货币政策操作对股票市场价格影响的研究

发布时间：2018-02-26 03:12

本文关键词： 货币政策股票价格政策建议　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文通过观察2008年金融危机前后国内宏观经济、股票市场与货币政策操作对比关系,进而从理论上分析货币政策操作对股票市场价格的影响,并实证检验三大货币政策工具(调整存款准备金率、公开市场业务操作和调整存贷款基准利率)对股票市场价格作用。通过理论分析及实证检验得出部分结论,并对理论分析结果与实证检验结果差异提出解释,得出部分政策建议。方法选择上,本文包括实体经济分析、作用机理分析和计量实证分析。首先,实体经济观察部分回顾了金融危机前后宏观经济波动情况、相应的货币政策操作历程以及股票市场价格波动。理论分析部分首先考察了影响股票价格指数的主要因素,进而通过分析货币政策三大工具对股价影响因素的作用,进而得出分析结论。实证检验部分通过单位根检验、协整检验、格朗杰因果检验、脉冲响应等计量方法研究货币政策三大工具对股票市场价格的影响。最后,结合理论分析与实证分析提出以下结论：货币政策三种主要工具皆与股票市场价格存在稳定的长期均衡关系,且为负相关关系,其中利率对股票价格的影响强度最大；三种政策工具对股票市场价格影响的因果关系不明显；另外,三种货币政策工具短期对股票价格指数的影响不明显,可能由于制约因素及货币政策时滞而导致。通过理论分析和实证分析结果差异得出,政策上应该着重加强股票市场的完善与规范,提高股票市场的有效性；加强货币政策和股票市场的联通性；另外还有尽快放开利率管制等。由于能力限制及其他因素,本文对于公开市场操作变量的选择可能存在缺陷；另外本文时间跨度包括了6年数据,可能存在研究期限长度的影响导致的结果偏差；并且本文未加入预期因素的影响,同时未考虑政策瞬时冲击对股票市场价格的影响。以上这些都是可能的改进之处。
[Abstract]:By observing the comparative relationship between domestic macro economy, stock market and monetary policy operation before and after the financial crisis in 2008, this paper theoretically analyzes the influence of monetary policy operation on stock market price. The paper also empirically tests the effect of three monetary policy instruments (adjusting reserve ratio, open market operation and benchmark interest rate on deposit and loan) on the stock market price, and draws some conclusions by theoretical analysis and empirical test. The differences between the theoretical analysis results and the empirical test results are explained and some policy recommendations are obtained. In the selection of methods, this paper includes real economy analysis, action mechanism analysis and econometric empirical analysis. First of all, the real economy observation part reviews the macroeconomic fluctuation situation before and after the financial crisis, the corresponding monetary policy operation history and the stock market price fluctuation. Then, by analyzing the effect of the three tools of monetary policy on the stock price, the conclusion is drawn. The empirical test part passes the unit root test, cointegration test, Granger causality test. Impulse response and other measurement methods are used to study the impact of monetary policy on stock market price. Finally, Combined with theoretical analysis and empirical analysis, the following conclusions are put forward: the three main instruments of monetary policy have a stable long-term equilibrium relationship with stock market price, and are negatively correlated, among which interest rate has the greatest influence on stock price; The causality of the three policy instruments on the stock market price is not obvious; in addition, the short-term impact of the three monetary policy instruments on the stock price index is not obvious. Through theoretical analysis and empirical analysis, it is concluded that the policy should focus on the improvement and standardization of the stock market to improve the effectiveness of the stock market; Strengthen monetary policy and stock market connectivity; in addition, as soon as possible to liberalize interest rate control and so on. Due to the limitation of ability and other factors, the selection of open market operating variables may be defective in this paper, in addition, the time span of this paper includes six years' data, which may result in the deviation of results caused by the influence of the length of the study period. Moreover, this paper does not take into account the influence of the expected factors and the impact of the policy instantaneous shock on the stock market price. These are the possible improvements.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F821.0;F831.51

【引证文献】