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首页> 外文期刊>The Singapore economic review >DO MONEY AND INTEREST RATES MATTER FOR STOCK PRICES? AN ECONOMETRIC STUDY OF SINGAPORE AND USA
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DO MONEY AND INTEREST RATES MATTER FOR STOCK PRICES? AN ECONOMETRIC STUDY OF SINGAPORE AND USA

机译：货币价格和利率对股票价格重要吗？美国和美国的经济学研究

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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 relationships 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 results that both Singapore and US stock markets did possess equilibrium relationships 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 US. 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.
机译：本文通过使用包括协整在内的高级时间序列分析技术，研究了主要股指与新加坡和美国选定的宏观经济变量（例如货币供应和利率）之间的长期和短期平衡关系。 ，Johansen多元协整系统，分数协整和Granger因果关系。基于涵盖1982年1月至2002年12月的数据的协整结果表明，新加坡的股票价格总体上显示出与利率和货币供应量（M1）的长期均衡关系，但对美国而言却没有类似关系。为了捕获这种关系的短期动态，我们使用代表较短时间段的不同数据子集重复相同的实验。显然，新加坡股市在1997年亚洲危机之前与利率和货币供应量同步增长，但在危机后并未观察到这种模式。在1987年股本危机之前，美国的股价与宏观经济变量紧密相关，但随着亚洲危机的出现，这种关系逐渐减弱并完全消失，这也间接影响了美国。分数协整和Johansen多元系统的结果与早期的协整结果一致，新加坡和美国股市在早期确实与M1和利率具有均衡关系。但是，过去二十年来一系列众所周知的金融动荡扰乱了该系统的稳定性，最终使新加坡减弱，对美国完全消失。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，以维持货币经济的稳定性，从而打破股票市场与宏观经济变量（如利率和M1）之间的现有平衡。另一个可能的解释是，在1997年亚洲金融危机之后，市场变得更加高效。最后，格兰杰因果关系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良好指标。

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