货币政策传导效应研究：来自股票市场的证据
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摘要
货币政策效应是个复杂且备受关注的问题,内容主要集中在货币政策的有效性、效果及效率三个层面上。大量的理论和实践肯定了“货币政策长期有效”的命题,“货币政策的效果”也多为学术界所肯定,即货币政策的实施在多大程度上能以尽可能低的通货膨胀来获取尽可能高的经济增长。国外文献中没有提到“货币政策效率”这个概念,相关内容融合在对有效性和效果的研究中。国内学者做相关研究,使用货币政策效率这个词的时候其实际研究内涵也还是货币政策效果。
另一方面,以股票市场为主体的资本市场迅速发展,促使着货币政策传导机制发生着巨大变化,股票市场早已成为货币政策的重要传导渠道之一。但是这种功能由于融资主体和融资工具的多样化、市场主体行为的不确定性等因素,使得货币政策传导机制变得更为复杂,表现为对原有传导机制的巨大冲击。
因此当前有必要研究货币政策通过股票市场的传导效应的相关问题,尤其是其效率及效果。现阶段学术界对此方面的研究虽然纷繁众多,但区分并不明确,研究内容也基本都是效果研究。本文通过分析股票市场作为货币政策重要传导渠道的传导过程和方式,对其直接及间接传导效果进行了实证分析,并尝试采用了边限协整检验方法。首先对货币供应量(M0、M1、M2)与股价波动之间的关系进行了实证检验,发现当股市繁荣时,M1对股市的正向影响最为显著、M2次之、M0最小。其次对货币政策通过股市在消费和投资两个方面的传导效果进行了实证分析,发现其对消费和投资均有正向促进作用,相比较而言对消费的刺激作用要更大一些。针对传导效率,本文认为要以改变消费者未来预期为根本,来分析传导中介对货币政策的反映程度以及速度,并且尝试对货币政策短期传导效率进行相关的实证探索。最后通过分析当前上市公司和金融当局的管理实践,对两者分别给出了对策展望。
The outcome of monetary policy is a complicated and has caught much attention, the researches of which are mainly focusing on the validity, effect and efficiency. The proposition that monetary policy is long-standing valid is presented by a lot of theories and practice. And the effect of monetary policy is affirmed by the Academia that what grade of the high economic growth could be brought out by the implement of monetary policy through low inflation. There is no such conception of the efficiency of monetary policy in foreign literature, related content is merged in the research on the validity and effect. Meantime, Chinese scholars are also investigating the effect of monetary policy even if the words of Monetary Policy Efficiency are adopted in their studies.
On the other hand, the capital market with stock market-centered enjoyed fast development and pushed the big changes of the conductive mechanism of monetary policy. The stock market has already become the important conductive channel of monetary policy. However, many factors such as the diversification of financing instruments and uncertainty of market action make the conductive mechanism be more complicated, and have brought great influences to original mechanism.
Consequently, it is necessary to investigate the questions of the conductive outcome of monetary police on stock market, especially focusing on the efficiency and effect. Nowadays there are many scholars doing researches on this field, however, they usually don’t distinguish the efficiency and effect. They basically investigate the effect. This paper adopts the method of Bound Testing to investigate the direct and indirect conductive effect through analyzing the conductive course and manner of the conductive channel of monetary policy on stock market. Firstly, empirical test is adopted to analyze the relationship between money supply (M0, M1, M2) and the change of stock price. The result shows that in prosperity of stock market, M1 has the most significant effect on the stock market than M2, and M0 has little effect on the stock market. Secondly, another empirical test is adopted to analyze the conductive effect of monetary policy on the two fields of consumption and investment in the stock market. The result shows that the monetary policy has significant effect on both of the consumption and investment. And it has more significant effect on consumption than on investment. Concerning the conductive efficiency, the research shows that the conductive degree and speed of the conductive media of monetary policy needs to be on the bases of changing consumers’ anticipation. And this paper tries to take empirical method to do analysis on the short-time conductive efficiency of monetary policy. Lastly, this paper provides the countermeasure expectations both in the managements practice of quoted companies and finance authorities.
另一方面,以股票市场为主体的资本市场迅速发展,促使着货币政策传导机制发生着巨大变化,股票市场早已成为货币政策的重要传导渠道之一。但是这种功能由于融资主体和融资工具的多样化、市场主体行为的不确定性等因素,使得货币政策传导机制变得更为复杂,表现为对原有传导机制的巨大冲击。
因此当前有必要研究货币政策通过股票市场的传导效应的相关问题,尤其是其效率及效果。现阶段学术界对此方面的研究虽然纷繁众多,但区分并不明确,研究内容也基本都是效果研究。本文通过分析股票市场作为货币政策重要传导渠道的传导过程和方式,对其直接及间接传导效果进行了实证分析,并尝试采用了边限协整检验方法。首先对货币供应量(M0、M1、M2)与股价波动之间的关系进行了实证检验,发现当股市繁荣时,M1对股市的正向影响最为显著、M2次之、M0最小。其次对货币政策通过股市在消费和投资两个方面的传导效果进行了实证分析,发现其对消费和投资均有正向促进作用,相比较而言对消费的刺激作用要更大一些。针对传导效率,本文认为要以改变消费者未来预期为根本,来分析传导中介对货币政策的反映程度以及速度,并且尝试对货币政策短期传导效率进行相关的实证探索。最后通过分析当前上市公司和金融当局的管理实践,对两者分别给出了对策展望。
The outcome of monetary policy is a complicated and has caught much attention, the researches of which are mainly focusing on the validity, effect and efficiency. The proposition that monetary policy is long-standing valid is presented by a lot of theories and practice. And the effect of monetary policy is affirmed by the Academia that what grade of the high economic growth could be brought out by the implement of monetary policy through low inflation. There is no such conception of the efficiency of monetary policy in foreign literature, related content is merged in the research on the validity and effect. Meantime, Chinese scholars are also investigating the effect of monetary policy even if the words of Monetary Policy Efficiency are adopted in their studies.
On the other hand, the capital market with stock market-centered enjoyed fast development and pushed the big changes of the conductive mechanism of monetary policy. The stock market has already become the important conductive channel of monetary policy. However, many factors such as the diversification of financing instruments and uncertainty of market action make the conductive mechanism be more complicated, and have brought great influences to original mechanism.
Consequently, it is necessary to investigate the questions of the conductive outcome of monetary police on stock market, especially focusing on the efficiency and effect. Nowadays there are many scholars doing researches on this field, however, they usually don’t distinguish the efficiency and effect. They basically investigate the effect. This paper adopts the method of Bound Testing to investigate the direct and indirect conductive effect through analyzing the conductive course and manner of the conductive channel of monetary policy on stock market. Firstly, empirical test is adopted to analyze the relationship between money supply (M0, M1, M2) and the change of stock price. The result shows that in prosperity of stock market, M1 has the most significant effect on the stock market than M2, and M0 has little effect on the stock market. Secondly, another empirical test is adopted to analyze the conductive effect of monetary policy on the two fields of consumption and investment in the stock market. The result shows that the monetary policy has significant effect on both of the consumption and investment. And it has more significant effect on consumption than on investment. Concerning the conductive efficiency, the research shows that the conductive degree and speed of the conductive media of monetary policy needs to be on the bases of changing consumers’ anticipation. And this paper tries to take empirical method to do analysis on the short-time conductive efficiency of monetary policy. Lastly, this paper provides the countermeasure expectations both in the managements practice of quoted companies and finance authorities.
引文
[1]蒲勇健.建立在行为经济学理论基础上的委托-代理模型:物质效用与动机公平的替代[J].经济学(季刊), 2007,7(1): 297-318.
[2]蒲勇健.植入“公平博弈”的委托—代理模型——来自行为经济学的一个贡献[J].当代财经, 2007,(3): 5-11.
[3]陈迪平.浅谈国家宏观经济政策与股市的关系[J].理论与实践, 2006,(7): 13-15.
[4]刘传哲,何凌云.货币政策效率、效果及有效性辨析.学术论坛, 2006,(6): 104-106.
[5]赵海军.中国经济发展战略——ST中国[M].北京:中国财政经济出版社, 2003.
[6]宋海林,刘澄.中国货币信贷政策理论与实证[M].北京:中国金融出版社, 2003.
[7]赵进文,高辉.中国货币政策行为传导的动态模型检验——1993-2002年的实证分析[J].南开经济研究, 2004,(3): 21-26.
[8]方先明,孙旋.中国货币政策利率传导机制有效性的实证研究[J].当代经济科学, 2005,(4): 48-50.
[9]吴大庆,刘新光.对提高我国货币政策效率的思考[J].武汉金融, 1999,(8): 92-95.
[10]中国人民银行上饶市中心支行课题组.货币政策微观传导机制与政策效率研究:后WTO时期的新现象[J].金融研究, 2003,(1): 112-118.
[11]蔡强.货币政策对股票价格影响的实证分析[M]. 2006,7-8.
[12]彭文平,肖继辉.股市政策与股市波动[J].上海经济研究, 2002,(3): 43-49.
[13]邱崇明.现代西方货币理论与政策[M].清华大学出版社, 2005,50-60.
[14]宋宸刚,谭晓蓉.试论我国股市泡沫的存在对货币政策传递效应的影响[J].经济体制改革, 2001,(2): 138-141.
[15] M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith. Bounds testing approaches to the analysis of level relationships [J]. Journal of applied econometrics, 2001, (16): 289-326.
[16]吕艳.股票市场传导货币政策的财富效应与Q效应分析[J].商业研究, 2005,(317): 20-23.
[17]周宏山,李琪.中国货币需求函数的边限协整检验分析[J].统计与决策, 2007,77-79.
[18]高铁梅.计量经济分析方法与建模[M].清华大学出版社, 2005,127-168.
[19]易丹辉.数据分析与EViews应用[M].中国统计出版社, 2004,143-155.
[20]杨军芳.股权分置改革后的股权结构有效性分析[J].消费导刊,2008,54-55.
[21]王晓芳,高继祖.股市收益与通货膨胀率:中国数据的ARDL边界检验分析[J].统计与决策, 2007,(2): 86-88.
[22]李文军,史静欣.货币政策与股市的互动关系[J].河南金融管理干部学院学报, 2003,(2): 33-36.
[23]刘明,朱虹飞.对中国股票市场货币传导效率的实证分析[J].华东经济管理, 2005,(11): 135-138.
[24]康海媛.股票价格与货币供应量关系的阶段性分析[J].中南民族大学学报, 2007,26(4): 108-112.
[25]张琦,徐璋勇.中国股票市场发展对货币政策冲击效应的实证检验[J].中国社会科学院研究生院学报, 2007,(1): 23-29.
[26]陈鹏.中国股票市场对货币政策传导效率的实证分析[J].金融经济, 128-130.
[27]蒋云飞,程细玉.我国货币政策时效性的协整分析[J].华侨大学学报, 2007,28(1): 101-104.
[28]彭武珍,袁毅贤.中国货币政策的股票市场传导路经分析[J].经济论坛, 8-10.
[29] Franco Modigliani. Monetary Policy and Consumption, in Consumer Spending and Monetary Policy [J]. The Linkages, Boston: Federal Reserve Bank of Boston. 1971.
[30] Mishkin, F. S. Symposium on the Monetary Transmission Mechanism [J]. Journal of Economic Perspectives, 1995, 9(4): 3-10.
[31] Mishkin, F. S. The Transmission Mechanism and the Role of Asset Prices in Monetary Policy [J]. NBER Working Paper, 2001, 8617.
[32] James Tobin. A General Equilibrium Approach to Monetary Theory [J]. Journal of Money, Credit and Banking, 1969, (1): 15-29.
[33] Angela J. The impact of monetary policy on value and growth stocks: an international [J]. Journal of Asset Management, 2002: 142.
[34] Ludvigson and Steindel. How Important is the Stock Market Effect on Consumption [J]. FRBNY Economic Policy Review, 1999: 20-45.
[35] A. Anari and J. Kolar. Stock Prices and Inflation [J]. Journal of Financial Research, 2001: 587-602.
[36] O.M. Al- Khazal. The Generalized Fisher Hypothesis in the Asian markets [J]. Journal of Economic Studies, 2004, 31(2): 144-157.
[37] M. Firth. The Relationship between Stock Market Returns and Rates of inflation [J]. Journal of Finance, 1979, 743-749.
[38] Bahmani-Oskooee, M. stability of M2 Money Demand Function in Industrial Countries [J]. Applied Economics, 2002, 34: 2075-2083.
[39] Kalib, A.M. Modelling money demand in open Economics the Case of Selected Asian Countuies [J]. Applied Economics, 1999, 31: 1129-1135.
[40] Gale, William and Sabelhaus. Perspectives on the Household Saving Rate [M]. Brooking papers on Economic Activity, 1999.
[41] Greenspan (a), Alan. Presentation at Federal Reserve Bank of Kansas City Symposium [J].Opening Remarks, 1999, (27).
[42] J. M. Pterba. Stock Market Wealth and Consumption [J]. Journal of Economic Perspectives, 2000, 14(2): 99-118.
[2]蒲勇健.植入“公平博弈”的委托—代理模型——来自行为经济学的一个贡献[J].当代财经, 2007,(3): 5-11.
[3]陈迪平.浅谈国家宏观经济政策与股市的关系[J].理论与实践, 2006,(7): 13-15.
[4]刘传哲,何凌云.货币政策效率、效果及有效性辨析.学术论坛, 2006,(6): 104-106.
[5]赵海军.中国经济发展战略——ST中国[M].北京:中国财政经济出版社, 2003.
[6]宋海林,刘澄.中国货币信贷政策理论与实证[M].北京:中国金融出版社, 2003.
[7]赵进文,高辉.中国货币政策行为传导的动态模型检验——1993-2002年的实证分析[J].南开经济研究, 2004,(3): 21-26.
[8]方先明,孙旋.中国货币政策利率传导机制有效性的实证研究[J].当代经济科学, 2005,(4): 48-50.
[9]吴大庆,刘新光.对提高我国货币政策效率的思考[J].武汉金融, 1999,(8): 92-95.
[10]中国人民银行上饶市中心支行课题组.货币政策微观传导机制与政策效率研究:后WTO时期的新现象[J].金融研究, 2003,(1): 112-118.
[11]蔡强.货币政策对股票价格影响的实证分析[M]. 2006,7-8.
[12]彭文平,肖继辉.股市政策与股市波动[J].上海经济研究, 2002,(3): 43-49.
[13]邱崇明.现代西方货币理论与政策[M].清华大学出版社, 2005,50-60.
[14]宋宸刚,谭晓蓉.试论我国股市泡沫的存在对货币政策传递效应的影响[J].经济体制改革, 2001,(2): 138-141.
[15] M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith. Bounds testing approaches to the analysis of level relationships [J]. Journal of applied econometrics, 2001, (16): 289-326.
[16]吕艳.股票市场传导货币政策的财富效应与Q效应分析[J].商业研究, 2005,(317): 20-23.
[17]周宏山,李琪.中国货币需求函数的边限协整检验分析[J].统计与决策, 2007,77-79.
[18]高铁梅.计量经济分析方法与建模[M].清华大学出版社, 2005,127-168.
[19]易丹辉.数据分析与EViews应用[M].中国统计出版社, 2004,143-155.
[20]杨军芳.股权分置改革后的股权结构有效性分析[J].消费导刊,2008,54-55.
[21]王晓芳,高继祖.股市收益与通货膨胀率:中国数据的ARDL边界检验分析[J].统计与决策, 2007,(2): 86-88.
[22]李文军,史静欣.货币政策与股市的互动关系[J].河南金融管理干部学院学报, 2003,(2): 33-36.
[23]刘明,朱虹飞.对中国股票市场货币传导效率的实证分析[J].华东经济管理, 2005,(11): 135-138.
[24]康海媛.股票价格与货币供应量关系的阶段性分析[J].中南民族大学学报, 2007,26(4): 108-112.
[25]张琦,徐璋勇.中国股票市场发展对货币政策冲击效应的实证检验[J].中国社会科学院研究生院学报, 2007,(1): 23-29.
[26]陈鹏.中国股票市场对货币政策传导效率的实证分析[J].金融经济, 128-130.
[27]蒋云飞,程细玉.我国货币政策时效性的协整分析[J].华侨大学学报, 2007,28(1): 101-104.
[28]彭武珍,袁毅贤.中国货币政策的股票市场传导路经分析[J].经济论坛, 8-10.
[29] Franco Modigliani. Monetary Policy and Consumption, in Consumer Spending and Monetary Policy [J]. The Linkages, Boston: Federal Reserve Bank of Boston. 1971.
[30] Mishkin, F. S. Symposium on the Monetary Transmission Mechanism [J]. Journal of Economic Perspectives, 1995, 9(4): 3-10.
[31] Mishkin, F. S. The Transmission Mechanism and the Role of Asset Prices in Monetary Policy [J]. NBER Working Paper, 2001, 8617.
[32] James Tobin. A General Equilibrium Approach to Monetary Theory [J]. Journal of Money, Credit and Banking, 1969, (1): 15-29.
[33] Angela J. The impact of monetary policy on value and growth stocks: an international [J]. Journal of Asset Management, 2002: 142.
[34] Ludvigson and Steindel. How Important is the Stock Market Effect on Consumption [J]. FRBNY Economic Policy Review, 1999: 20-45.
[35] A. Anari and J. Kolar. Stock Prices and Inflation [J]. Journal of Financial Research, 2001: 587-602.
[36] O.M. Al- Khazal. The Generalized Fisher Hypothesis in the Asian markets [J]. Journal of Economic Studies, 2004, 31(2): 144-157.
[37] M. Firth. The Relationship between Stock Market Returns and Rates of inflation [J]. Journal of Finance, 1979, 743-749.
[38] Bahmani-Oskooee, M. stability of M2 Money Demand Function in Industrial Countries [J]. Applied Economics, 2002, 34: 2075-2083.
[39] Kalib, A.M. Modelling money demand in open Economics the Case of Selected Asian Countuies [J]. Applied Economics, 1999, 31: 1129-1135.
[40] Gale, William and Sabelhaus. Perspectives on the Household Saving Rate [M]. Brooking papers on Economic Activity, 1999.
[41] Greenspan (a), Alan. Presentation at Federal Reserve Bank of Kansas City Symposium [J].Opening Remarks, 1999, (27).
[42] J. M. Pterba. Stock Market Wealth and Consumption [J]. Journal of Economic Perspectives, 2000, 14(2): 99-118.