Money, Interest Rate, and Stock Prices: New Evidence from Singapore and the United States
Money, Interest Rate, and Stock Prices: New Evidence from Singapore and the United States
复制标题
货币、利率和股票价格：来自新加坡和美国的新证据
DOI：
10.2139/ssrn.1607605
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Jun Du
中科院分区：
文献类型：
--
作者：
W. Wong;H. Khan;Jun Du
本文通过采用先进的时间序列分析技术，包括协整、约翰森多元协整系统、分数协整和格兰杰因果关系，研究了新加坡和美国主要股指与选定宏观经济变量（如货币供应量和利率）之间的长期和短期均衡关系。基于1982年1月至2002年12月数据的协整结果表明，新加坡的股票价格总体上与利率和货币供应量（M1）表现出长期均衡关系，但类似的关系并不适用于美国。为了捕捉这种关系的短期动态，我们用代表较短时间段的不同数据子集重复相同的实验。很明显，在1997年亚洲金融危机之前，新加坡股市的走势与利率和货币供应量是同步的，但在金融危机之后，这种模式就不复存在了。在美国，1987年股票危机之前，股票价格与宏观经济变量之间存在强协整关系，但随着亚洲金融危机的出现，这种关系逐渐减弱并完全消失，亚洲金融危机也间接影响了美国。分数阶协整和Johansen多元系统的结果与早期的协整结果一致，即新加坡和美国股市在早期都与M1和利率存在均衡关系。然而，在过去二十年中，这些系统的稳定性受到了一系列众所周知的金融动荡的干扰，并最终在新加坡被削弱，在美国被完全消失。这可能意味着货币当局可能会采取行动应对资产价格动荡，以保持货币经济的稳定，从而打破股票市场与利率、M1等宏观经济变量之间的现有均衡。另一个可能的解释是，1997年亚洲金融危机后，市场变得更有效率。最后，格兰杰因果检验的结果揭示了一些系统的因果关系，这意味着股市表现可能是央行货币政策调整的一个很好的指标。
This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger causality. The cointegration results based on data covering the period January 1982 to December 2002 suggest that Singapore’s stock prices generally display a long- run equilibrium relationship with interest rate and money supply (M1) but a similar relationship does not hold for the United States. To capture the short-run dynamics of the relationship, we replicate the same experiments with different subsets of data representing shorter time periods. It is evident that stock markets in Singapore moved in tandem with interest rate and money supply before the Asian Crisis of 1997, but this pattern was not observed after the crisis. In the United States, stock prices were strongly cointegrated with macroeconomic variables before the 1987 equity crisis but the relationship gradually weakened and totally disappeared with the emergence of Asian Crisis that also indirectly affected the United States. The results of fractional cointegration and the Johansen multivariate system are consistent with the earlier cointegration result that both Singapore and US stock markets did possess equilibrium relationship with M1 and interest rate at the early days. However, the stability of the systems was disturbed by a series of well-known financial turbulence in the past two decades and eventually weakened for Singapore and completely disappeared for the U.S. This may imply that monetary authority may take action to respond to the asset price turbulence in order to maintain the stability of monetary economy and thus break the existing equilibrium between stock markets and macroeconomic variables like interest rate and M1. Another possible explanation is that the market became more efficient after 1997 Asian crisis. Finally, the results of Granger causality tests uncover some systematic causal relationships implying That stock market performance might be a good gauge for Central Bank’s monetary policy adjustment.
影响因子：
6.1
作者：
J. Stock
通讯作者：
J. Stock