中国货币政策对股票价格波动影响的实证研究

发布时间：2018-03-09 18:33

  本文选题：货币政策　切入点：股票市场　出处：《中国政法大学》2013年硕士论文　论文类型：学位论文

【摘要】：关于货币政策与股票市场关系的研究，一直是经济学领域的热点问题之一，但迄今为止研究学者并未就此达成一致意见。回顾上证综合指数历史走势情况，，我国股票市场也曾发生过频繁的、大幅的波动。由于现阶段我国金融体系还不够健全，股票市场非基本面的波动极有可能给实体经济带来巨大冲击。因此，研究货币政策的执行对股票市场波动的影响既有理论的必要性，更有现实的迫切性。 本文以货币政策的执行对股票价格波动的影响作为研究对象，深入分析货币政策影响股票市场的作用机制，并将货币政策相关指标与上证综合指数进行实证检验。文章实证部分采用了单位根检验、协整检验、格兰杰因果检验、向量自回归（VAR）模型、脉冲响应函数分析以及方差分解，以对货币政策、股票价格两者关系进行深入探究。 本论文共分五章。第一章为绪论。包括论文选题的研究背景、研究的意义及目的、论文的研究结构及应用的计量研究方法、可能存在的创新和不足、文献综述。 第二章介绍货币政策相关理论及股票市场相关理论。该章节总结了货币政策执行的相关理论、股票市场理论以及货币政策影响股票市场的三种作用渠道，以为下文的实证研究提供理论基础。 第三章分析了我国股票市场建立以来中国人民银行货币政策的执行情况，并着重分析货币政策的执行对股票市场价格波动的影响。本章从三个方面进行阐述，即货币政策工具的三个方面，包括金融机构存贷款基准利率的调整、公开市场操作业务、存款准备金制度等。 第四章为本论文的实证研究部分，包括数据的选取说明、计量方法的选取以及实证检验。 第五章为实证研究结论及相应政策建议。本章对第四章的计量结果进行分析总结，并据此提出相应的政策建议。
[Abstract]:The study of the relationship between monetary policy and the stock market has been one of the hot issues in the field of economics, but so far researchers have not reached an agreement on this issue. China's stock market has also experienced frequent, large fluctuations. Because the current financial system in China is not sound enough, the non-fundamental fluctuations of the stock market are likely to bring a huge impact on the real economy. It is necessary and urgent to study the effect of monetary policy on stock market volatility. In this paper, the effect of monetary policy on stock price fluctuation is studied, and the mechanism of monetary policy affecting stock market is deeply analyzed. The empirical part uses unit root test, cointegration test, Granger causality test, vector autoregressive VAR-model, impulse response function analysis and variance decomposition. In order to the monetary policy, the stock price two relations carries on the thorough exploration. This paper is divided into five chapters. The first chapter is the introduction. It includes the research background, the significance and purpose, the research structure and the applied metrological research methods, the possible innovation and deficiency, and the literature review. The second chapter introduces the theories of monetary policy and stock market. This chapter summarizes the relevant theories of monetary policy implementation, the stock market theory and the three ways that monetary policy affects the stock market. To provide the theoretical basis for the empirical study below. The third chapter analyzes the implementation of the monetary policy of the people's Bank of China since the establishment of the stock market, and focuses on the impact of the implementation of the monetary policy on the stock market price fluctuations. That is, three aspects of monetary policy instruments, including the adjustment of deposit and loan benchmark interest rate of financial institutions, open market operation business, deposit reserve system, and so on. Chapter 4th is the empirical research part of this paper, including the data selection explanation, the measurement method selection and the empirical test. Chapter 5th is the conclusion of empirical research and the corresponding policy recommendations. This chapter analyzes and summarizes the measurement results of Chapter 4th and puts forward corresponding policy recommendations accordingly.
【学位授予单位】：中国政法大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F822.0

【参考文献】

中国期刊全文数据库 前10条

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2 刘q

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