摘要
日本创业板市场JASDAQ起步较早,发展相对成熟。运用1998年1月到2008年12月的月度数据,对日本JAS-DAQ指数、日经225指数和不同货币供给层次之间的关系进行实证研究,结果显示,在短期内,两种指数之间不存在Granger因果关系,也不受货币供给结构的影响,但日经225指数是投机动机货币需求(L3)的Granger原因且效应为正;在长期,JASDAQ指数不但受到日经225指数的影响,还受到各个层次的货币供给影响。此外,两种指数都对日本的投机动机货币需求有显著正效应。
JASDAQ is the Japanese Growth Enterprise Market （GEM） which was established early and has been comparatively well developed. Using monthly data ranging from January, 1998 to December, 2008, this paper develops an econometric model to test the relationship among JASDAQ, Nikkei 225 index and the structure of the Japanese money demand. The results shows that in the short run, there exists no Granger causal relationship between the two indexes, while Nikkei 225 index is the positive Granger cause of L3, which represents the Japanese investors＇ speculative demand for money; in the long run, JASDAQ index is Granger caused by Nikkei 225 index and the structure of Japan＇s money demand. In addition, both of the indexes exert significantly positive effects on the speculative money demand in Japan.
出处
《现代日本经济》
CSSCI
2010年第1期18-23,共6页
Contemporary Economy OF Japan
基金
吉林省软科学引导项目"吉林省金融市场创新影响金融结构变迁的作用机理研究"(347080841406)
