货币政策调整对股市流动性的影响分析

发布时间：2018-01-15 03:12

本文关键词：货币政策调整对股市流动性的影响分析　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：自股权分置改革以来,我国股票市场发展异常迅速,在其迅速的发展过程中,流动性起着不可或缺的作用,这也是长期以来流动性备受货币当局和实务投资者关注的原因所在,尤其是金融危机发生时,货币当局会采取各种货币政策措施以稳定金融市场和实体经济。本文研究的主要目的是探讨分析货币政策调整对股市流动性所造成的实际影响,从而为货币当局和实务投资者提供合理化建议。为了充分获得货币政策对股市流动性的具体影响,本文在对货币政策进行衡量时,首先运用简单的泰勒规则来度量货币政策代表变量之一的7天同业拆借利率的变化方向,以此来衡量货币政策的趋向；同时运用基础货币增长率来衡量我国货币政策的另一代理变量—货币供应量的变化趋向。在对股市流动性进行测量时,本文设计了五个流动性指标变量。通过运用向量自回归模型VAR将货币政策代理变量和股市流动性指标变量联系起来,对其内在关系进行详细分析,得出宽松的货币政策促使股市流动性增强,紧缩的货币政策降低股市流动性的一般性结论。但是,货币政策效果在一定程度上被弱化,文章进一步详细分析了货币政策被弱化的原因。文章还从动态和静态的角度出发,分别研究分析了货币政策对股市流动性的影响。动态上,运用C-GARCH模型对流动性指标的波动性和货币政策调整因子的影响关系进行了实证分析,得出了货币政策对股市流动性的波动性具有明显的影响作用,而且存在非对称效应：静态上基于事件研究分析法和ARIMA预测模型,通过分析对比货币政策事件宣告前后股市流动性指标的累计异常变化率来衡量货币政策对股市流动性的具体影响力度,从结论中可以看出,部分指标累计异常变化率较为明显,但是文章的所运用的预测模型在一定程度上还存在着改进的空间,这也为文章实证效果的不精准提供了可能性原因。整体上,文章采用了理论基础—实证分析—结论分析总结的研究模式。理论分析使得文章的研究具有了相应的理论支撑,实证分析一定程度上验证了文章的理论分析,但是所得结论因货币政策效果被弱化使其仅仅具有一般性,结论总结在理论基础和实证分析的基础上进行了全面的分析,即分析了货币政策效果被弱化的原因,也针对实证效果提出了相关性建议以供管理当局和投资者参考。
[Abstract]:Since the reform of non-tradable shares, the stock market in China has developed very rapidly, and liquidity plays an indispensable role in its rapid development. This is why liquidity has long been the concern of monetary authorities and real investors, especially in times of financial crisis. Monetary authorities will take various monetary policy measures to stabilize the financial market and the real economy. The main purpose of this study is to analyze the actual impact of monetary policy adjustment on stock market liquidity. To provide rational advice for monetary authorities and practical investors. In order to fully obtain the specific impact of monetary policy on stock market liquidity, this paper measures monetary policy. Firstly, the paper uses simple Taylor rule to measure the change direction of interbank offered rate (IBOR), which is one of the representative variables of monetary policy, so as to measure the trend of monetary policy. At the same time, we use the basic monetary growth rate to measure the change trend of money supply, another proxy variable of monetary policy in China. This paper designs five liquidity index variables and uses the vector autoregressive model (VAR) to link the monetary policy agent variable with the stock market liquidity index variable and analyzes the inherent relationship in detail. The general conclusion is that loose monetary policy promotes stock market liquidity, and tight monetary policy reduces stock market liquidity. However, the effect of monetary policy is weakened to some extent. The article further analyzes the reasons for the weakening of monetary policy. From the dynamic and static point of view, the paper also analyzes the impact of monetary policy on stock market liquidity. The C-GARCH model is used to analyze the relationship between the volatility of liquidity index and the adjustment factor of monetary policy, and it is concluded that monetary policy has an obvious effect on the volatility of stock market liquidity. And there are asymmetric effects: static event based analysis and ARIMA prediction model. Through analyzing and comparing the cumulative abnormal change rate of stock market liquidity index before and after the announcement of monetary policy events to measure the specific impact of monetary policy on stock market liquidity can be seen from the conclusion. The accumulative abnormal change rate of some indicators is obvious, but the prediction model used in this paper still has room for improvement to a certain extent, which also provides the possible reason for the inaccuracy of the empirical effect of the article. On the whole, the paper adopts the research model of theoretical basis-empirical analysis-conclusion analysis. Theoretical analysis makes the research have corresponding theoretical support. The empirical analysis verifies the theoretical analysis to some extent, but the conclusion is only general because the monetary policy effect is weakened. The conclusion is based on the theoretical basis and empirical analysis, that is, to analyze the reasons for the weakening of monetary policy. It also puts forward some relevant suggestions for the management and investors.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

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