Asset price, macroeconomic variables and monetary shock 部分内容如下：
Asset price, macroeconomic variables and monetary shock
—— Cointegration analysis of Chinese Market[1]
Ying Deng 邓瑛
Department of Economics, University of Munich, Germany
Xinhua School of Finance and Insurance, Zhongnan University of Economics and Law, China
Abstract: In this paper, I investigate whether the current economic activities are cointegrated with the stock price in China on the basis of the response of stock prices to macroeconomic fluctuations. I set up a hypothesis and theoretical model using the vector error correction model. This cointegration relation indicates direct long-run and equilibrium relations between asset price and four macroeconomic variables in China, i.e. industrial production, consumption expenditure, monetary supply (M1) and consumer price index. Together with the result of Granger causality test, it also demonstrates that stock price index and consumption index as well as the monetary supply adjust to the previous equilibrium error. I also give an explanation from the point of institutional deficiencies in Chinese economic and financial system, and present some policy implications from the cointegration analysis, including deepening the reform of financial system and making a low long-run inflation objective inclusive asset price as a new nominal anchor.
Keywords: asset price, macroeconomic variables, cointegration, monetary policy
1. Introduction
The relationship between stock prices and macroeconomic variables has been predominantly investigated assuming that on one hand, macroeconomic fluctuations are influential on stock prices through their effect on future cash flows and the rate at which they are discounted (Chen et al.1986; Geske and Roll 1983; Fama 1981), and on the other hand stock prices are influential on macro economy through conduction channels of monetary policy, such as wealth effect, Q effect, liquidity effect etc..
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