我国货币供给量与股价之间关系的实证分析

发布时间：2018-02-26 10:47

本文关键词： 股票价格指数货币供应量协整分析 Granger检验　出处：《山西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着世界经济的高速发展,中国经济也突飞猛进,从实体经济到虚拟经济,都经历着翻天覆地变化。金融市场的发展更是起着不可或缺的作用,人们对于金融市场的发展走向越来越关注,越来越多的人开始关注金融市场的发展。金融市场的健康发展,离不开政府部门实行一系列宏观调控政策,其中货币政策作为重要的宏观调控手段,必然是缺一不可的。股票市场作为资本市场的重要组成部分之一,它与其他金融市场的发展紧密相连,影响着我国实体经济的健康发展,经济稍微的风吹草动都会在股票市场,金融市场、物价上面反映。因此,我国货币当局根据宏观经济的发展做出货币政策的调整,改变利率或者调节货币供给量,这些都会直接或间接的影响我国股票市场。而股票市场对实体经济的敏感程度和反应变化也会有助于货币当局即中国人民银行做出正确的决策,二者具有相互关联的关系,究竟二者具有什么量化关系,本文将展开全面的分析和论证。本论文正文部分大体分为三个部分：第一部分的主要内容是分析货币供应量的分层概念,分析传统货币理论的主要意义,阐述货币政策的形成及影响效果,分析国内生产总值的影响因素及走势变化,搜集历年数据情况,根据数据分析,股票价格指数的理论,并归纳货币供应量对股票价格指数的影响因素。第二部分主要利用计量模型对股票市场和宏观货币供应量关系进行实证分析。本论文从整体的角度,并运用ADF单位根检验模型、Granger因果检验、Johansen协整检验等各种计量分析方法,对数据进行处理并建立合适的模型,对各模型变量进行实证检验分析,分别对三组数据进行单位根检验,检验这三组时间序列是否为平稳序列。然后分别建立股价与GDP,股价与货币供应量M1M2之间数量关系系并求出相应的数值。第三部分针对第二部分的结论分析结论,结合实际情况,探讨我国宏观经济货币政策变动对实际股价影响,对我国现状经济提出有用的政策建议和指导意见,为我国经济的更好的发展提供保障。
[Abstract]:With the rapid development of the world economy, China's economy is also advancing by leaps and bounds. From the real economy to the virtual economy, the development of the financial market is playing an indispensable role. People are paying more and more attention to the development of the financial market, and more and more people are beginning to pay attention to the development of the financial market. The healthy development of the financial market is inseparable from the implementation of a series of macro-control policies by the government. Monetary policy, as an important means of macro-control, must be indispensable. As an important part of the capital market, the stock market is closely linked with the development of other financial markets. It affects the healthy development of the real economy of our country. Any slight economic turmoil will be reflected above the stock market, financial market, and prices. Therefore, the monetary authorities of our country have made monetary policy adjustments according to the development of the macro-economy. Changing interest rates or adjusting the amount of money supply will directly or indirectly affect our stock market. And the sensitivity of the stock market to the real economy and the changes in its response will also help the monetary authorities, namely the people's Bank of China, to make correct decisions. The relationship between the two is interrelated, and the quantitative relationship between them will be analyzed and demonstrated in a comprehensive way in this paper. The main body of this paper is divided into three parts: the first part is to analyze the concept of money supply stratification, analyze the main significance of the traditional monetary theory, explain the formation and impact of monetary policy. Analyzing the influencing factors and trend changes of GDP, collecting the data of past years, according to the analysis of data, the theory of stock price index, The second part mainly uses the econometric model to analyze the relationship between the stock market and the macro-money supply. Using the ADF unit root test model and ADF causality test Johansen cointegration test and other econometric analysis methods, the data are processed and appropriate models are established, and each model variable is empirically tested and analyzed, and three groups of data are tested by unit root test respectively. Then the quantitative relationship between stock price and GDP, stock price and money supply M1M2 is established and the corresponding numerical value is obtained. The third part analyzes the conclusions of the second part and combines the actual situation. This paper probes into the influence of the change of the macroeconomic monetary policy on the real stock price, and puts forward some useful policy suggestions and guidance for the present economy of our country, which provides the guarantee for the better development of our country's economy.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.2;F832.51

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