我国货币供给与股票价格的相互影响研究

发布时间：2018-06-11 13:06

本文选题：货币供给 + 股票价格　；参考：《南京大学》2013年硕士论文

【摘要】：随着我国股票市场的迅速发展和不断完善,股票市场在经济活动中的作用和影响日益加强。近年来,关于货币政策与股票市场的相互关系问题受到越来越多的关注,已逐渐成为货币理论中一个比较热门的问题。货币供给作为我国货币政策的中介目标,在我国货币政策体系中具有重要的地位。因而,分析货币供给与股票价格的相互影响对研究货币政策的股市传导机制和有效制定货币政策具有十分重要的意义。本文在充分借鉴国内外相关研究的基础上,对我国货币供给和股票价格的相互影响进行了理论和实证分析。理论方面,从股票市场的货币政策传导机制出发,分析了货币供给对股票价格的影响；从货币供给的内生性和货币供给模型两方面分析了股票价格对货币供给的影响。实证方面,选取2000年1月至2012年12月我国各层次货币供应量和上证综指的月度数据,运用VAR模型进行了实证分析,实证分析中所涉及的计量方法有：时间序列平稳性检验(单位根检验)、Granger因果检验、脉冲响应函数和方差分解。实证得出的主要结论是：一、我国货币供给与股票价格存在一定的相互均衡关系；二、我国股票价格变动是货币供给变化的原因,但对各层次货币供应量的影响程度不同；三、我国货币供给不是股票价格波动的原因。
[Abstract]:With the rapid development and continuous improvement of China's stock market, the role and influence of stock market in economic activities are increasingly strengthened. In recent years, more and more attention has been paid to the relationship between monetary policy and stock market, which has gradually become a hot issue in monetary theory. As the intermediate target of China's monetary policy, money supply plays an important role in China's monetary policy system. Therefore, it is of great significance to study the stock market transmission mechanism of monetary policy and to formulate monetary policy effectively by analyzing the interaction between money supply and stock price. This paper makes a theoretical and empirical analysis on the interaction between money supply and stock price in China. In theory, the paper analyzes the influence of money supply on stock price from the transmission mechanism of monetary policy in stock market, and analyzes the influence of stock price on money supply from two aspects: endogeneity of money supply and money supply model. From January 2000 to December 2012, the monthly data of money supply and Shanghai Composite Index are analyzed by using VAR model. The measurement methods involved in empirical analysis are: time series stationary test (unit root test / Granger causality test, impulse response function and variance decomposition). The main conclusions are as follows: first, there is a certain equilibrium relationship between money supply and stock price in China; second, the change of stock price is the reason of the change of money supply, but the influence on the money supply at different levels is different; third, Our country money supply is not the reason that stock price fluctuates.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.2;F832.51;F224

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