商业研究

商业研究

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新三板证券市场与我国货币需求结构关系研究 ——基于VAR模型的实证分析

吴尚燃1,2   

  1. (1.吉林大学 经济学院，长春 130012;2.东北师范大学人文学院，长春 130117)
  • 收稿日期:2018-05-02 出版日期:2018-10-10
  • 作者简介:吴尚燃（1982-），女，吉林松原人，东北师范大学人文学院讲师，吉林大学经济学院博士研究生，研究方向：金融改革与发展。
  • 基金资助:
    吉林省社会科学基金项目“吉林省中小企业融资的微观基础问题研究”，项目编号：2018JD2；吉林大学劳动关系专项课题，项目编号：371156111406；东北师范大学人文学院青年教师基金项目“吉林省新型城镇化发展融资问题研究”，项目编号：2015002。

Research on the Relationship between New Third Board Market and China′s Money Demand Structure: An Empirical Analysis based on VAR Model

WU Shang-ran1,2   

  1. (1.School of Economics, JiLin University, Changchun 130012, China; 2.College of Humanities, Northeast Normal University, Changchun130117，China)
  • Received:2018-05-02 Online:2018-10-10

摘要： 相对于成熟资本市场而言，我国新三板证券市场的资产价格与货币政策之间的传导机制表现得更为复杂。通过建立新三板股价指数与货币供给量VAR模型，本文使用Granger因果关系检验方法分析我国新三板证券市场与货币需求结构的关系，以期检验货币供给量在中央银行调控证券市场过程中的适用性。研究结果表明：货币需求结构因素对于新三板股价指数的影响尚处于较为微弱的阶段，新三板市场股价指数对以投机为目的的货币需求大于以投资为目的货币需求的影响。这说明货币政策的传导机制在我国新三板证券市场并不畅通，决策层应根据证券市场的发展和宏观经济形势的变化经常性地考察货币需求的变化，通过提高新兴证券市场的流动性、加强对新三板市场挂牌企业的监管力度等，使新三板证券市场更好地肩负起为我国中小企业提供投融资支持的使命。

关键词: 新三板股价指数, 货币需求结构, 脉冲响应函数, Granger因果关系

Abstract: Compared with mature capital market, the transmission mechanism between asset price and monetary policy in the New Third Board Market is more complicated. By establishing a VAR model of the stock price index and money supply of the New Third Board, this paper uses Granger causality test to analyze the relationship between the New Third Board securities market and money demand structure in order to test the applicability of money supply in the process of central bank regulating the securities market. The results show that the influence of money demand structure factor on the index of New Third Board Market is still in a weak stage. The influence of New Third Board Market′s index on the speculative money demand is greater than the investment money demand, which shows that the transmission mechanism of monetary policy is not smooth in China′s New Third Board Market. Policymakers should regularly investigate the changes of monetary demand according to the development of the securities market and the changes of the macroeconomic situation. By improving the liquidity of the emerging securities market and strengthening the supervision of the listed companies in New Third Board Market, the New Third Board Market is better able to shoulder the mission of providing support for the investment and financing of small and medium-sized enterprises in China.

Key words: the index of the New Third Board, money demand structure, impulse response function, Granger causality