我国货币政策与资产价格关系研究

发布时间：2018-04-16 11:32

本文选题：货币政策 + 房地产市场价格　；参考：《山西财经大学》2017年硕士论文

【摘要】：2008年金融危机之后,各国央行纷纷加强了对宏观经济的调控,由于以房地产和股票为代表的资产价格与国民经济的关系十分密切,而房地产市场和股票市场泡沫的破裂更是多次经济危机的直接诱因,因此资产价格是中央银行密切关注的对象和货币政策调控的重点。本文对货币政策和资产价格的关系进行了全面研究,主要回答了“货币政策对资产价格有何影响”、“资产价格的变动对货币政策有何影响”、“货币政策应如何应对资产价格的变化”三个问题。本文从理论和实证两个方面对货币政策和资产价格的关系进行研究。理论方面,本文首先研究了货币政策对资产价格的影响:货币政策的中介目标货币供应量和利率会对资产价格产生影响,货币供应量的增加会导致资产价格的上涨,而利率的提高会导致资产价格的下跌;其次,本文研究了资产价格波动对货币政策的影响:资产价格波动会对作为货币政策中介目标的货币供应量和作为最终目标的经济增长以及通货膨胀产生影响。实证方面,本文选取了2008年到2016年的M2、五年以上贷款利率、商品房平均销售面积和上证指数四个变量的月度数据代表货币政策和资产价格来对其关系进行研究,实证主要基于VAR模型,并且采用了ADF检验、协整检验、格兰杰因果检验、脉冲响应分析和方差分解等计量工具,研究结果表明,货币政策各变量和资产价格各变量之间存在着长期稳定的关系,实证研究的结论不仅验证了理论分析的结果,也对其进行了细化和补充。本文的研究表明,货币政策与资产价格之间存在相互影响的关系。具体来说,货币政策对资产价格有显著影响,其中货币供给量的变动对房价影响较大,利率的变动对股价影响较大。资产价格变动会对作为货币政策中介目标的货币供应量造成影响,但对利率却没有影响,而且资产价格变动也会对以经济增长和通货膨胀为代表的货币政策最终目标产生影响。此外,本文认为央行在制定货币政策时应当密切关注资产价格的波动,但不应把资产价格作为宏观调控的主要目标。本文有以下两点创新之处:第一,本文综合考虑了货币政策对资产价格的影响和资产价格变动对货币政策的影响,对两者之间关系的研究较为全面、系统;第二,实证中构建的指标体系比较新颖、合理,且数据较新、跨度较大。
[Abstract]:After the financial crisis of 2008, the central banks of various countries have strengthened their macroeconomic control one after another, because the asset prices represented by real estate and stocks are closely related to the national economy.The bursting of the bubble in the real estate market and the stock market is the direct cause of many economic crises, so the asset price is the object that the central bank pays close attention to and the focus of monetary policy regulation.This paper makes a comprehensive study on the relationship between monetary policy and asset price, and mainly answers "what influence monetary policy has on asset price" and "what influence does the change of asset price have on monetary policy",There are three questions about how monetary policy should deal with the change of asset price.This paper studies the relationship between monetary policy and asset price from both theoretical and empirical aspects.Theoretically, this paper first studies the influence of monetary policy on asset price: the intermediate target money supply and interest rate of monetary policy will have an impact on asset price, and the increase of money supply will lead to the rise of asset price.An increase in interest rates can lead to a fall in asset prices.This paper studies the influence of asset price fluctuation on monetary policy: the fluctuation of asset price will have an impact on the money supply as the intermediate target of monetary policy and the economic growth and inflation as the ultimate target.Empirically, this paper selects the monthly data of M2,5 years loan interest rate, average selling area of commercial housing and Shanghai Stock Exchange index from 2008 to 2016 to study the relationship between monetary policy and asset price.The empirical results are mainly based on VAR model, and use ADF test, cointegration test, Granger causality test, impulse response analysis and variance decomposition.There is a long-term stable relationship between the variables of monetary policy and asset price. The conclusion of empirical research not only verifies the results of theoretical analysis but also refines and complements them.The study of this paper shows that there is a relationship between monetary policy and asset price.Specifically, monetary policy has a significant impact on asset prices, in which the change of money supply has a greater impact on house prices, and the change of interest rate has a greater impact on stock prices.The change of asset price will have an impact on the money supply, which is the intermediate target of monetary policy, but not on the interest rate. Moreover, the change of asset price will also have an impact on the ultimate target of monetary policy, which is represented by economic growth and inflation.In addition, this paper holds that the central bank should pay close attention to the fluctuation of asset price when making monetary policy, but should not regard asset price as the main target of macro-control.This paper has the following two innovations: first, this paper synthetically considers the influence of monetary policy on asset price and the change of asset price on monetary policy, and studies the relationship between them more comprehensively and systematically; second,The index system is new and reasonable, and the data is relatively new and has a long span.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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