货币政策调整对股票指数影响的实证研究

发布时间：2018-04-25 15:19

本文选题：货币政策 + 股票指数　；参考：《长沙理工大学》2012年硕士论文

【摘要】：自从实行市场经济体制改革以来，我国实体经济在市场经济的带动下取得了巨大的成就，股票市场作为经济发展的重要组成部分，，其发展和完善也正逐步体现其价值。我国的货币政策对实体经济产生影响的同时，对股票市场也带来了一定影响。在世界范围内出现的多次利用货币政策来调整股票市场的案例，说明货币政策对股票市场产生着一定作用。因此，货币政策对股票市场的影响研究已经成为了一个十分热门的话题。长期以来，我国股票市场也在探索中不断改革前进，但由于一定的原因一直被予以“政策市”的名号。为了解决不利于我国股票市场发展的历史遗留问题，2005年5月，中国开始实行股权分置改革，此举对中国股票市场具有跨时代的意义，是中国股票市场发展的分水岭。本文通过实证研究分析了货币政策调整对股票市场的短期和长期影响。在分析短期影响时，采用相关性分析，发现利率和存款准备金率对股票市场的影响比较微弱。在分析长期影响时，为了研究货币政策对股权分置改革前后股票市场的不同影响，本文以股权分置改革为临界点，选取了2001年1月-2005年4月和2005年5月-2011年9月两个时间段的样本数据，采用Granger因果分析、结构向量自回归模型（SVAR）、脉冲响应分析和方差分解的方法，发现货币政策在长期内对股票市场有一定的影响，并且在股权分置改革前对股票市场的影响要大于改革之后。这说明了我国股票市场的政策性因素有一定程度的减弱，“政策市”影响正逐步减小，市场的调节能力得到了进一步加强。在此基础上，本文对货币政策当局和投资者提出了相关的政策建议。
[Abstract]:Since the reform of market economy system, the real economy of our country has made great achievements under the impetus of market economy. As an important part of economic development, the development and perfection of stock market is gradually embodying its value. China's monetary policy has an impact on the real economy, but also on the stock market. Many cases of using monetary policy to adjust stock market in the world show that monetary policy plays a certain role in stock market. Therefore, the impact of monetary policy on the stock market has become a very hot topic. For a long time, China's stock market has been under the name of "policy market". In order to solve the historical problems which are not conducive to the development of China's stock market, China began to implement the reform of split share structure in May 2005, which has cross-epochal significance for China's stock market and is a watershed in the development of China's stock market. This paper analyzes the short-and long-term effects of monetary policy adjustment on stock market. In the analysis of short-term impact, the correlation analysis is used to find that interest rate and reserve ratio have weak influence on stock market. In order to study the different effects of monetary policy on the stock market before and after the split share structure reform, this paper takes the split share structure reform as the critical point. The sample data from January 2001 to April 2005 and from May 2005 to September 2011 are selected. The methods of Granger causality analysis, structural vector autoregressive model, impulse response analysis and variance decomposition are used. It is found that monetary policy has a certain influence on the stock market in the long run, and the influence on the stock market before the reform of the split share structure is greater than that on the stock market after the reform. This shows that the policy factors of the stock market in our country have weakened to a certain extent, the influence of "policy market" is gradually decreasing, and the adjustment ability of the market has been further strengthened. On this basis, this paper puts forward relevant policy suggestions to monetary policy authorities and investors.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.51;F224

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