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货币增速剪刀差与股票市场收益率的时变格兰杰因果关系研究
[A Study on the Time-varying Granger Causality Relation of Scissors Gap of Money Supply and Stock Market Return]

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  • Cai, Yifei

Abstract

本文从理论上分析了货币增速剪刀差对股票市场的作用机制，同时借助于基于滚动窗口拔靴法的格兰杰因果检验实证检验了两者之间的时变因果关系。实证结果表明两者具有显著的时变格兰杰因果关系。通常情况下，货币增速剪刀差的增加能够刺激股票市场的繁荣，存在正向的格兰杰因果关系。但在2015年的“牛市”期间，货币增速剪刀差是股市收益率的负向格兰杰因果关系。自2015年10月以来，尽管货币剪刀差持续攀升，但实证结果表明剪刀差的增加仅能提供较弱的相关关系的证据，而不存在因果关系。

Suggested Citation

  • Cai, Yifei, 2016. "货币增速剪刀差与股票市场收益率的时变格兰杰因果关系研究 [A Study on the Time-varying Granger Causality Relation of Scissors Gap of Money Supply and Stock Market Return]," MPRA Paper 73369, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:73369
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    References listed on IDEAS

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    Keywords

    货币增速剪刀差，股市收益率，滚动窗口拔靴法的格兰杰因果关系检验;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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