资产价格、货币政策与我国金融状况指数

发布时间：2018-01-16 02:19

本文关键词：资产价格、货币政策与我国金融状况指数　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着资本市场特别是股市和房地产市场在经济金融活动中的地位不断增强,资产价格波动对货币政策目标及金融稳定的影响也显著增加,资产价格与货币政策及通货膨胀的内在关系也越来越受人们的关注。货币政策是否需要考虑资产价格,也是理论界和中央银行曾经热议的话题,2007年国际金融危机爆发以来,此问题再度受到关注。特别是近几年房地产价格快速上升,对资产价格存在泡沫的说法不断升温,因此探索资产价格波动与货币政策、膨胀预期之间的内在联系,改进和完善货币政策体系是目前中央银行的现实选择,对于维护经济金融的稳定发展也具有重大意义。本文通过理论与实证分析相结合的方法,对我国资产价格波动、货币政策以及资产价格波动与货币政策之间的相关性进行了理论分析和探讨,并针对当前CPI作为我国通货膨胀参考指标的不足,提出了构建我国金融状况指数的构想。沿着这样的逻辑,除了第一章导论和最后一章结论外,本文的基本框架为：第二章探讨了现有的关于资产价格与货币政策框架的争论,首先分析了现有的货币政策框架的特点,论述了针对货币政策是否应该考虑资产价格所产生的争论,以及在这些争论下资产价格与货币政策的关系和资产价格的货币政策传导。第三章从通货膨胀机理的变化角度阐述了资产价格与货币政策的关系。从目前通货膨胀只关注CPI指数所带来的一系列问题出发,讨论了中央银行在资产价格膨胀时所面临的选择,进而探讨了将资产价格纳入通货膨胀的尝试。第四章在上文的基础上,提出构建中国金融状况指数的构想,包括讨论比较多的货币状况指数和金融状况指数,并结合我国的实际数据,选取有代表性的变量构造更广泛意义的金融状况指数,并进行了实证检验与分析。第五章通过检验的结果讨论了此指数对经济金融及通货膨胀的影响。在以上研究的基础上,运用VAR模型分析法,通过各变量对CPI的平均脉冲响进行分析,得出以下结论：资产价格波动影响中央银行货币政策目标,CPI已不足以作为衡量通货膨胀的有效指标,而实证结果也证实了包含资产价格的金融状况指数FCI是CPI变动的格兰杰因果检验,对未来通货膨胀的变化情况有很好的预测能力,比CPI能够更加全面的衡量通货膨胀,可以作为中央银行货币政策的参考指标。
[Abstract]:With the increasing position of capital market, especially stock market and real estate market in economic and financial activities, the impact of asset price fluctuation on monetary policy objectives and financial stability has also increased significantly. The intrinsic relationship between asset price and monetary policy and inflation has been paid more and more attention. Whether monetary policy should consider asset price is also a hot topic in theory and central bank. Since the outbreak of the international financial crisis in 2007, this problem has been paid attention again, especially the rapid rise of real estate prices in recent years, and the rising of the claims that asset prices exist bubbles. Therefore, it is a realistic choice for the central bank to explore the internal relationship between asset price fluctuation and monetary policy and inflation expectation, and to improve and perfect the monetary policy system. It is also of great significance to maintain the stable development of economy and finance. Through the combination of theory and empirical analysis, this paper makes a theoretical analysis and discussion on the fluctuation of asset price, monetary policy and the correlation between asset price fluctuation and monetary policy in China. Aiming at the deficiency of CPI as a reference index of inflation in our country, this paper puts forward the conception of constructing the index of financial condition of our country. Along this logic, except the introduction of the first chapter and the conclusion of the last chapter. The basic framework of this paper is as follows: the second chapter discusses the existing debate on asset prices and monetary policy framework, and analyzes the characteristics of the existing monetary policy framework. This paper discusses the debate about whether monetary policy should consider asset price. Under these arguments, the relationship between asset price and monetary policy and the transmission of monetary policy of asset price are discussed. Chapter three expounds the relationship between asset price and monetary policy from the angle of inflation mechanism. Inflation focuses only on the series of problems posed by the CPI index. This paper discusses the choice that the central bank faces when the asset price expands, and then discusses the attempt to bring the asset price into the inflation. Chapter 4th, on the basis of the above, puts forward the idea of constructing China's financial condition index. Including the discussion of more monetary index and financial condition index, and combined with the actual data in China, select representative variables to construct a broader meaning of the financial situation index. Chapter 5th discusses the impact of this index on economy, finance and inflation. On the basis of the above research, using VAR model analysis method, through the analysis of the average impulse response of CPI, the following conclusions are drawn: the fluctuation of asset prices affects the monetary policy objectives of the central bank. CPI is no longer an effective measure of inflation, and the empirical results also confirm that the financial condition index (FCI), which includes asset prices, is the Granger causality test of CPI changes. It has a good ability to predict the change of inflation in the future and can measure inflation more comprehensively than CPI. It can be used as a reference index of monetary policy of central bank.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.5;F224

【参考文献】