我国货币政策与股市收益关系的实证研究

发布时间：2018-07-05 00:04

本文选题：货币政策 + 股市收益　；参考：《华侨大学》2012年硕士论文

【摘要】：股票市场不仅是货币政策的重要传导渠道之一，也是我国经济的重要组成部分。近年来，我国股票市场发展迅速，但波动性较大，这对国家经济发展和金融稳定产生了重大影响。一方面，在对货币政策的传导效应上发挥积极作用，另一方面，也在一定程度上减弱了货币政策的效果。因此，国家有关部门多次采取货币政策对股票市场进行调控，但效果却不稳定。本文对我国货币政策与股票市场收益的关系进行实证研究。首先，对货币政策、股票市场波动理论和二者之间的传导效应的相关理论进行简要介绍；然后选取具有代表性的变量：上证综合指数和货币供应量M2，及其最新数据，结合计量方法进行实证分析货币政策与股票市场的关系，以实现对二者关系进行具体说明。其中运用到的方法主要有结构向量自回归模型（SVAR）、脉冲响应函数(IRF)、方差分解、VECM和结构GARCH模型（S-GARCH）等。在此基础上洞察货币政策与股票市场之间的相互影响，发现货币政策不仅对当前的股票市场收益有影响，而且也影响未来的股票收益，而股票市场对货币政策的效果有重大影响。这对正确认识我国货币政策与股票市场之间的关系具有一定的参考意义,同时，对货币当局作出正确决策和促进股票市场进一步健康发展提供参考。
[Abstract]:Stock market is not only one of the important transmission channels of monetary policy, but also an important part of our economy. In recent years, China's stock market has developed rapidly, but fluctuated greatly, which has a great impact on national economic development and financial stability. On the one hand, it plays a positive role in the transmission effect of monetary policy, on the other hand, it weakens the effect of monetary policy to some extent. Therefore, the state authorities have adopted monetary policy to regulate the stock market many times, but the effect is not stable. This paper makes an empirical study on the relationship between monetary policy and stock market returns. Firstly, the paper briefly introduces the monetary policy, stock market volatility theory and the theory of conduction effect between them, and then selects the representative variables: Shanghai Composite Index and money supply M2, and their latest data. This paper analyzes the relationship between monetary policy and stock market by means of econometrics, in order to explain the relationship between monetary policy and stock market. The main methods used are structured vector autoregressive model (SVAR), impulse response function (IRF), variance decomposition VECM and structured GARCH model (S-GARCH). On the basis of this, it is found that monetary policy not only has an impact on the current stock market returns, but also affects the future stock returns. The stock market has a significant impact on the effectiveness of monetary policy. It has certain reference significance to correctly understand the relationship between monetary policy and stock market in our country, at the same time, it provides a reference for monetary authorities to make correct decision and to promote the further healthy development of stock market.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

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