我国货币流动性与股票价格波动的相关分析

发布时间：2018-10-29 22:51

【摘要】：房地产价格从2003年开始飞速攀升，股票价格也在2005年开始剧烈暴涨，经过专家们的调查研究，发现流动性在其中起到非常重要的作用。与此同时，因为流动性的不断变化，我国的货币政策也在随之变化。为应对1997年的亚洲金融危机，我国政府采取的是稳健的货币政策，当时中国面临通缩压力，那时稳健的货币政策取向是增加货币供应量。2003年之后，经济得到恢复并有较快的发展，政府实行“稳中适度从紧”的货币政策，历经2007年的美国次贷危机后，货币政策变为“适度宽松”，紧接着2011年的欧洲债务危机后，货币政策变为“稳健”。相对应的股市也相应发生了一定的变化。本文期望实证检验我国货币流动性与股票价格指数关系，为政策制定者及股票投资者提供一定的参考。本文的研究对象是货币流动性和股票价格，论文将集中研究两个方面的问题：一是分析现阶段我国货币流动性的现状及其形成原因；二是考察货币流动性与股价指数之间的相关性和影响关系。由于我国货币供给与需求结构、国际收支结构以及储蓄与消费、消费和投资结构长期失衡，导致目前我国货币流动性整体过剩，主要表现在货币超额供给、金融机构存贷差不断扩大和外汇储备居高不下三个方面。货币流动性过剩对资产价格泡沫的产生起到了推波助澜的作用，对实体经济的健康发展产生消极影响。本文选取M1/M2作为衡量货币流动性大小的指标，，因为M1代表货币存量的重要流动性特征，M2能较好地反映了货币存量总额的变化特点。在选取股票价格指标时，选取的是上证综合指数，因为它能很大程度的反应我国股票价格的变化情况，且数据较为容易的取得。当中所涉及的计量方法较多，先建立VAR模型，利用协整检验、格兰杰因果检验和VAR模型方程分析研究货币流动性与股价指数之间的相关性；利用脉冲响应函数和方差分解分析货币流动性与股价指数之间的影响关系。最后，我们得出了下列结论。总体而言，从长期来看，货币流动性和上证指数之间是长期相关的，还是正向相关的，且股价波动是货币流动性变化的格兰杰原因。这些结论对我们预测股票价格走势，及时调整投资策略具有一定的参考价值。
[Abstract]:The real estate price has been rising rapidly since 2003, and the stock price has also risen sharply in 2005. Through the investigation and research by experts, it is found that liquidity plays a very important role in it. At the same time, because of the changing liquidity, China's monetary policy is also changing. In response to the Asian financial crisis in 1997, our government adopted a prudent monetary policy, when China was facing deflationary pressure, and at that time the prudent monetary policy was oriented towards increasing the money supply. After 2003, The economy has recovered and developed rapidly, and the government has implemented a monetary policy of "steady and moderate tightening". After the US subprime mortgage crisis in 2007, monetary policy became "moderately loose", followed by the European debt crisis in 2011. Monetary policy became "sound". The corresponding stock market has also undergone certain changes. This paper hopes to empirically test the relationship between monetary liquidity and stock price index in order to provide some reference for policy makers and stock investors. The research object of this paper is money liquidity and stock price. This paper will focus on two aspects: first, analyze the current situation of monetary liquidity in China and the reasons for its formation; The second is to investigate the correlation and influence between monetary liquidity and stock price index. As a result of the long-term imbalance between the structure of money supply and demand, the structure of balance of payments, and the structure of savings and consumption, consumption and investment, the overall excess of monetary liquidity in China has been caused, which is mainly manifested in the excess supply of money. Financial institutions continue to expand the gap between deposits and loans and foreign exchange reserves remain high in three areas. The excess of currency liquidity contributes to the emergence of asset price bubbles and has a negative impact on the healthy development of the real economy. In this paper, M1/M2 is chosen as the index to measure the monetary liquidity, because M1 represents the important liquidity characteristics of the money stock, M2 can better reflect the change characteristics of the total amount of the money stock. When selecting the index of stock price, the composite index of Shanghai Stock Exchange is chosen, because it can reflect the change of stock price of our country to a great extent, and the data is easy to obtain. There are many measurement methods involved. Firstly, the VAR model is established, the cointegration test, Granger causality test and VAR model equation are used to analyze the correlation between monetary liquidity and stock price index. The relationship between monetary liquidity and stock price index is analyzed by impulse response function and variance decomposition. Finally, we draw the following conclusions. Overall, in the long run, is the relationship between currency liquidity and the Shanghai index long-term, or positive, and volatility in share prices is the Granger cause of the change in currency liquidity. These conclusions have certain reference value for us to forecast stock price trend and adjust investment strategy in time.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822;F832.51;F224

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