我国货币市场与资本市场价格联动机制及其效应分析

发布时间：2018-05-25 03:06

本文选题：货币市场 + 资本市场　；参考：《湘潭大学》2015年硕士论文

【摘要】：在中国的金融体制改革过程中,货币市场和资本市场之间的联系问题一直受到学术界的重视。从货币市场和资本市场正常的联动关系来看,货币市场价格一旦发生变动,资本市场的价格也随之发生波动。但是从近几年的具体数据来看,我国股票价格的变动与货币市场利率变动的关联性似乎不太强,由此引发了我对货币市场与资本市场价格联动效应的关注。并且近年来,随着利率市场化的不断推进以及股票市场的持续走红,价格问题再次成为当前我国居民关注的热点。因此,深入探讨我国货币市场和资本市场价格联动机制及其效应,并根据两个市场价格联动关系为我国金融改革提供理论与实证依据,成为我选定这个题目来进行探究的目的。本文以国内外有关文献做为理论支撑,从货币市场与资本市场联动的基本理论出发,考查了美国、日本、德国货币市场与资本市场的联动情况,并对货币市场与资本市场的价格联动效应进行了具体分析,同时用同业拆借市场和债券回购市场做为货币市场的代表,用股票市场做为资本市场的代表,选定三个子市场的每日价格作为研究变量,对数据指标进行平稳性检验、相关性分析、向量自回归、格兰杰因果检验、广义脉冲响应函数和方差分解分析,实证结果表明,货币市场价格下降(上升)会导致资本市场价格上升(下降),资本市场价格上升会引起货币市场价格上升。但是上述这种互动关系并不明显,货币市场和资本市场的价格互动关系仍然有待改善。之后,具体思考了产生这种结果的原因,在此基础上提出应逐步降低两个市场的准入门槛;积极推动多层次金融市场的发展;疏通货币市场与资本市场间的连通渠道;加速推动利率市场化步伐等政策措施。
[Abstract]:In the process of China's financial system reform, the relationship between money market and capital market has been attached great importance to by academic circles. According to the normal linkage between the money market and the capital market, once the price of the money market changes, the price of the capital market also fluctuates. However, from the specific data in recent years, it seems that the relationship between the change of stock price and the change of interest rate in money market is not very strong, which leads me to pay attention to the linkage effect between money market and capital market price. And in recent years, with the promotion of interest rate marketization and the continued popularity of the stock market, the price issue has become the focus of attention of Chinese residents. Therefore, it is the purpose that I choose this topic to probe deeply into the price linkage mechanism and its effect of money market and capital market in our country, and to provide the theoretical and empirical basis for the financial reform according to the relationship between the two markets. Based on the relevant literature at home and abroad and the basic theory of the linkage between the money market and the capital market, this paper examines the linkage between the money market and the capital market in the United States, Japan and Germany. At the same time, the interbank borrowing market and bond repurchase market are used as the representatives of the money market, and the stock market as the representative of the capital market. The daily price of three sub-markets is selected as the study variable, and the stationary test, correlation analysis, vector autoregression, Granger causality test, generalized impulse response function and variance decomposition analysis are carried out. The empirical results show that, Lower (higher) money market prices can lead to higher capital market prices. But this kind of interaction is not obvious, the price interaction between money market and capital market still needs to be improved. On the basis of this, the author puts forward that the entry threshold of the two markets should be lowered step by step, the multi-level financial market should be actively promoted, and the communication channels between the money market and the capital market should be dredged. Speed up the pace of interest rate liberalization and other policy measures.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.5;F822.2

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