票市场.PDFVIP

数量经济研究 The Journal of Quantitative Economics 第5 卷 第2 辑 VoL. 5. No.1 2014 年9 月 September 2014 货币政策与资产价格的关系研究 ——基于通货膨胀与股票市场流动性的实证检验 庞晓波 钱锟 （吉林大学数量经济研究中心，吉林长春，130012） 摘要：本文基于货币交易搜寻理论，根据 JACQUET （2012 ）模型构建方法，建立货币政策与资产价格的联 系。居民以所持有的资产交换商品的过程中，如果货币的实际购买力不足，就会使其他金融资产产生流动 性进而导致资产价格上涨。宽松的货币政策往往使通货膨胀压力增大，致使居民改变其所持有的资产组合。 本文基于MSI(3)-VAR(3)模型对我国2000 年1 月至2013 年12 月的月度数据进行实证检验，结果表明，在 根据通货膨胀分为的3 个区制中，样本期间有77.68%的时间处于低通胀、低通胀波动，此时股票市场流动 性较低；处于中度通胀、高通胀波动的时间有16.99%，只在这一区制中股票市场流动性较高；仅有5.33% 的时间处于高通胀、低通胀波动，此时股票市场流动性较低。在通胀处于适中和较高的时期，通货膨胀冲 击对股票市场流动性的影响更加明显。 关键词：通货膨胀 股票市场流动性 货币政策 The Empirical Research of the Relevance of Monetary Policy and Asset Price within the Framework of Monetary Search Theory Abstract: According to the model Jacquet (2012) building ,we establish the relationship between monetary policy and asset prices based on the theory of monetary search theory. This paper studies the relationship between inflation and asset liquidity directly, and tests the micro channel of monetary policy and asset prices indirectly at the same time. In particular, we use the MSI(3)-VAR(2) model for empirical testing based on the Shanghai composite index monthly data from January 2000 and December 2013 in our country. The results show that there are three zones named low inflation, moderate inflation and high inflation according to the level of inflation. Particularly, there are 73.04% of the sample be in the low inflation, and low stock market liquidity status, and 22.08% be in the moderate inflation, high stock market liquidity status. moreover, th