金融危机后我国货币政策对证券市场的影响

发布时间：2018-03-24 07:25

本文选题：金融危机　切入点：货币中性　出处：《云南财经大学》2014年硕士论文

【摘要】：我国证券市场是在改革发展的中国特色社会主义市场经济中诞生，其功能定位、市场参与者、资金容量及其影响力正随着强大的我国的经济日益增强，证券作为资本市场的中心市场，其市场地位日益提高，发展前景日新月异，对经济的影响也异常重要。由网络科技创新引领的21世纪经济，货币政策受到了来自资本市场的新挑战。沉寂5年的证券市场，随着2006年股权分置改革的推动，证券市场作为经济“晴雨表”的作用日趋显著。证券市场的财富效应也吸引的大量的专家学者进行研究。在由计划经济向市场经济转变过程中，我国宏观经济的调控已经完全由货币政策与财政政策主导了。货币量的变化直接影响着利率，影响着资本的市场价格。2008年，世界性的金融危机给世界金融体系沉重打击，从一定程度上改变了原有的货币政策对证券市场的传导机制，四万亿投资的滞后效应严重削弱了货币政策的有效性，致使证券市场没有反映我国经济在金融危机后的欣欣向荣。在金融市场大步向前的时代，我国的债券市场也缓慢发展着，基金市场也雨后春笋般繁荣。告别了过去股票、权证的时代。完善的指数体系也已成规模。作为证券市场的子市场，有必要去研究货币政策对基金或者债券市场的影响，为投资者提供一定的参考。本文立足于国内外研究现状，继续前人的研究步伐，强调货币供应量与利率作为货币政策的代理变量，突出研究他们对证券中的基金、债券、股票市场。我国的债券市场相对狭小，几乎每一次重要的危机都推动了金融颠覆性的跨越，首先回顾了上世纪重大的金融危机事件以及其造成的影响，，并总结了货币在危机中的作用。在理论分析中，探讨了可供调控的货币政策指标，针对货币中性理论进行探讨，研究货币当局的货币政策对货币供应量的决定性。随后对金融危机后，我国货币政策的实施状况做了简易分析，并重点研究了中国特色市场经济条件下货币政策对股市的传导机制，对各项货币对证券市场的影响做了分别的分析。在实证方面，利用金融危机后的月度数据，对数据进行了一般性分析，并对数据进行了基本的处理，以达到消除异方差、多重共线性等，通过相关性分析得出变量间的相关密切程度。选用的时间序列模型经过单位根检验、协整分析，克服了传统多元回归模型的“伪回归”问题，并利用VEC模型进行分析。研究结果在一定程度上也得到了与前人相似的结论。货币量与利率对股票市场的影响是显著的，而基金市场和债券市场影响并不显著。并根据当前金融形势，提出了几点建议。
[Abstract]:China's securities market is born in the reform and development of the socialist market economy with Chinese characteristics. Its function, market participants, capital capacity and its influence are increasing with the development of our strong economy. As the central market of the capital market, the securities market position is increasing day by day, the development prospect is changing with each passing day, the influence on the economy is also extremely important. Monetary policy is facing new challenges from capital markets. The securities market, which has been quiet for five years, was pushed forward by the 2006 split share structure reform. The role of securities market as an economic "barometer" is becoming more and more obvious. The wealth effect of securities market also attracts a lot of experts and scholars to study. In the process of transition from planned economy to market economy, China's macroeconomic regulation and control has been completely dominated by monetary and fiscal policies. The change in monetary volume directly affects interest rates and the market prices of capital. In 2008, the world financial crisis dealt a heavy blow to the world financial system. To some extent, the transmission mechanism of the original monetary policy to the securities market has been changed, and the lagging effect of 4 trillion investment has seriously weakened the effectiveness of the monetary policy. As a result, the securities market did not reflect the prosperity of China's economy after the financial crisis. In the era of great strides forward in the financial market, the bond market in our country has also developed slowly, and the fund market has mushroomed. Farewell to the stock market in the past. As a sub-market of the securities market, it is necessary to study the influence of monetary policy on the fund or bond market in order to provide a certain reference for investors. Based on the current research situation at home and abroad, this paper emphasizes the money supply and interest rate as the proxy variable of monetary policy, and focuses on their research on the funds and bonds in the securities. The stock market. The bond market in China is relatively small. Almost every major crisis has promoted a financial subversive leap forward. First of all, I look back on the major financial crisis of the last century and its impact. In the theoretical analysis, the paper discusses the monetary policy indicators available for adjustment and control, and discusses the monetary neutrality theory. This paper studies the decisive effect of monetary policy of monetary authorities on money supply, and then makes a simple analysis of the implementation of monetary policy in China after the financial crisis. It also focuses on the transmission mechanism of monetary policy to the stock market under the condition of market economy with Chinese characteristics, and makes a separate analysis of the influence of various currencies on the securities market. In the empirical aspect, using the monthly data after the financial crisis, this paper makes a general analysis of the data, and carries on the basic processing to the data, in order to eliminate the heteroscedasticity, the multiple collinearity and so on. Through correlation analysis, the correlation degree between variables is obtained. The selected time series model is tested by unit root and cointegration analysis, which overcomes the "pseudo regression" problem of traditional multivariate regression model. The results of the study are similar to those of the predecessors to a certain extent. The effects of money and interest rates on the stock market are significant. The influence of fund market and bond market is not significant, and according to the current financial situation, some suggestions are put forward.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.51

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