我国货币流动性过剩对资产价格的影响

摘要

This paper selects the M2 / GDP index to measure the monetary liquidity, based on the real estate prices, the stock market, bond market prices and fund market With unit root test to verify the cointegration relationship between excess liquidity and asset prices and granger causality, Using VAR impulse response to explain the various asset price reactions to liquidity shocks, results show that Chinese real estate prices, the stock market, bond market prices and market prices are in-fluenced by the excess liquidity in different degrees, but the influence of monetary liquidity to the real estate market to more obvious than the effect of financial markets, and it also analyzes the bond market and fund market in the important position of financial markets, results show that join the fund market and bond market can provide the accuracy of the data analysis and the empirical conclusions are in conformity with reality.%本文选用广义货币/国内生产总值来衡量货币流动性过剩指标，通过对房地产价格、股票市场价格、债券市场价格和基金市场价格采用单位根检验来验证流动性过剩与资产价格之间的协整关系及格兰杰因果关系，并用基于向量自回归模型的脉冲响应解释各项资产价格对流动性冲击的反应，结果显示这些价格都不同程度地受到流动性过剩的影响，但货币流动性对房地产市场的影响要比金融市场的影响更加明显，并且同时也分析了债券市场和基金市场在金融市场的重要地位，结果显示加入基金市场与债券市场可以提供数据分析的准确性以及实证结论与现实的相符程度。