摘要
本文分三种情形讨论货币政策是否能对股价的过度波动做出反应 :( 1 )完美市场中的资产选择模型表明 ,在给定的约束条件下 ,股价没有高估或低估的情况 ,市场完美的调节机制不需要货币政策的干预 ;( 2 )完美市场约束条件修正后的资产选择模型表明 ,在信息费用的约束下 (信息费用是约束条件下的极小化 ) ,一是市场自身有纠错的功能 ,二是央行干预的种种前提不成立。 ( 3 )中国特定约束条件下的资产选择模型表明 ,股市高的预期收益率主要由高的风险报酬和高的交易成本所抵补 ,利率调节对股市上升中的高收益率和下跌中的深度套牢没有任何影响 ,货币政策干预股市过度波动是无效的。
The author first come up with the question:Can monetary policy iron the excessive fluctuation of stock price?(1)The Portfolio Selection Model in the perfect market shows:Under the given conditions,the stock price will never be overrated or undervalued.The perfect adjusting system of the market does not need the interference of monetary policy;(2)after adjusting the restrictions of perfect market,the Portfolio Selection Model shows:first,under the information cost restriction (information cost is minimum),market has the function to do self-corrections.Second,all premises for central banks' interference haven't be met.(3)The Portfolio Selection Model under the particular restrictions in China makes it clear that:The high expected rate of yield is covered mainly by the high-risk premium and high transaction cost.Interest rate regulation can never influence the high rate of yield in the ascending process of the stock price,and also the serious hold-up problems in the descending process.In all,the monetary policy can do nothing to interfere with the excessive fluctuation of stock price.
出处
《经济研究》
CSSCI
北大核心
2003年第1期37-44,共8页
Economic Research Journal
