我国股票市场对货币需求函数影响的实证分析

【作者】 徐杰；

【导师】 李燕君；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 硕士

【摘要】 一、研究背景与选题意义 股票市场的发展和金融创新推动了各国金融资产总量与结构的变化,并进而影响到企业与居民所持有的金融资产数量与结构,导致企业与居民的投资行为、储蓄行为和消费行为发生变化。美联储主席格林斯潘曾指出,在新时期美国货币政策面临的新挑战将主要来自于资本市场。可见,一国中央银行进行货币政策的制定过程中就要考虑股票市场的影响。 但是传统的货币需求理论未考虑股票市场的影响:Keynes 把用于财富储存的资产分为两类:货币和债券;Friedman 把货币视为一种资产,认为实际货币需求是永久收入、持有货币的机会成本的函数,而没有把股票市场作为一个规模变量引入到货币需求中去。之后,Friedman 对其理论进行了发展,Friedman(1988)指出股票价格通过财富效应、资产组合效应、交易效应和替代效应影响货币需求,并通过对美国实证表明股票市场通过这四种效应对货币需求产生了影响。 国内的学者在借鉴国外的理论对我国的货币需求进行研究时,一般选取股票市场交易量、股票市场指数、股票市场价值等股票市场相关变量作为自变量来考察我国股票市场对货币需求的影响,但部分学者在数据处理或模型的回归方法上存在着一定的问题,对部分存在季节性变动的变量未进行季节性调整,因此未建立相对有效的货币需求函数。 二、本文的研究思路和主要内容 本文从货币需求理论入手,通过分析影响货币需求的变量,总结出影响我国货币需求的主要因素,建立了适应我国现状的货币需求函数。本文在具体分析了影响国内货币需求的因素后,通过协整的方法建立长期均衡的货币需求函数,并运用误差修正模型建立了短期动态货币需求函数。通过分析长期、短期货币需求函数,对我国股票市场的发展和货币政策的制定提出了一些建议。 2本文通过对影响货币需求的因素的分析,分 4 个部分对我国的货币需求函数进行了阐述,并运用误差修正模型回归出了我国的货币需求函数:第一部分为货币需求理论的简单介绍。第一节简要介绍经典的货币需求理论。古典货币数量理论认为货币需求受总产出的影响,利率对货币需求没有影响。而剑桥学派则认为除了总产出会对货币需求产生影响外,利率水平也会对货币需求产生影响。Keynes 认为个体愿意持有货币有三个可能的动机:交易动机、谨慎动机和投机动机,Keynes 将这三种货币需求动机综合起来,总结出实际货币需求可以表示为名义利率和实际收入的函数(即流动性偏好函数)。Friedman认为实际货币需求是永久收入、持有货币的机会成本(持有债券、股票、商品可获得超过持有货币的预期超额汇报率)的函数。第二节介绍上述经典的货币理论的弊端。第二部分通过对货币需求基本形式的再考察以建立一个相对能准确反映我国货币需求的函数形式。第一节介绍经济学家们对货币需求理论的最新研究。后凯恩斯经济学家通过对三种货币需求动机的研究丰富和发展了货币需求理论,针对交易性货币需求,Baumol(1952)和 Tobin(1956)推出了著名的平方根公式,即库存模型,希德劳斯基(Sidrauski,1967)提出的效用函数中的货币模型(Money inutility Function,简称为 MIUF),麦卡勒姆(McCallum,1983 和 1987)提出的购买时间模型,克洛尔(Clower,1967)提出的现金先行模型;针对预防性货币需求,Miller 和 Orr(1966,1968)发展的企业模型,克鲁格曼、佩尔森和斯文森(Krugman,Persson and Svensson,1985)发展了一般均衡形式的预防性货币需求模型;针对投机性货币需求的研究以及资产组合理论的发展,托宾(Tobin,1958)将资产组合理论用于货币需求,他提出将收益与风险结合起来分析货币需求,Ando、Modiligliani、shell(1975)利用一个三资产模型(即交易性货币余额、定期存款和债券)来研究投机性货币需求,Samuelson(l958)提出了“世代叠加模型”(overlap-generation model),萨金特和华莱士在上个世纪 80 年代将这类模型发展到了显著的地位。但部分经3济学家认为,人为地将货币需求划分为交易、谨慎和投机需求是不合理的,在任何瞬间很难指明货币总量中哪个部分是属于这个用途,哪个部分是属于那个用途的,所求得的各部分的总和也不会恰恰等于实际货币需求总量,分割式的研究方法会导致马歇尔预见的“拼合谬误”,而部分经济学家(McCallum、Goodfriend、Svensson、Grinols、Turnovsky)将这三种动机联合起来研究。而与此同时,新剑桥学派认为随着经济的发展,仅交易动机、预防动机和投机动机这三种动机不能说明全部现实状况,他们丰富了货币需求的内容,将货币需求扩展为 7 个动机。针对这种新情况,目前经济学家们主要从以下几个方向进行研究:1、对货币的重新定义;2、在原有的需求函数中增加新的解释变量,其中影响最大的一个变量就是金融创新;3、提出新的货币需求理论,如缓冲存量理论; 4、利用新的计量技术建立模型,其中误差修正模型是比较成功的例子。第二节通过对变量的逐个考察分析影响货币需求的因素。理论上可以将决定货币需求的变量可以分为三种:规模变量、机会成本变量和技术变量。1、规模变量,主要来自于 GDP、恒久收入或财富,另外,影响货币需求的变量还有股票更多还原

【Abstract】 First, the background and purpose of the research The development of the stock market and the financial innovation result in the worldwide changes in capital gross and its structure, thus impacting the capital gross and structure by the enterprises and citizens, making changes in their investment, savings and consumption. Therefore, Greenspan, chairman of the Federal Reserve stated, the new challenges America’s monetary policy faces in the new period are mainly from the capital market. The Central Bank, in their drafting the monetary policy, should therefore consider the impact of the stock market. The traditional money demand theory did not take the impact of stock market under consideration: Keynes divided assets that are used to be saved into money and bond; Friedman took money as a kind of assets, considering actual money demand is the function of permanent income and opportunity cost of holding money. Later, Friedman revised his theory, and pointed out in 1998 that stock price impacts money demand by four effects: treasure effect, capital portfolio effect, dealing effect and substitute effect. He also used facts to demonstrate this theory. Chinese researchers used foreign theories for reference and did researches on China’s money demand. They usually chose the stock market exchange gross、stock market index and stock market value,etc as independent variables, but there’re some problems in their data processing and model integration. A relatively valid Money Demand Function was not set up. Second, the structure and main content of this essay Starting with the money demand theory, this essay analyzes the variables impacting money demand, then summarizes the dominating factors in China’s money demand, and sets up a Money Demand Function conforming our country’s actuality. Money Demand Function is what every Central Bank focuses in shaping their monetary policy. A comparatively precise Money Demand Function is quite significant. After studying the factors impacting China’s money demand, this essay builds a balanced and long-term Money Demand Function by cointergrating method, and a dynamic and short-term Money Demand Function by Error Correction Model. After a detailed study on both long-term and short-term Money Demand Function, this essay raises some suggestions for the development of Chinese stock market and the establishment of Chinese monetary policy. This essay analyzes the factors impacting money demand, and demonstrates China’s Money Demand Function in four parts and sums up China’s Money Demand Function using the Error Correction Model. Part One. Brief introduction of the traditional money demand theory. Classic money amount theory thought that money demand was impacted by gross output, and interest rate had no influence on money demand. Cambridge School believed that besides gross output, the interest rate might have some impact on money demand. Keynes presumed that there’re three possible incentives for individuals to possess money: dealing incentive, caution incentive and speculating inventive. He then summarized that actual money demand might be showed by the function of nominal interest rate and net incomes, i.e. Liquidity Preference Function. Friedman considered actual money demand the function of permanent income and opportunity cost of holding money. Friedman only took the market interest rate as an impacting factor for money demand, but did not consider the stock market as a scale variable.Part Two. Review the basic forms of money demand in an effort to build a precise function conforming China’s money demand. 1) Introduces the latest research on money demand policy. Some economist felt that it’s irrational to artificially divide money demand into dealing, caution and venture demand. You couldn’t point out which part in the money amount was for this purpose and which for another in any moment. The amount of each part was not necessarily the actual money demand gross. This intersected way of study would lead to what Marshall called Patchwork Fallacy. Therefore, some econom更多还原