我国资产价格与货币政策的相关性研究

发布时间：2018-02-05 23:27

本文关键词： 货币政策资产价格 SVAR模型　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着金融结构与金融体系的日趋完善,资本市场规模也正逐渐扩大,在以股票与房地产为代表的资本资产对金融体系的影响也就逐渐加深。世界金融危机的几次爆发启示我们,资产价格的异常波动与资产价格泡沫的急剧膨胀对整个金融体系造成了严重的打击,对实体经济的稳定发展产生深远的影响。目前,我国的宏观经济态势已是比较严峻,股票价格指数大幅波动,房地产市场非理性繁荣,房价指数持续上涨,对我国稳定市场经济的政策制定提出了挑战。因此对资产价格与货币政策之间是否存在相互作用关系,央行制定货币政策来稳定我国金融体系与经济的平稳发展时是否要考虑资本市场的波动,将成为本文探讨的重点。本文通过理论与实证两个方面来分析我国的资产价格与货币政策的相互关系。在理论分析中,从利率、货币供应量、银行信贷等多方面具体探讨货币政策与股票、房地产的理论关系。在实证分析中,首先通过协整检验、Granger因果检验对构建模型的各变量之间的均衡关系作初步检验,再应用结构向量自回归(SVAR),分别对股票、房地产与货币政策的相关性构建模型进行研究,最后,结合脉冲响应函数、方差分解更加具体直观的探究股票、房地产与利率、货币供应量之间的相互冲击反应与相互贡献程度。通过理论分析与实证分析,本文得出以下的结论：第一,我国资产价格与货币政策(利率与货币供应量)、宏观经济变量(消费、物价与总产出)存在协整关系,说明各变量相互影响。第二,货币政策对我国资产价格的调控效果不十分明显,但货币政策对房价的调控相对股价更具有稳定与持久性。第三,我国货币政策对资产价格的波动做出了一定反应。由脉冲响应与方差分解的结果来看,资产价格对货币政策影响仅次于物价对货币政策的贡献度,资产价格对货币政策的制定虽起着间接性作用,但已受到关注。第四,资产价格对我国消费与总产出有比较明显的冲击作用,且资产价格是影响物价的主要原因。因此中央银行可以扩宽政策的调控宽度,改善货币政策操作的均衡性,将资产价格纳入到货币政策操作框架之中,来稳定资产价格进而使宏观经济得以平稳发展。
[Abstract]:With the improvement of financial structure and financial system, the scale of capital market is gradually expanding. In the stock and real estate as the representative of the impact of capital assets on the financial system will gradually deepen. The outbreak of the world financial crisis has inspired us. The abnormal fluctuations of asset prices and the sharp expansion of asset price bubbles have caused a serious blow to the entire financial system and have a far-reaching impact on the stable development of the real economy. At present, China's macroeconomic situation has been relatively severe, the stock price index fluctuated substantially, the real estate market is irrational prosperity, the housing price index continues to rise. It challenges the policy making to stabilize the market economy in China. Therefore, there is an interactive relationship between asset price and monetary policy. Whether the central bank should consider the fluctuation of capital market when making monetary policy to stabilize the steady development of our financial system and economy will become the focus of this paper. This paper analyzes the relationship between asset price and monetary policy in China through both theoretical and empirical aspects. In the theoretical analysis, from the interest rate, money supply. Bank credit and other aspects of the specific discussion of monetary policy and stock, real estate theoretical relationship. In the empirical analysis, the first pass cointegration test. The Granger causality test is used to test the equilibrium relationship among the variables of the model, and then the structural vector autoregressive method is applied to the stock. Finally, combining impulse response function, variance decomposition is more specific and intuitive to explore the stock, real estate and interest rates. The degree of mutual impact reaction and mutual contribution between money supply. Through theoretical analysis and empirical analysis, this paper draws the following conclusions: first, China's asset prices and monetary policy (interest rate and money supply), macroeconomic variables (consumption). There is a cointegration relationship between price and total output, which shows that the variables affect each other. Secondly, the effect of monetary policy on asset prices in China is not very obvious. But the regulation of monetary policy is more stable and persistent than the stock price. Thirdly, China's monetary policy has made a certain response to the fluctuation of asset prices. From the results of impulse response and variance decomposition. The influence of asset price on monetary policy is second only to the contribution of price to monetary policy. Although asset price plays an indirect role in the formulation of monetary policy, it has been paid close attention to. 4th. Asset price has obvious impact on consumption and total output of our country, and asset price is the main reason of influencing price. So the central bank can widen the control width of policy. By improving the balance of monetary policy operation and bringing asset price into the framework of monetary policy operation, we can stabilize the asset price and make the macro-economy develop smoothly.
【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】：F224;F832.51;F822.0;F293.3

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