中国股市泡沫变动及基于泰勒规则的货币政策响应
发布时间：2018-02-07 14:50
本文关键词： 泰勒规则 股市泡沫 动态剩余收益估值模型 协整检验 出处：《东北财经大学》2012年硕士论文 论文类型：学位论文
【摘要】：二十世纪八十年代以来,无论发达国家、还是新兴的发展中国家均出现了股票、房地产等资产价格泡沫,股市泡沫的膨胀和破裂并不会造成财富的增加和减少,但这个过程会导致对实体经济投资减少、银行资金链断裂、贫富差距扩大等等问题。中国股票市场从1990年诞生以来,由小到大,由弱到强,其对国民经济的影响力与日俱增。然而自其诞生之日起,股市已经历数轮的暴涨暴跌,而且随着股市的不断发展,股市泡沫对我国的金融安全和金融发展的潜在威胁也越来越大。 中国传统的货币政策传导机制是基于中央银行控制、以商业银行为主体的金融体系,资金供求和银行信贷成本是货币政策实现的主要渠道。然而随着包括股市在内的资本市场快速发展壮大,它们已经构成了对货币政策执行效果的重大冲击。泰勒规则因其能够准确而简洁地反映了西方国家近年来的货币政策实践,已成为美联储、英格兰银行等西方国家中央银行制定和执行货币政策的重要依据。目前,我国是以货币供应量作为货币政策的调控目标,但我国已经对金融体系进行了持续改革,利率市场化不断推进,因此本文借鉴泰勒规则来探索货币政策应对股市泡沫变动的反应。 本文对泰勒规则进行修正和扩展,引入预期因素并加入股市泡沫因素,构建包含股市泡沫的货币政策反应机制。运用动态剩余收益估值模型测度出中国股市的实际泡沫度进行实证分析,结果表明无论是基于泰勒规则、前瞻性泰勒规则还是货币政策反应函数,中央银行近年的货币政策实践均未考虑股市泡沫因素,因而建议央行将股市泡沫纳入考虑范围。论文的主要内容如下： 第一章,引言。介绍本文的研究背景、选题意义,阐述了本文涉及的股市泡沫、货币政策等概念,并给出具体的结构安排。 第二章,文献综述。从货币政策是否应该对股市泡沫作出反应、货币政策是否曾对股市泡沫作出反应、股票价格对实体经济的影响三个方面对国内外现有的研究成果进行了全面的梳理,总结以往研究的方法、特点及规律,揭示其中的不足。 第三章,泰勒规则理论、修正与扩展。本部分首先介绍了货币政策规则理论的发展历史,引出了泰勒规则；然后对泰勒规则理论进行了详细介绍,综述了泰勒规则的修正与扩展及国内外学者相关研究成果；然后引入前瞻性构建了前瞻性泰勒规则,在此基础上又引入利率平滑构建了货币政策反应函数；最后泰勒规则和货币政策反应函数中加入股市泡沫因素进行扩展。 第四章,股市泡沫理论与测度。本部分系统的介绍总结了股市泡沫理论与模型、股市泡沫判断与测度方法,重点对动态剩余收益估值模型进行了研究,得到了计算股市泡沫的方法。然后基于中国股市的相关数据,计算得到了2002年到2011年10年间中国股市的季度泡沫度。基于泡沫度将股市泡沫划分为死亡负泡沫、恶性负泡沫、良性负泡沫、良性正泡沫、恶性正泡沫和死亡正泡沫,并将中国股市各阶段的泡沫按照上述划分进行归类。 第五章,股市泡沫变化对中国货币政策影响的实证分析。此部分为本文的主要实证部分,首先对实证分析所需要的变量进行了确定和数据处理。并对得到的数据和第四章得到的中国股市的季度泡沫度数据进行时间序列平稳性检验,判断其是否能进行协整检验。进行格兰杰因果检验,来探究将股市泡沫加入泰勒规则是否合理。然后基于第三章得到的扩展的泰勒规则和前瞻性泰勒规则进行了协整检验,基于扩展的货币政策反应函数进行广义矩估计,以揭示股市泡沫、通货膨胀缺口、产出缺口对利率存在的影响。 第六章,结论与政策建议。对本文内容做总结,得出了我国股市尚不成熟股市泡沫与股价呈明显正相关、我国利率对通货膨胀缺口和产出缺口反应不足和央行近年的货币政策实践未考虑股市泡沫因素的结论。并给出了加强股票市场建设以减少股市泡沫、推进利率市场化、货币政策应响应股市泡沫等三条针对性政策建议。 本文的创新之处在于,与以往文献多使用市盈率、股票价格指数等间接指标反映股市泡沫不同,本文使用动态剩余收益估值模型测度中国股市的实际泡沫,将股市的实际泡沫度引入泰勒规则,考察将股市实际泡沫作为内生影响因素的货币政策反应机制。这样更能直接地反映股市泡沫程度,更能准确反应出股市泡沫对货币政策的影响。
[Abstract]:Since 1980s, either in developed countries or developing countries, there are stocks, real estate asset price bubbles, increase and decrease of the stock market bubble expansion and rupture and will not cause wealth, but this process will lead to a reduction of investment in the real economy, the bank capital chain rupture, problems of the widening gap between rich and poor and so on. China from stock market since its birth in 1990, from small to big, from weak to strong, grow with each passing day and its influence on the national economy. However, since the date of birth, the stock market has been listing round of soaring prices, but with the continuous development of the stock market, the stock market bubble to a potential threat to China's financial security and financial development is more and more big.
The transmission mechanism of monetary policy Chinese is the traditional central bank control based on commercial banks as the main body of the financial system, the supply and demand of funds and the cost of bank credit is the main channel of monetary policy implementation. However, with the capital market including stock market developed rapidly, it constitutes a significant impact on the implementation effect of monetary policy rules for Taylor. It can accurately and succinctly reflects the monetary policy practice in western countries, has become the Federal Reserve, the central bank the Bank of England and other western countries and make an important basis for the implementation of the monetary policy. At present, our country is in the money supply as the target of monetary policy, but China has continued to carry out the financial system reform, continue to promote the interest rate market, so this paper use Taylor rule to explore the changes of monetary policy to the stock market bubble.
The Taylor rule was revised and expanded, introducing expectation and stock market bubble, construct the reaction mechanism of monetary policy including stock market bubble. Using the dynamic residual income valuation model to measure out the empirical analysis of the stock market bubble of the actual China, results show that whether it is based on the Taylor rule, Taylor rule or the forward-looking monetary policy reaction function. The practice of monetary policy in recent years, the central bank did not consider the stock market bubble, which suggested that the central bank will be the stock market bubble into account. The main contents of this paper are as follows:
The first chapter, introduction, introduces the background of the study, the significance of the topic, expounds the concept of the stock market bubble, monetary policy and so on, and gives specific structural arrangements.
The second chapter, literature review. From the monetary policy should respond to the stock market bubble, whether monetary policy has to respond to the stock market bubble, summarized the impact of stock prices on the real economy of the three aspects of the existing research results at home and abroad, summarizes the previous research methods, characteristics and laws, reveals the deficiencies.
The third chapter, Taylor's theory of rules, modification and extension. This part first introduces the development history of the theory of monetary policy rules, leads to the Taylor rule; then a detailed introduction of the theory of Taylor rule, modified Taylor rule summarizes the achievements related to extension and research scholars at home and abroad; then introduced to construct a forward-looking Taylor rule prospective, on the basis of introducing interest rate smoothing constructs the monetary policy reaction function; stock market bubble finally joined the Taylor rule and the monetary policy reaction function is extended.
The fourth chapter, the stock market bubble theory and measurement. This part systematically sum up the theory and model of stock market bubble, the stock market bubble judgment and measure method, focusing on the dynamic residual income valuation model, the calculation method of the stock market bubble. Then based on the related data Chinese shares, calculated from 2002 to 2011 10 from Chinese stock market bubble degree. The foam of the stock market bubble is divided into death based on negative bubble, malignant negative bubble, benign negative bubble, bubble is benign, malignant and death is positive bubble bubble, and the stage Chinese stock market bubble is classified into these types.
The fifth chapter, empirical analysis of the effect of monetary policy changes on the stock market bubble Chinese. This part is the empirical part of this article, firstly, the empirical analysis was carried out to determine the required variables and data processing. And the data, and the fourth chapter of the China stock market bubble degree data time series stationarity test, judgment whether it can carry on the cointegration test. Grainger causality test, to explore the stock market bubble will join the Taylor rule is reasonable. And then extended the third chapter get the Taylor rule and forward-looking Taylor rule based on the cointegration test, expansion of the monetary policy reaction function based on GMM estimation, in order to reveal the stock market bubble, inflation gap effect of the output gap, interest rate exists.
The sixth chapter, conclusions and policy recommendations. This paper concludes the content, that there was a significant positive correlation of China's stock market is not mature stock market bubble and the stock price, the interest rate of our country on the practice of the monetary policy inflation gap and output gap under reaction and the central bank does not consider the stock market bubble in recent years. The conclusion is given to strengthen the construction of the stock market in order to reduce the stock market bubble, promoting the marketization of interest rates, monetary policy should respond to the stock market bubble in three specific policy recommendations.
鏈枃鐨勫垱鏂颁箣澶勫湪浜，
本文编号：1494635
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