货币政策对我国股票市场的影响研究
发布时间：2018-12-12 21:49
【摘要】： 我国股票市场在经历了2001年至2005年的四年熊市之后,随后两年出现空前的大牛市,股票市值增加近六倍。然而2008年半年间股票市值又跌去大半。面对这跌宕起伏的股票市场,人们无所适从。很多学者从不同角度对股票市场的大起大落进行分析,得出的结论也各有差异。然而作者在这几年中,发现我国货币政策变化的调整也是非常频繁的,因此从货币政策角度来分析货币政策对我国股票市场的影响研究很有必要。本文以货币经济学和金融经济学为理论依据,采用VAR模型对货币政策变化影响股票市场的趋势进行分析,通过协整检验、格兰杰因果检验、脉冲响应等计量经济学方法分析货币政策对我国股票市场的影响,得出了从2005年至2009年这段时期股票价格与货币供给量存在长期协整关系,货币供给量对股票市场存在一定得影响,从货币政策角度对我国股票市场的影响进行解释。但是从影响力度上可以看到货币政策效果比较明显。说明我国货币政策传导机制随着金融市场的逐步完善,货币政策效果趋强但是还需要进一步的提高。这些结论对货币政策的制定,尤其对股票市场的分析和预测具有很大的理论意义和现实意义。
[Abstract]:After four years of bear market from 2001 to 2005, the stock market in China experienced an unprecedented bull market in the following two years, and the stock market value increased nearly sixfold. However, the stock market value fell more than half in 2008. In the face of the ups and downs of the stock market, people are at a loss. Many scholars analyze the ups and downs of stock market from different angles, and their conclusions are different. However, in the past few years, the author found that the adjustment of monetary policy changes is also very frequent, so it is necessary to analyze the influence of monetary policy on the stock market from the perspective of monetary policy. Based on the theory of monetary economics and financial economics, this paper uses VAR model to analyze the trend that monetary policy changes affect the stock market, through cointegration test, Granger causality test. Impulse response and other econometric methods are used to analyze the influence of monetary policy on China's stock market. It is concluded that there is a long-term cointegration relationship between stock price and money supply during the period from 2005 to 2009. The amount of money supply has a certain influence on the stock market. It explains the influence of our country's stock market from the angle of monetary policy. However, we can see from the impact of monetary policy effect is obvious. It shows that with the gradual improvement of the financial market, the monetary policy transmission mechanism of our country tends to be stronger, but it still needs to be further improved. These conclusions are of great theoretical and practical significance to the formulation of monetary policy, especially to the analysis and prediction of stock market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F822.0;F832.51
本文编号：2375302
[Abstract]:After four years of bear market from 2001 to 2005, the stock market in China experienced an unprecedented bull market in the following two years, and the stock market value increased nearly sixfold. However, the stock market value fell more than half in 2008. In the face of the ups and downs of the stock market, people are at a loss. Many scholars analyze the ups and downs of stock market from different angles, and their conclusions are different. However, in the past few years, the author found that the adjustment of monetary policy changes is also very frequent, so it is necessary to analyze the influence of monetary policy on the stock market from the perspective of monetary policy. Based on the theory of monetary economics and financial economics, this paper uses VAR model to analyze the trend that monetary policy changes affect the stock market, through cointegration test, Granger causality test. Impulse response and other econometric methods are used to analyze the influence of monetary policy on China's stock market. It is concluded that there is a long-term cointegration relationship between stock price and money supply during the period from 2005 to 2009. The amount of money supply has a certain influence on the stock market. It explains the influence of our country's stock market from the angle of monetary policy. However, we can see from the impact of monetary policy effect is obvious. It shows that with the gradual improvement of the financial market, the monetary policy transmission mechanism of our country tends to be stronger, but it still needs to be further improved. These conclusions are of great theoretical and practical significance to the formulation of monetary policy, especially to the analysis and prediction of stock market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F822.0;F832.51
【引证文献】
相关硕士学位论文 前5条
1 高娜;货币政策在股市传导的效应时滞研究[D];哈尔滨工业大学;2011年
2 张茜;中国股票市场发展与货币政策完善[D];山西大学;2012年
3 崔江华;货币政策调整对股市流动性的影响分析[D];东北财经大学;2012年
4 杜莎莎;货币政策对股票价格指数影响的实证研究[D];山东财经大学;2013年
5 仉伟强;我国股票市场的货币政策传导效应研究[D];山东大学;2013年
，本文编号：2375302
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