我国货币政策对资产价格的传导效应研究

发布时间：2018-08-08 16:53

【摘要】：随着我国资本市场的完善和发展壮大,货币政策的资产价格传导渠道也越来越受到重视。基于各国经济结构和资本市场发展完善程度的不同以及货币政策的操作方式不同,资产价格对货币政策的反应程度在现实层面也会存在差异。房地产和股票资产作为两个重要的资产,其价格与货币政策的关系也成为国内外研究的热点问题。因此,研究货币政策的资产价格传导渠道以及其传导效果会对我国货币政策的制定和执行有一定的参考意义。本文以房地产价格和股票价格为研究对象,选取了可以代表货币政策的常用变量,如货币供应量、利率和信贷总量,分析了货币政策与资产价格之间的关系。根据托宾Q理论、财富效应理论及资产负债表理论等,分析了货币政策对资产价格影响的渠道,并以实证手段研究了货币供应量、利率对资产价格的具体影响,针对实证结果提出了政策建议。希望能为完善我国资本市场,有效发挥资产价格传导渠道,提高货币政策的有效性起到一定的指导作用。本文是在前人研究成果的基础上,通过一定的理论和实证分析,来探讨我国货币政策的资产价格传导渠道是否明显,货币政策是否对资产价格产生显著影响,以及反过来资产价格是否会影响货币政策。内容安排主要分为四大部分：第一部分为前言。首先介绍了论文选题的背景和意义,说明研究货币政策资产价格传导渠道的必要性。接着分为三个小节,从货币政策传导渠道存在性、股票市场、房地产市场三个角度进行了国内外的文献综述。最后给出了本文的分析框架,说明了本文的研究特点及其不足之处。其中特点是本文运用可得的数据,选取了需要研究的内容直接作为解释变量,分别对股票市场和房地产市场,通过单位根检验、协整模型和脉冲响应函数分析,得出了要研究的结论。很大程度上证明了前面理论中阐述的利率和货币供应量对股票价格和房地产价格的影响过程及影响的具体效果。在实证结果之后,针对实证的结果,结合我国现实情况,提出了一些政策建议。不足之处：本文在进行理论和实证研究时,只是研究了货币政策的资产价格传导渠道,即如何从货币政策传导到资产价格,以及资产价格对货币政策的影响,并没有考虑实体经济的问题。至于资产价格及其变动如何对宏观经济比如消费和投资等产生何种影响,具体的影响过程如何,有待在以后的学习中进行深入探讨。第二部分为货币政策资产价格传导理论。首先对文章中用到的几个基本概念做了界定,接着从货币政策传导的传统渠道入手,分析了利率渠道、信贷渠道、汇率渠道传导的理论和三种理论目前在我国传导的现状。最后研究了货币政策的资产价格传导渠道,从理论角度分为托宾的货币政策传导理论、莫迪利安尼和弗里德曼的货币政策传导理论和布鲁纳与梅尔查的货币政策传导理论等方面进行研究；然后结合宏观调控中最常用的货币政策工具(利率、货币供应量、信贷规模),对货币政策工具的资产价格传导渠道进行了具体分析。第三部分为论文的实证。首先介绍了论文中所采用的理论模型和研究方法。主要介绍了单位根检验、协整检验、向量自回归(VAR)模型以及基于VAR脉冲响应函数,为实证分析的操作提供理论依据。接着说明了实证分析中样本数据的来源,变量的选择及处理。最后是得出了实证结果。协整和脉冲函数模型实证认为：长期来说,利率和货币供应量对房价和股价有正向关系。短期来说,货币供应量和利率对房价先产生正的响应,随着时间的推移,响应逐渐变弱,利率甚至会产生负的响应；货币供应量对股价产生正向的响应,且强度逐渐变弱。利率对股价会产生负的响应,并且也是变弱的。第四部分为论文的结论和政策建议。通过前面理论和实证部分的分析,本文认为货币政策可以影响房地产销售价格指数。一方面货币供应量影响房地产价格。短期来看,货币供应量的增加会对房地产价格产生正面冲击。货币供应量的增加不仅能够提高投资者的投资需求和投机需求。而且能够降低银行利率,进而使房地产价格上升。长期来看货币供应量对房地产有正相关关系,即随着市场上货币供应量的增加,房地产销售价格不断增长。另一方面利率影响房地产价格。短期来看,利率的正向冲击会对房地产市场有一个负向的影响。长期来看,我国的房地产价格与利率有相同的变化趋势。房地产市场收益率相对较高会吸引更多资金进入,同时利率的上升导致开发商的融资成本上升,房产价格上涨。另外,货币政策可以影响股价。一方面,货币供应量可以影响股价。从短期来看,货币供应量的增加会使货币由于逐利特性进入股票市场,从而对股票的需求增大,打破了股票之前的供需平衡,从而投资者会增加对股票资产的持有数量,在供给不变时,导致股票资产价格上涨。长期来看,货币供应量与股票价格有正相关影响,投资者会加大对股票的投资,导致股票价格最终上涨。另一方面利率可以影响股价。短期来看,利率的正向冲击会对股价有一个负向的响应。当短期内利率上升时,利率的强大信号作用,会使投资者产生一种货币紧缩、股票价格下跌的预期。但是长期来看,上证综合指数与利率变化趋势相同,呈不断增长的态势。最后,在对结果进行实证和具体情况分析的基础之上，，从货币政策的制定应该关注资产价格,完善房地产和股票市场机制,优化经济结构,完善资本市场和优化房地产需求和供给结果四个角度提出了一些政策建议。
[Abstract]:With the improvement and development of the capital market in China, the channel of asset price transmission of monetary policy has also been paid more and more attention. Based on the different economic structure and the development of capital market, and the different operating modes of monetary policy, the response degree of asset price to monetary policy will also be different in the real level. As two important assets, the relationship between the price and the monetary policy has become a hot issue at home and abroad. Therefore, the study of the conduction channel and the conduction effect of the monetary policy will have some reference significance to the formulation and implementation of the monetary policy in China.
Taking the real estate price and the stock price as the research object, this paper selects the common variables that can represent the monetary policy, such as the money supply, interest rate and the total amount of credit, and analyzes the relationship between monetary policy and asset price. According to Tobin's Q theory, wealth effect theory and balance sheet theory, the paper analyzes the price of monetary policy to asset prices. The impact of the channel, and empirical means to study the money supply, the specific impact of interest rates on asset prices, and put forward the policy recommendations in view of the empirical results. Hope to improve our capital market, effectively play the channel of asset price transmission, improve the effectiveness of monetary policy has a certain guiding role. This paper is in the previous research results. On the basis of a certain theoretical and empirical analysis, this paper discusses whether the asset price channel of monetary policy is obvious in China, whether the monetary policy has a significant impact on the asset price and whether the asset price will affect the monetary policy. The content arrangement is divided into four main parts.
The first part is preface. First, it introduces the background and significance of the topic selection, explains the necessity of studying the transmission channel of monetary policy asset price, and then divides it into three sections. It summarizes the literature review from three angles of monetary policy transmission channel, stock market and real estate market. Finally, it gives the analysis frame of this paper. It shows the characteristics and shortcomings of this paper, which is characterized by the use of available data in this paper, which selects the content that needs to be studied directly as an explanatory variable, and draws the conclusion of the study in the stock market and the real estate market through unit root test, cointegration model and impulse response function analysis. The impact process and effect of interest rate and money supply on stock price and real estate price are explained in the previous theory. After the empirical results, some policy suggestions are put forward in view of the empirical results and the actual situation in China. The channel of asset price transmission of currency policy, that is, how to transmit from monetary policy to asset price, and the effect of asset price on monetary policy, does not take into account the problem of the real economy. As to how asset prices and their changes have impact on the macro-economy such as consumption and investment, the specific impact process needs to be taken. Further study is carried out in the later study.
The second part is the theory of monetary policy asset price transmission. First, it defines several basic concepts used in the article. Then, starting with the traditional channel of monetary policy transmission, it analyzes the current situation of the transmission of interest rate channels, credit channels, exchange rate channel conduction and the three theories in our country. Finally, it studies the monetary policy. The channel of asset price transmission is divided into Tobin's monetary policy transmission theory from the theoretical point of view, Modigliani and Freedman's monetary policy transmission theory and Bruner and Melcha's monetary policy transmission theory, and then combine the most commonly used monetary policy tools (interest rate, money supply, credit) in macroeconomic regulation and control. Scale, and conduct a detailed analysis of the transmission channels of asset prices of monetary policy instruments.
The third part is the empirical analysis of the paper. First, it introduces the theoretical model and research method used in this paper. It mainly introduces unit root test, cointegration test, vector autoregression (VAR) model and VAR impulse response function, which provides theoretical basis for the operation of empirical analysis. In the long run, the interest rate and the money supply have a positive relationship with the price and the price of the price. In the short term, the monetary supply and interest rate have a positive response to the house price, and the response gradually becomes weaker and the interest rate may even be negative over time. Response: Money supply has a positive response to stock prices, and the intensity is gradually weakening. Interest rates have a negative response to stock prices and are weakening.
The fourth part is the conclusion and policy suggestion of the paper. Through the analysis of the previous theory and the empirical part, this paper thinks that monetary policy can affect the real estate price index. On the one hand, the money supply affects the real estate price. In the short term, the increase of money supply will have a positive impact on the real estate price. The increase of money supply will increase. It can not only improve the investor's investment demand and speculative demand, but also reduce the bank interest rate and increase the real estate price. In the long run, there is a positive correlation between the money supply and real estate, that is, the price of real estate increases with the increase of the money supply in the market. On the other hand, the interest rate affects the real estate price. In the short term, the positive impact of interest rates will have a negative impact on the real estate market. In the long run, the real estate prices and interest rates have the same trend of change. The relatively high returns in the real estate market will attract more money, while the increase in interest rates leads to the increase in the cost of the developer's financing and the rise in the property price. In addition, the price of the real estate is rising. Monetary policy can affect the stock price. On the one hand, the money supply can affect the stock price. In the short term, the increase in the money supply will cause the currency to enter the stock market because of the advantage of the profit, which will increase the demand for the stock, break the balance of supply and demand before the stock, and thus the investor will increase the holding quantity of the stock assets, and the supply will not be supplied. In the long run, the stock price has a positive correlation with the stock price, and the investor will increase the investment to the stock, which leads to the ultimate rise in the stock price. On the other hand, the interest rate can affect the stock price. In the short term, the positive impact of the interest rate will have a negative response to the stock price. In the short term, the interest rate is on the interest rate. The strong signal effect of interest rate will make the investor produce a kind of monetary tightening and the expectation of the stock price fall. But in the long run, the Shanghai Composite Index and the interest rate trend are the same, showing a growing trend. Finally, on the basis of the empirical and specific analysis of the results, the formulation of monetary policy should be concerned. The price of assets, the improvement of the real estate and stock market mechanism, the optimization of economic structure, the improvement of capital market and the optimization of the real estate demand and the results of supply, put forward some policy suggestions in four aspects.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F293.3;F224

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