利率调整对股票市场的传导效应分析

发布时间：2018-03-04 03:28

本文选题：利率调整　切入点：股票市场　出处：《山西大学学报(哲学社会科学版)》2012年01期 　论文类型：期刊论文

【摘要】：文章以基于GARCH模型的事件研究法,分析近年来中国人民银行连续调整存贷款基准利率对股票市场的传导效应,研究股票市场对利率调整政策的反应速度和反应强度,检验股票市场的有效性,进而探索运用调整存贷款基准利率等货币政策管理股票市场风险的效力。实证结果表明,股票市场多次对利率上调呈利好反应,其原因可能与政策公告被股票市场投资者预测到有关。但利率调整目标的累积效应日趋明显,对股票市场过快发展有一定的抑制作用。
[Abstract]:Based on the GARCH model, this paper analyzes the conduction effect of the people's Bank of China (PBOC) on the stock market by adjusting the benchmark interest rate of deposit and loan continuously in recent years, and studies the reaction speed and intensity of the stock market to the interest rate adjustment policy. To test the validity of the stock market, and then to explore the effectiveness of using monetary policies such as adjusting deposit and loan benchmark interest rates to manage the risk in the stock market. The empirical results show that the stock market has responded positively to interest rate increases many times. The reason may be that the policy announcement is predicted by the stock market investors, but the cumulative effect of the interest rate adjustment target is becoming more and more obvious, which has a certain restraining effect on the rapid development of the stock market.
【作者单位】：山西大学管理学院;国金证券;
【基金】：教育部人文社科研究项目(07JA630027) 山西省软科学研究项目(2010041021-02) 山西省高校人文社科重点研究基地项目(2011305)
【分类号】：F822.0;F832.51;F224

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