我国货币政策中间变量对股票市场影响的实证研究

发布时间：2018-04-25 22:22

本文选题：货币政策中间变量 + 股票市场　；参考：《河南大学》2012年硕士论文

【摘要】：随着我国经济的快速发展，，我国的金融市场也在不断的发展壮大，特别是股票市场的发展，股票市场的波动越来越多的影响到我国社会经济活动，同时，股票市场对我国货币政策能否有效的实施提出了新的挑战。当前，金融理论界关注的重要话题就是货币当局实施货币政策对股票市场波动的影响。由于时滞存在于货币政策的的传导过程中，所以，货币政策中间变量的作用就变得尤为重要。本文是从理论方面和实证方面来分析的，从两个方面分别分析了我国货币政策中间变量对股票市场的影响。理论方面，对货币政策中介目标的相关方面进行了简要的概述，主要包括货币政策目标体系的构成、货币政策中介目标的概念、我国货币政策中介目标的演变过程、选取标准和分类以及常见的货币政策中介目标等几个方面。接着，又从理论方面阐述了货币政策中间变量对股票市场的影响；实证方面，运用计量经济学的相关研究方法，选取我国最新的数据以及具有代表性的变量，从实证方面研究货币政策中间变量对股票市场的影响，以便对货币政策中间变量与股市的关系进行更加有效的说明。文中涉及的主要计量方法有：单位根检验(ADF检验)、协整检验、格兰杰因果检验、脉冲响应函数以及方差分解分析。实证得出的结论是：货币政策中间变量在我国货币政策的实施过程中，对股票市场的波动是有影响的。货币政策中间变量中的货币供应量、利率对股票市场的影响与理论是一致的，但是利率在时间上存在一定的滞后期；而在汇率方面，实证结果与理论分析并不完全一致。最后，结合我国的实际情况，对所面对的问题提出了几点政策建议：完善货币政策传导机制，合理有效地使用货币政策工具；继续推进利率市场化，完善人民币汇率形成机制；提高央行的独立性，增强货币政策的可信度。
[Abstract]:With the rapid development of our country ' s economy , our country ' s financial market is constantly growing , especially the development of the stock market , the fluctuation of the stock market affects our country ' s social and economic activities more and more . At the same time , the important topic that the stock market pays attention to is the effect of monetary policy on the fluctuation of the stock market .

This paper analyzes the influence of the intermediate variable of monetary policy on the stock market from both theoretical and empirical aspects . The paper gives a brief overview of the related aspects of monetary policy intermediary goal , including the structure of monetary policy target system , the concept of monetary policy intermediary goal , the evolution process of the intermediary target of monetary policy , the selection criteria and classification and the common monetary policy intermediary goal .
In this paper , we study the influence of the intermediate variables of monetary policy on the stock market in order to provide more effective explanation for the relationship between the intermediate variable of monetary policy and the stock market . The main measurement methods involved are : Unit Root Inspection ( ADF Test ) , Cointegration Test , Grant causality test , impulse response function and variance decomposition analysis .

The conclusion is that the intermediate variable of monetary policy plays an important role in the fluctuation of the stock market during the implementation of monetary policy in China . The effect of money supply and interest rate on the stock market is consistent with the theory , but the interest rate has a certain lag time in time ;
At last , with the actual situation of our country , some policy suggestions are put forward : perfecting the transmission mechanism of monetary policy and reasonably and effectively using the monetary policy tool ;
We should continue to promote the marketization of interest rate and improve the mechanism of RMB exchange rate formation ;
Improving the independence of the central bank and enhancing the credibility of monetary policy .

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

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