本文選題：價(jià)格粘性　切入點(diǎn)：貨幣數(shù)量　出處：《商業(yè)經(jīng)濟(jì)與管理》2010年11期

【摘要】：文章通過(guò)將價(jià)格粘性和金融資產(chǎn)價(jià)格引入貨幣數(shù)量模型,從理論上論證了在價(jià)格粘性下,一次性貨幣供給的沖擊將使金融資產(chǎn)價(jià)格處于短期超調(diào)狀態(tài),而持續(xù)性的、同方向的貨幣供給沖擊以及投資者的預(yù)期自我實(shí)現(xiàn)共同作用,將使金融資產(chǎn)價(jià)格在較長(zhǎng)時(shí)期內(nèi)處于累積性的超調(diào)狀態(tài),由此而形成金融資產(chǎn)價(jià)格與基本面相背離的"剪刀差"現(xiàn)象�；谖覈�(guó)統(tǒng)計(jì)數(shù)據(jù)的實(shí)證檢驗(yàn)表明:股價(jià)與M1之間存在協(xié)整關(guān)系和互為因果關(guān)系,股價(jià)對(duì)M1沖擊存在1期滯后和先升后降的脈沖響應(yīng);股價(jià)與M2及股價(jià)之間不存在因果關(guān)系。
[Abstract]:By introducing price stickiness and financial asset price into the monetary quantity model, the paper theoretically proves that under the price viscosity, the one-off money supply shock will make the financial asset price in the short-term overshoot state, and the financial asset price will be sustained.The combination of the same direction of money supply shock and the self-realization of investors' expectations will cause the financial asset prices to be in a cumulative overshoot for a longer period of time.As a result, financial asset prices deviate from the fundamentals of the "scissors difference" phenomenon.The empirical test based on the statistical data of China shows that there is cointegration and causality between stock price and M1, the impulse response of stock price to M1 shock is lagged first and then descending, and there is no causality between share price and M2 and stock price.
【作者單位】： 上海大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究規(guī)劃基金項(xiàng)目“包含價(jià)格粘性與股價(jià)波動(dòng)的貨幣政策規(guī)則研究”(09YJA790136) 上海市教委科研創(chuàng)新重點(diǎn)項(xiàng)目“貨幣政策、股價(jià)及實(shí)體經(jīng)濟(jì)間的作用機(jī)理研究”(10ZS67)
【分類號(hào)】：F831.51;F821;F224

【參考文獻(xiàn)】

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