中国货币政策的资产价格传导效应研究
发布时间：2018-08-28 20:53
【摘要】：随着中国资本市场的高速发展，资产价格在货币政策传导中的作用日益突现。选取货币政策的资产价格传导效应作为研究对象，对优化中国货币政策调控效果具有现实意义。论文先按货币政策传导机制理论的发展历程逐一阐述四个传导渠道的相关理论，再对货币政策的股价和房价传导效应进行展开说明；之后，通过建立向量自回归模型对中国货币政策的房价传导效应进行研究，，得出中国货币政策的房价传导渠道不通畅的结论；然后，利用分段样本的协整分析验证了金融危机对中国货币政策股价传导效应的不良影响，并建立结构向量自回归模型检验中国货币政策股价传导的有效性，得出中国货币政策的股价传导渠道中从股价到实体经济的传导过程存在阻塞的结论；最后，优化中国货币政策调控效果，可以通过以下手段实现：规范房地产行业的发展，控制外来资金投资比重；加强政府对房地产市场的调控力度，遏制房价的过快上涨，加强银行的资产负债表效应；同时，完善资本市场结构，规范企业的股份制改造行为，改善托宾q效应的作用，促进证券市场对实体经济的影响。
[Abstract]:With the rapid development of Chinese capital market, asset price plays an increasingly important role in monetary policy transmission. Selecting the asset price conduction effect of monetary policy as the object of study has practical significance for optimizing the effect of monetary policy regulation in China. According to the development course of monetary policy transmission mechanism theory, the paper first explains the four transmission channel theories, and then explains the monetary policy transmission effect of stock price and house price. By establishing the vector autoregressive model to study the price conduction effect of China's monetary policy, the conclusion is drawn that the price conduction channel of China's monetary policy is not smooth. The co-integration analysis of segmented samples verifies the adverse effects of the financial crisis on the stock price conduction effect of China's monetary policy, and establishes a structural vector autoregressive model to test the validity of the transmission of Chinese monetary policy stock price. It is concluded that the transmission process from stock price to real economy is blocked in the transmission channel of Chinese monetary policy. Finally, optimizing the effect of monetary policy in China can be achieved by the following means: standardizing the development of real estate industry. To control the proportion of foreign capital investment; to strengthen the government's regulation and control of the real estate market, to curb the excessive rise in house prices, and to strengthen the balance sheet effect of banks; at the same time, to perfect the structure of the capital market and standardize the share-holding transformation of enterprises, To improve the role of Tobin Q effect, promote the impact of the securities market on the real economy.
【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F224
本文编号：2210584
[Abstract]:With the rapid development of Chinese capital market, asset price plays an increasingly important role in monetary policy transmission. Selecting the asset price conduction effect of monetary policy as the object of study has practical significance for optimizing the effect of monetary policy regulation in China. According to the development course of monetary policy transmission mechanism theory, the paper first explains the four transmission channel theories, and then explains the monetary policy transmission effect of stock price and house price. By establishing the vector autoregressive model to study the price conduction effect of China's monetary policy, the conclusion is drawn that the price conduction channel of China's monetary policy is not smooth. The co-integration analysis of segmented samples verifies the adverse effects of the financial crisis on the stock price conduction effect of China's monetary policy, and establishes a structural vector autoregressive model to test the validity of the transmission of Chinese monetary policy stock price. It is concluded that the transmission process from stock price to real economy is blocked in the transmission channel of Chinese monetary policy. Finally, optimizing the effect of monetary policy in China can be achieved by the following means: standardizing the development of real estate industry. To control the proportion of foreign capital investment; to strengthen the government's regulation and control of the real estate market, to curb the excessive rise in house prices, and to strengthen the balance sheet effect of banks; at the same time, to perfect the structure of the capital market and standardize the share-holding transformation of enterprises, To improve the role of Tobin Q effect, promote the impact of the securities market on the real economy.
【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F224
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