开放经济条件下我国货币政策股票价格传导机制实证研究

发布时间：2018-01-31 22:12

本文关键词： 货币政策股票价格人民币汇率信贷分配非对称　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：货币政策股票价格传导机制指货币政策工具变量通过改变股票资产价格,进而影响居民和企业的消费、投资决策,从而传导至实体经济部门的过程。近年来我国股票市场发展迅速,投融资功能渐趋完善,股票在居民资产结构中的比例持续增加,越来越多的企业以股票市场作为重要的直接融资渠道,这使得货币政策股票价格传导机制在我国货币政策传导体系中发挥着越来越重要的角色,并引起了学者们的广泛重视。但目前国内的多数文献仅对货币政策股票价格传导机制的某个环节进行实证检验,比较缺乏系统性,且并未探讨在信贷资源分配不均的情况下,大型企业与中小型企业在传导机制中发挥的不同作用,也未考虑开放经济条件下人民币汇率水平的波动对货币政策传导效果的影响。本文从不同货币政策工具对股价的影响机制以及股价波动对居民消费和企业投资的影响途径两方面,对货币政策股票价格传导机制进行了详尽的理论分析。同时构建了统一的SVAR模型,引入了人民币汇率指数变量,并分别选取上证50指数和深证中小板综合指数作为大型企业和中小企业股价的代表变量,对我国货币政策股票价格传导机制进行了系统而完整的实证分析。本文的研究发现,总体而言我国货币政策通过股票价格传导的机制是通畅的,各主要货币政策工具变量均能显著的影响股票资产价格并传导至实体经济。但是不同的货币政策工具对股价影响的效果并不相同,而由于产业分布和银行信贷等金融资源分配的不均,大型企业与中小型企业在货币政策传导机制中发挥的作用亦具有显著的差异。另一方面,与银行信贷和资产价格相关的货币政策资产价格传导渠道在我国并不明显,而随着经济开放度的提高以及人民币汇率制度的改革,人民币汇率水平对货币政策的股票价格传导机制产生了日益重要的影响。我们认为央行的货币政策制定应该关注股票资产价格,并宜选取利率水平作为货币政策中介目标；同时应采取有效措施促进银行贷款流向融资渠道匮乏的中小企业,保障国民经济的健康发展。
[Abstract]:Monetary policy stock price transmission mechanism refers to the monetary policy instrument variables by changing the stock asset price, and then affect the consumption of residents and enterprises, investment decisions. In recent years, the stock market in our country has developed rapidly, the function of investment and financing has been gradually improved, and the proportion of stock in the structure of residents' assets has been increasing continuously. More and more enterprises take the stock market as the important direct financing channel, which makes the monetary policy stock price transmission mechanism play a more and more important role in the monetary policy transmission system of our country. And has caused the widespread attention of scholars. But at present most of the domestic literature only carries on the empirical test to a link of monetary policy stock price transmission mechanism, relatively lacks the systematicness. And did not discuss in the case of uneven distribution of credit resources, large enterprises and small and medium-sized enterprises in the transmission mechanism play a different role. The effect of RMB exchange rate fluctuation on the transmission effect of monetary policy is not considered. This paper discusses the influence mechanism of different monetary policy tools on stock price and the influence of stock price fluctuation on resident consumption and enterprise investment. This paper makes a detailed theoretical analysis on the transmission mechanism of monetary policy stock price. At the same time, it constructs a unified SVAR model and introduces the RMB exchange rate index variable. The Shanghai Stock Exchange 50 Index and the Shenzhen Stock Exchange Composite Index are selected as the representative variables of the stock prices of large enterprises and small and medium-sized enterprises respectively. The paper makes a systematic and complete empirical analysis on the stock price transmission mechanism of monetary policy in China. In general, the mechanism of monetary policy through the transmission of stock price is unobstructed. Each major monetary policy instrument variable can significantly affect the stock asset price and transmit to the real economy. However, different monetary policy instruments have different effects on stock price. Due to the uneven distribution of financial resources, such as industrial distribution and bank credit, the role played by large enterprises and small and medium-sized enterprises in the transmission mechanism of monetary policy is also significantly different. Monetary policy related to bank credit and asset prices the transmission channels of asset prices in China are not obvious, but with the increase of economic openness and the reform of RMB exchange rate system. The level of RMB exchange rate has an increasingly important influence on the transmission mechanism of stock price of monetary policy. We think that the central bank should pay attention to the stock asset price in monetary policy formulation. And the level of interest rate should be chosen as the intermediate target of monetary policy; At the same time, effective measures should be taken to promote the flow of bank loans to small and medium-sized enterprises with scarce financing channels, so as to ensure the healthy development of the national economy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

【参考文献】