중국 화폐수요에 대한 주가 영향력의 새로운 증거
Novel Evidence on the Effect of Stock Prices on Money Demand in China
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초록
본 연구는 중국 화폐수요함수에(MDF)에 주가를 포함시키는 것이 안정적인 화폐수요함수 도출에 의미가 있는지 재검토합니다. 이를 위하여, 기존 연구와 달리 비선형 자기회기 분포 시차 모형을 사용하여 화폐수요에 대한 주가의 비대칭적 영향력을 확인합니다. 실증 결과에 따르면 화폐수요에 대한 주가의 부의 효과(wealth effect)는 단기적으로 비대칭적 특성을 보이며, 장기의 경우 주가의 부정적인 변화에서 확인됩니다. 화폐수요함수 장기 균형의 안정성은 주가의 부정적 변화의 역할을 강조합니다. 본 연구를 통해 확인된 화폐수요에 대한 주가의 비대칭적 효과는 중국 금융시장 안정화 정책을 설계하는 데 도움이 될 것입니다.
Abstract
Our study re-examines if including stock prices in China’s money demand function (MDF) yields a stable MDF. Unlike prior research, we used nonlinear autoregressive distributed lag model, which permitted exploring asymmetric effects of stock prices on money demand. The empirical results show that the wealth effects of stock prices on money demand are asymmetric in the short run. The long-run effect is only discernible in negative changes in stock prices. The stability of the long-run equilibrium of MDF highlights the role of the negative changes in stock prices. The asymmetric effects will help authorities design policies to stabilize Chinese financial markets.
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