Empirical Causal Relations of Money Supply and Stock Market in China
We apply the approach of one-way effect causal measure and its Wald test to investigate the causal relationships between money supply and stock markets in China.The empirical analysis is focused on money supply indices(M1,M2,and Call Rate),Shanghai Stock Exchange(SSE)Composite Index,and Shenzhen Stock Exchange(SZSE)Composite Index.Based on error correction model(ECM)for non-stationary multiple monthly observations in the last eight years,we discussed the causal characteristics between money supply and stock market in time domain and frequency domain.Furthermore,the long-run and short-run causal relations are discussed in view of the frequency distribution of the one-way effect causal measure.The empirical results show that SSE and SZSE Composite Index and Call Rate strongly affect M2 and M1,but it is the money supply index M1,not M2,that has a significant effect on both SSE and SZSE stock markets in China.
ECM Granger’s non-causality Wald test of one-way effect causal measure stock market
Yao Feng Li Juanwei
Faculty of Economics,Kagawa University,Takamatsu,Japan,7608523;Xian International Study University, International Business School,Shaanxi Normal University,Xian,China,710119
国际会议
大连
英文
160-165
2018-07-06（万方平台首次上网日期，不代表论文的发表时间）