货币政策对我国股票价格影响研究

发布时间：2019-01-18 14:23

【摘要】：本论文主要研究内容是：我国货币政策的调整如何传导到股票市场，以及对股票市场价格产生怎样的影响。文章在国内外研究基础上，进行了理论阐述和实证分析。全文要解决的问题主要有以下两个：一是从长期看货币政策是否影响股票市场的价格行为，这其中包括不同货币政策指标对股市影响有什么不同和不同证券市场对货币政策反应有什么不同；二是从短期分析货币政策对我国股票市场是否有宣告效应。根据要研究的主要内容，将论文分为五大部分，包括：引言、第一章货币政策对股票价格影响的相关理论及现状分析、第二章货币政策对股票价长期格影响的实证分析、第三章货币政策对股票价格短期影响的实证分析和第四章结论与对策建议。论文引言以及第一章是对所要研究问题的概述，主要是理论上的概述以及我国货币政策对股价影响现状分析。论文第二章通过对我国1998年到2011年货币政策变量、股票市场变量以及主要的宏观经济等相关变量进行实证研究，进而得出我国货币政策变动和股票市场价格之间的关系。在这一部分中，我们检验变量之间存在长期协整关系后，运用国内外学者最常采用的经典研究方法——向量误差修正模型，将代表货币政策的指标广义货币供给量、7天同业拆借利率及贷款余额看作内生变量置于模型中，研究它们的变动对股价的影响。在将货币政策作为内生变量研究之后，第三章中，我们再将其作为外生变量，用事件研究方法来分析它的变动对股市的影响，用这一方法研究时我们选取的样本是2005年到2011年我国中央银行采取的离散型的货币政策，包括存贷款利率的调整和法定存款准备金率的调整。通过第三章的分析，我们发现，，我国股票市场存在货币政策的短期宣告效应，同时也存在货币政策信息提前泄露的问题，但这两种现象均不是普遍存在的，说明我国股票市场机制尚不完善。文章最后一章给出研究的主要结论，以及根据所得出的结论提出一些对策建议。
[Abstract]:The main contents of this thesis are: how the adjustment of China's monetary policy is transmitted to the stock market and how to influence the stock market price. On the basis of domestic and foreign research, this paper makes a theoretical and empirical analysis. The main problems to be solved in this paper are as follows: first, in the long run, whether monetary policy affects the price behavior of the stock market, This includes how different monetary policy indicators affect the stock market and how different securities markets react to monetary policy; Second, from the short-term analysis of monetary policy on the stock market in China whether there is a declaratory effect. According to the main content to be studied, the thesis is divided into five parts, including: introduction, the first chapter of monetary policy on the stock price analysis of the relevant theory and current situation, chapter II monetary policy on the stock price long-term impact of empirical analysis. Chapter three is the empirical analysis of the short-term influence of monetary policy on stock price and the conclusion and countermeasures. The introduction of the paper and the first chapter is an overview of the problems to be studied, mainly the theoretical overview and the analysis of the current situation of monetary policy's influence on the stock price in China. In the second chapter, we make an empirical study on the monetary policy variables, stock market variables and the main macroeconomic variables from 1998 to 2011, and then get the relationship between the monetary policy changes and the stock market prices in China. In this part, after we test the long-term cointegration relationship between variables, we use the vector error correction model, which is the classical research method most commonly used by domestic and foreign scholars, to represent the broad money supply index of monetary policy. The 7-day interbank offered rate and loan balance are put into the model as endogenous variables to study the effect of their changes on stock price. After the study of monetary policy as an endogenous variable, in the third chapter, we use it as an exogenous variable to analyze the impact of its changes on the stock market with the method of event study. When we use this method, we choose a sample of discrete monetary policy adopted by the Central Bank of China from 2005 to 2011, including the adjustment of deposit and loan interest rate and the adjustment of Statutory deposit reserve ratio. Through the analysis of the third chapter, we find that the short-term announcement effect of monetary policy exists in the stock market of our country, and at the same time, there is the problem of information leakage of monetary policy in advance, but these two kinds of phenomena are not universal. Explain our country stock market mechanism is not perfect. In the last chapter, the main conclusions are given, and some suggestions are put forward.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0

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