我国M2和银行间同业拆借利率对股市影响的实证研究

发布时间：2018-05-15 16:21

本文选题：货币政策 + M2银行间同业拆借利率　；参考：《南京大学》2014年硕士论文

【摘要】：20世纪90年代初,随着上交所和深交所的先后成立,我国股票市场开始飞速发展。2013年底,沪深股市总市值为23.76万亿元,占全年GDP总额的41.8%。总体上看,股票市场有利有弊,利在于它可以通过筹集资金、优化资本配置来促进实体经济的发展;弊在于股票市场的大幅波动会对实体经济带来不利影响,也对中央银行货币政策制定带来严峻挑战。货币政策指中央银行运用各种货币政策工具来调节经济指标,从而对整体经济造成影响的措施。因此,货币政策与股票市场的关系成为金融经济学的研究热点。本文主要研究我国M2和银行间同业拆借利率对股票市场收益率和波动率的影响。股票市场受到经济金融环境的显著影响,比如美国次贷危机间接造成我国股市的大跌。本文构造了包括货币供应量M2、七天期银行间同业拆借利率、股市收益率和波动率在内的MSVAR模型,将市场状态分成紧缩性货币政策期、扩张性货币政策期和特殊时期货币政策期,在不同的区制下,本别探讨M2和银行间同业拆借利率对股票市场的影响。研究结果显示,M2和银行间同业拆借利率对股票市场有显著影响,但在不同状态下,影响效果存在显著差异,主要表现在影响方向和程度上,因此中央银行在制定货币政策时要充分考虑当前的经济形势,审慎采取货币政策。同时,通过M2和银行间同业拆借利率对股市影响的数量级比较可以发现,M2对股市的影响影响程度大于银行间同业拆借利率。
[Abstract]:At the beginning of 1990s, with the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange successively, the stock market of our country began to develop rapidly. At the end of 2013, the total market value of Shanghai and Shenzhen stock market was 23.76 trillion yuan, accounting for 41.8 percent of the total GDP of the whole year. On the whole, the stock market has both advantages and disadvantages. The advantage is that it can promote the development of the real economy by raising funds and optimizing the allocation of capital; the disadvantage is that large fluctuations in the stock market will have a negative impact on the real economy. It also poses a serious challenge to the central bank's monetary policy-making. Monetary policy means that the central bank uses various monetary policy instruments to regulate economic indicators, thus affecting the overall economy. Therefore, the relationship between monetary policy and stock market has become a hot topic in financial economics. This paper mainly studies the effect of M2 and interbank offered rate on the return and volatility of stock market. The stock market is significantly affected by the economic and financial environment, such as the subprime mortgage crisis in the United States, which indirectly caused the stock market to plummet. In this paper, we construct a MSVAR model, which includes M2,7-day interbank offered rate of money supply, stock market yield and volatility, and divide the market state into three periods: tight monetary policy period, expansionary monetary policy period and special period monetary policy period. Under different regional systems, this paper discusses the impact of M 2 and interbank lending rates on the stock market. The results show that M _ 2 and interbank offered rates have a significant impact on the stock market, but under different conditions, there are significant differences in the impact, mainly in the direction and extent of the impact. Therefore, the central bank should take full account of the current economic situation and adopt monetary policy prudently when formulating monetary policy. At the same time, by comparing the magnitude of M2 and interbank lending rate on stock market, we can find that M 2 has more influence on stock market than interbank lending rate.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822;F832.51

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