货币政策对我国股票市场价格的影响研究

发布时间：2018-01-01 15:47

本文关键词：货币政策对我国股票市场价格的影响研究　出处：《南京农业大学》2012年硕士论文　论文类型：学位论文

【摘要】：20世纪90年代以来,随着金融创新、金融自由化和资本市场全球化的不断深化,金融结构和环境发生了重大的变化。股票市场在金融活动中的地位日益增强,对经济增长及其他经济变量的影响也越来越大。美联储前任主席格林斯潘曾经说过,新时期货币政策面临的新挑战将主要来自于资本市场。2006年以来,随着股权分置改革的顺利开展,中国的股票市场逐步进入全流通时代,股票市场作为中国经济“晴雨表”的作用越来越显著,在宏观经济中的地位不断提升,股票市场已经成为了货币政策不得不考虑的重要部分。2008年的金融危机给全世界经济带来巨大打击,也使得我国政府越来越重视货币政策对于股票市场的影响,“四万亿投资救市计划”就是一次史无前例的大胆尝试。然而,四万亿救市虽然使我国经济下滑的势头得到一定程度缓解,但是据最新经济数据显示,这些经济政策的拉动效果明显小于市场预期,同时存在很强的滞后效应。实体经济的“回暖”没有预期中的那样快速和显著,货币政策的实施效果遭到严重削弱。2010年我国股票价格在2900点左右低位震荡,其中一个重要原因是中央银行为了控制通货膨胀,6次通过提高法定准备金比率,用以收减货币供给量。2011年以后,中央银行又6次提高法定准备进比率,从而对股票价格起到抑制作用。作为为我国政府宏观调控重要手段之一的货币政策,目前由于存在传统渠道弱化和传导机制不畅等问题,对经济的调控效果受到明显制约。随着股票市场的蓬勃发展及其与国民经济的联系日益密切,货币政策的实施必然影响到股票市场的走势和发展,同时股票市场对货币政策的效应也产生了积极的作用。因此,对我国货币政策与股票市场互动效应进行深入研究,确定股票市场能否成为新的货币政策传递渠道,使货币政策发挥出对宏观经济更加有效的调控作用,已成为我国经济领域面临的新课题.。影响中国股票市场价格的因素有很多,本文仅从“货币供应量”的单一视角进行考量。本文首先介绍了相近课题的国内外研究现状,在理论上分析了我国的主要货币政策对于货币供应量的影响,继而讨论了货币供应量对于股票市场价格的传导机制,研究了货币政策对于股市波动的影响及其作用原理。再通过建立时间序列模型以及格兰杰因果检验进行实证分析,证明了货币供应量确实对于股票市场价格产生影响,最后提出政策建议。创新之处在于：一方面,本文的研究对象和数据较新,选取了1999年1月至2011年11月的上证指数月度收盘价格数据以及同时期的月度M1增量(同比增长率)作为研究对象；另一方面,在实证分析部分,本文采用国内外广泛应用于金融市场的理论和模型进行实证分析,应用前沿的计量经济学方法,从多个角度分析股市发展影响货币政策的内在机制,并对比分析研究结果,以求研究结果客观准确。采用的时间序列模型克服了传统多元回归方法对非平稳数据的回归时的伪回归问题,并在进行经济分析之前采用指数平滑法对股价指数和M1原数据进行了调整,在研究方法上更为客观,具有一定的创新性。
[Abstract]:Since 1990s, with the deepening of financial innovation, financial liberalization and capital market globalization, major changes in the financial structure and the environment. The position of the stock market in the financial activities of the growing impact on economic growth and other economic variables is also growing. The former Federal Reserve Chairman Greenspan once said, face a currency policy in the new period the new challenges mainly come from the capital market.2006 years, with the share reform smoothly, China stock market gradually enters the era of full circulation, the stock market is more and Chinese as economic "barometer" of the more obvious, in the macro economy has been increasing, the stock market has become the currency the policy had to consider the important part of the financial crisis of.2008 caused a huge blow to the world economy, but also make our government more and more heavy Effect of monetary policy on the stock market, "four trillion investment plan" is a bold attempt There was no parallel in history.. However, although the four trillion bailout makes China the momentum of the economic downturn will be eased to some extent, but according to the latest economic data show that the economic policy of stimulating effect is obviously less than the market expected, at the same time lag effect strong. The real economy rebound is not expected as fast and significant, the effect of monetary policy shocks severely weakened the stock price of China.2010 year low at around 2900 points, one important reason is that the central bank to control inflation, 6 times by increasing the statutory reserve ratio, after closed reduction the money supply increase in.2011, and 6 times the central bank into the statutory reserve ratio, and the inhibiting effect on the stock price.
As one of the important means of China's macro-control of the government's monetary policy, at present due to traditional channels and the weakening of the conduction mechanism of problems such as poor control effect on the economy is obviously restricted. With the vigorous development of the stock market and the national economy have become increasingly close, the implementation of monetary policy will inevitably affect the trend and development of stock in the market, but also have a positive effect on the stock market on monetary policy. Therefore, in-depth study of the interaction between monetary policy and stock market in China, to determine whether the stock market can become the new transmission channels of monetary policy, the monetary policy play a more effective role in macroeconomic regulation and control, has become a lot of a new topic. With the influence of our country's economic field factors China stock market price, this paper only consider from the single perspective of money supply ".
This paper introduces the research status of similar issues at home and abroad, the theoretical analysis of the influence of monetary policy in China for the money supply, and then discussed the money supply to the conduction mechanism of the price of the stock market, the monetary policy and the role of principle for the impact of stock market volatility. Then through the establishment of time series model and Grainger causality test, empirical analysis, proved that the money supply is for the stock market price impact, and finally put forward policy suggestions. The innovation lies in: on the one hand, the research object of this paper and the new data, from January 1999 to November 2011, the Shanghai index monthly closing price data as well as the monthly increment (year-on-year growth rate of M1) as the research object; on the other hand, in the part of empirical analysis, this paper used at home and abroad are widely used in the theory of financial markets The model and empirical analysis, econometric methods and position, internal mechanism analysis the impact of monetary policy to the development of the stock market from various angles, and the comparative analysis of the results, in order to study the results objectively and accurately. The time series model used to overcome the spurious regression problem of nonstationary data regression when traditional multiple regression method, and the the stock price index and M1 data were adjusted using exponential smoothing method before the economic analysis, the research method is more objective, has certain innovation.

【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0

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