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在控制宏观经济因素影响的情况下,运用Johansen协整检验、脉冲响应和方差分解等计量方法对我国银行信贷、货币供应量与股票价格之间的动态关系进行研究。结果表明,银行信贷、货币供应量与股票价格之间存在长期稳定的关系;股票价格上涨能导致银行信贷的显著增加,但银行信贷的增加并不必然导致股票价格的显著上涨;货币供应量的增加显著促进银行信贷的扩张,而银行信贷的扩张并不是促进货币供应量增加的原因;货币供应量与股票价格并无明显的相关性。基于此,在调控银行信贷规模时,同时要考虑股票市场和货币供应量的影响,我国金融监管部门应密切关注股票价格的变化以及货币供应量的变动,并预测其对银行部门产生的影响。
Under the control of the macroeconomic factors, this paper uses Johansen cointegration test, impulse response and variance decomposition to study the dynamic relationship between bank credit, money supply and stock price in our country. The results show that there is a long-term and stable relationship between bank credit, money supply and stock price; the rise of stock price can lead to a significant increase of bank credit, but the increase of bank credit does not necessarily lead to a significant increase of stock price; The increase significantly promoted the expansion of bank credit, while the expansion of bank credit did not contribute to the increase of money supply. There was no obvious correlation between money supply and stock price. Based on this, when regulating the bank credit scale, we must also consider the impact of the stock market and money supply. The financial regulatory authorities in our country should pay close attention to the changes of the stock prices and the changes of the money supply, and predict their impact on the banking sector.