货币供应量对中国股票价格影响的实证研究

发布时间：2018-03-10 09:50

本文选题：货币供应量　切入点：中国股票价格　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来,中国股票市场的发展速度越来越快,在金融市场的影响力也越来越大。1995年股权分置改革实施以来股票市场的完善程度也在提高,但我国经济发展的实际情况与国外发达国家仍然存在差距。一个完善的股票市场,不仅可以带动经济的发展,使充分就业下的国民收入得以实现,而且可以提高一个国家在国际上的影响力,增强国家的话语权。这些优点足以让我们加大研究影响股票市场因素的力度。我国调控经济的手段可以通过财政政策和货币政策,其中货币政策是主要的调控手段。在货币政策实施过程中,容易调节和控制的就是货币供应量这一指标,因此,国内外就货币供应量对股票价格影响的研究引起了高度重视。学者们通过各种传导途径研究分析影响股票市场的机制,主要有利率传导、投资组合效应、心理预期等途径。综合运用货币市场和股票市场的宏观调控作用,对经济的发展有着重要的影响。研究货币供应量对股票价格的影响对经济的发展有着重要的意义。在国外发达国家,股票市场是作为反映经济的晴雨表而发挥作用的,但我国市场经济仍然存在很多问题,不能使股票市场充分的发挥其自身的调控作用,研究货币供应量对股票价格的影响可以更好的了解二者之间的传导机制,并调控经济以达到国家发展的目标。一般来说,央行改变货币政策使货币供应量发生变化,股票市场也会发生相应变动,股票市场的波动将会影响投资,进而引起经济的其他波动。所以在这样一个相互关联的链条中,研究货币供应量在何种程度上影响股票市场是十分必要的。本文正是期望通过解决货币供应量对股票价格的影响这一问题,可以为国家提出相关货币政策、促进经济发展提供有用的参考建议。本文首先叙述了股票价格影响的理论基础。讨论货币供应量与股票价格的相互关系。在对货币供应量与股票市场进行了定性分析之后,本文将上证指数、货币供应量、工业增加值、利率、通货膨胀率等指标结合,利用SVAR模型对变量之间的相互作用进行实证分析,着重对脉冲响应的结果进行讨论。根据本文收集的较为全面的、具有时效意义的数据,对货币供应量进行描述性统计分析,然后建立计量经济模型,从货币供应量对中国股票价格影响的角度进行研究,将上证指数,货币供应量,利率,工业增加值,通货膨胀率作为经济变量纳入SVAR模型,研究货币供应量与股票价格长期的互动关系和相互的影响作用。实证研究表明当本期给货币供应量M2一个正的冲击后,即增加广义货币供给量以后,上证指数开始上升,在达到最高点之后下降,最后趋于平稳状态。表明了股票价格在受到广义货币供给量增加的冲击后,经过一系列的传导机制传递给股票市场,给股票市场带来波动,股票价格发生变动,而后这一冲击又逐渐减弱并趋于平稳。在总结出上述结论之后提出可供参考的政策建议。本文的创新点在于采用时效性更强的数据,将上证指数,货币供应量,工业增加值,通货膨胀率,利率等指标均纳入模型,并且对数据采取对数处理,使数据的适应性更强。在模型的选取方面,本文将要纳入模型的变量不仅有外生变量,也有内生变量；不仅考虑一个当期内生变量对其他内生变量滞后值的影响,也考虑了当期内生变量之间的影响。本文正是在这样的背景下,采用了更适合的SVAR模型。本文的局限性主要在于对问题进行的是静态分析,没有考虑到纳入模型的各个变量对股票价格的影响顺序。实际上,在货币供应量对中国股票价格的影响过程中,各个变量起的作用是有先后的,但本文没有进行动态分析,而是将所有变量一同纳入模型分析。
[Abstract]:In recent years, China stock market develops faster and faster, in the financial markets increasingly influential.1995 share reform since the implementation of the degree of perfection of the stock market is also increasing, but the economic development of our country's actual situation with foreign developed countries there is still a gap. A perfect stock market, not only can drive the development of economy, the full employment of the national income can be achieved, but also can improve a country's influence in the international arena, enhance the right to speak of the state. These advantages enable us to increase the effect of stock market factors, efforts.
China's regulation of the economy by means of fiscal policy and monetary policy, the monetary policy is the primary means of regulation. In the implementation of monetary policy in the process, easy to adjust and control the money supply index is, therefore, domestic money supply of the stock price influence mechanism and attracted great attention. Scholars have analyzed the impact of the stock market through the study of various pathways, the main interest rate, portfolio effect, psychological expectations and other ways. The macro-control role of comprehensive use of the monetary market and the stock market, has an important influence on the development of the economy.
There is important to study on the influence of money supply to the stock price on the economic development. In developed countries, the stock market is a barometer of the economy as reflected and play the role of the market economy in our country, but there are still many problems, the stock market can not make full play the role of its own, impact on money supply the amount of stock price can better understand the transmission mechanism between the two, and the regulation of the economy to achieve national development goals. In general, the central bank monetary policy changes to the money supply change, the stock market will change accordingly, the fluctuation will affect the investment in the stock market, and cause other economic fluctuation. So in such a correlative study of money supply chain, the impact of the stock market to what extent is very necessary. This article is expected through the solution The issue of the influence of money supply on stock price can provide useful reference for the country to put forward relevant monetary policy and promote economic development.
This paper first describes the theoretical basis of the influence of stock price. Discuss the relationship between money supply and stock price. After the money supply and stock market were analyzed in this paper, the Shanghai index, money supply, industrial added value, interest rate, inflation rate and other indicators combined, the empirical analysis of interaction variables between using the SVAR model, focusing on the impulse response results were discussed. According to the collection of more comprehensive, with aging meaningful data, descriptive statistical analysis of the money supply, and then establish the econometric model, conducts the research from the influence of money supply on Chinese stock price perspective, the index of Shanghai Stock Exchange, money supply the amount, interest rate, industrial added value, the rate of inflation as economic variables into the SVAR model, the study of money supply and stock prices and long-term relationship Effect of each other. The empirical research shows that when the money supply M2 to a positive impact, after which increase the broad money supply, the Shanghai index began to rise, decline after reaching the highest point, finally tends to a steady state. That stock price under generalized money supply increased after impact after passing a series of transmission mechanism for the stock market to the stock market volatility, stock price changes, and the impact was gradually weakened and stabilized. After summarize the above conclusions and puts forward some policy suggestions.
The innovation of this paper lies in the timeliness of data will be stronger, the Shanghai index, money supply, industrial added value, inflation rate, interest rate and other indicators were included in the model, and the data processing using the logarithmic data, and adaptable. In the selection of the model, this paper will be included in the model variables not only exogenous variables also, there are endogenous variables; not only consider a current endogenous variables impact on other endogenous variables lagged value, considering the current effects of endogenous variables. This article is in this context, the SVAR model is more suitable.
The main limitation of this paper is on the problem of the static analysis, without considering the influence order of each variable into the model of stock price. In fact, in the money supply process of Chinese stock prices, the role of each variable is successively, but this is not dynamic, but all variable into the model.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F822.0;F832.51

【参考文献】