我国货币政策股票价格传导机制的实证研究

发布时间：2018-08-29 13:48

【摘要】：20世纪90年代以来,随着沪深证券交易所的相继成立,我国的股市规模不断扩大,对国民经济的影响也越来越大,以股票市场为主体的资本市场迅速发展给货币政策的传导机制带来了深刻的影响。虽然各国中央银行对于控制通货膨胀已经取得一定的成效,但是对于包括股票价格在内的资产价格膨胀却难有对策,传统的货币政策传导机制面临着越来越大的挑战。因此有必要针对我国现实情况对货币政策股票价格传导机制进行研究,以防止股票价格大幅波动带来负面影响。本文首先对货币政策的股票价格传导机制的理论进行梳理,接着深刻分析了我国货币政策传导机制的演变、货币政策传导机制发生变化的表现以及实体经济的发展现状,从而为实证检验做好了分析基础。然后,将货币政策的股票价格传导机制分为两个部分进行研究,即货币政策对股票价格的影响以及股票价格对实体经济的影响。实证分析了利率和货币供应量对股价的影响以及股市的消费效应与投资效应。得出的结论表明,货币供应量与股票价格存在长期稳定的关系,利率由于非市场化等原因对股价的作用不明显。股票市场存在正的消费效应与投资效应,但是效应很小。最后,根据以上实证结论提出完善我国货币政策股票价格传导机制、提高股票市场传导有效性的政策建议。包括健全股市资源配置功能、建立货币市场与股票市场的联结机制、推进利率市场化改革、完善货币政策运行体系以及扩大股市规模与调整市场结构。
[Abstract]:Since the 1990s, with the establishment of the Shanghai and Shenzhen stock exchanges, the scale of China's stock market has been expanding, and the impact on the national economy has become more and more great. The rapid development of capital market with stock market as the main body has brought profound influence to the transmission mechanism of monetary policy. Although the central banks of various countries have made some achievements in controlling inflation, it is difficult to deal with the inflation of asset prices, including stock prices, and the traditional transmission mechanism of monetary policy is facing more and more challenges. Therefore, it is necessary to study the transmission mechanism of monetary policy stock price in order to prevent the negative impact of stock price fluctuation. This paper firstly combs the theory of stock price transmission mechanism of monetary policy, then deeply analyzes the evolution of monetary policy transmission mechanism, the change of monetary policy transmission mechanism and the development of real economy. Thus, it makes a good analysis basis for the empirical test. Then, the transmission mechanism of stock price of monetary policy is divided into two parts, that is, the influence of monetary policy on stock price and the influence of stock price on real economy. The influence of interest rate and money supply on stock price, the consumption effect and investment effect of stock market are analyzed empirically. The conclusion shows that there is a long-term stable relationship between money supply and stock price, and interest rate has little effect on stock price due to non-marketization and other reasons. The stock market has positive consumption effect and investment effect, but the effect is very small. Finally, based on the above empirical conclusions, the paper puts forward some policy suggestions on how to improve the stock price transmission mechanism of monetary policy in China and improve the effectiveness of stock market transmission. It includes perfecting the function of stock market resource allocation, establishing the linkage mechanism between money market and stock market, pushing forward the reform of interest rate marketization, perfecting monetary policy operation system, expanding the scale of stock market and adjusting market structure.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.51;F224

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