我国股票价格与通货膨胀和货币政策的关系研究

发布时间：2018-09-13 06:43

【摘要】：中国为应对金融危机采取了一系列刺激经济复苏的政策，但国内通货膨胀率居高不下，存款价值及货币实际购买力显著下降，股票市场也进入了前所未有的低迷期。众多学者开始深入研究中国的股票价格、通货膨胀和货币政策之间的关系。本文先对股票价格与通货膨胀和货币政策的关系进行了理论分析，发现随着经济的发展，三者之间确实是存在相关关系的。然后选取1992年1月至2011年7月的数据，引入了一个新的估计值--定比化值，得到时间序列数据的动态协整趋势图。再以2005年5月的股权分置改革为界限，将整个样本区间分成前后两个时间跨度相同的时间段进行动态的协整检验。研究发现：在长期股票价格与通货膨胀之间存在协整关系；在短期这种协整的关系具有时间段独立性。股票价格与货币政策不存在长期的协整关系，，但在2005年股权分置改革与2008年5月期间存在稳定的协整关系。股权分置改革之前，股票价格与货币政策之间不存在协整关系，股权分置改革之后，两者之间的协整关系不断加强。再利用相同的样本区间，检验股票市场对通货膨胀是否有规避作用。发现从长期来看，股票市场对通货膨胀有较弱的规避作用，在股权分置改革期间这种规避作用是明显的。最后，根据实证检验结果，提出若干政策建议。
[Abstract]:China has adopted a series of policies to stimulate economic recovery in response to the financial crisis, but the domestic inflation rate remains high, the value of deposits and the real purchasing power of money have fallen significantly, and the stock market has entered an unprecedented downturn. Many scholars began to study the relationship between stock price, inflation and monetary policy in China. In this paper, the relationship between stock price, inflation and monetary policy is theoretically analyzed, and it is found that with the development of economy, there is a real correlation between the three. Then, the data from January 1992 to July 2011 are selected, and a new estimate-definite comparison value is introduced, and the dynamic cointegration trend chart of time series data is obtained. Based on the split share structure reform in May 2005, the whole sample interval is divided into two time periods with the same time span before and after, and the dynamic cointegration test is carried out. It is found that there is a cointegration relationship between long-term stock price and inflation, while in the short term the cointegration relationship is time-independent. There is no long-term cointegration relationship between stock price and monetary policy, but there is a stable co-integration relationship between the split share structure reform in 2005 and May 2008. Before the split share structure reform, there is no cointegration relationship between stock price and monetary policy. Then the same sample interval is used to test whether the stock market can avoid inflation. It is found that in the long run, the stock market has a weaker role in circumventing inflation, which is obvious during the reform of split share structure. Finally, according to the empirical test results, some policy recommendations are put forward.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.5;F822.0;F224

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