货币政策、股票价格与实体经济关系的实证研究

发布时间：2018-03-02 09:49

本文关键词： 货币政策股票价格实体经济 FAVAR模型 FECM模型　出处：《西北师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：在金融市场快速发展的今天，央行的货币政策面临着维持金融稳定性的巨大挑战，央行应该如何应对资产价格波动以及由此引起的实体经济波动，除了加强对金融市场和金融机构监管等政策方面的措施之外，是否应该将资产价格波动纳入货币政策的调控范围之内，对此问题目前学术界尚存在着不同的意见。股票市场作为金融市场的重要组成部分，与实体经济之间存在着复杂的相互影响关系，实体经济是股票市场发展的基础，股市自身的高效性和灵敏性，能够推动社会经济发展的生产率，而其同时存在的盲目性和惯性也会对实体经济的运行产生很多不利的影响。基于以上的实际问题，本文引入了两个VAR宏观经济统计模型的拓展模型：FAVAR模型和FECM模型，，应用这两个模型研究了我国股票价格和实体经济的联动性。基于股价与实体经济的相关性问题，进一步提出了将股票价格指数纳入到宏观政策制定的参考变量中的问题，考虑其成为货币政策调控目标的可能性。股票价格与大规模宏观经济变量所建立的FAVAR模型和FECM模型表明，股价对于实体经济的八个因子都有着不同程度的影响，同时货币政策中的利率因子和货币因子对于股票价格也有着比较明显的影响。但是纵观股票价格对八个因子的影响可以发现，其对每个因子的响应程度以及响应时间都有所不同，其中的价格因子、工业因子、投资因子和房产因子，在不同的时期都会产生不同程度的负面影响，这样对货币政策运用股票价格来影响实体经济运行就造成了许多困难，产生了一些不确定的因素，本文对此现象产生的原因进行了分析，并提出了一些改进建议。
[Abstract]:With the rapid development of financial markets, the central bank's monetary policy is facing a great challenge of maintaining financial stability. How should the central bank cope with the volatility of asset prices and the resulting fluctuations in the real economy? Apart from strengthening policy measures such as regulation of financial markets and financial institutions, should the fluctuation of asset prices be included in the scope of monetary policy? As an important part of the financial market, there is a complex interaction between the stock market and the real economy, and the real economy is the basis of the development of the stock market. The high efficiency and sensitivity of the stock market can promote the productivity of the social economy development, and the blindness and inertia of the stock market will have a lot of adverse effects on the operation of the real economy. Based on the above practical problems, this paper introduces two extended models of VAR macroeconomic statistics model: FAVAR model and FECM model. The two models are used to study the linkage between stock price and real economy in China. Based on the correlation between stock price and real economy, the problem of integrating stock price index into the reference variable of macro policy making is put forward. Consider the possibility of becoming a target of monetary policy regulation. The FAVAR model and FECM model of stock price and large-scale macroeconomic variables show that the stock price has different effects on the eight factors of the real economy. At the same time, the interest rate factor and monetary factor in monetary policy also have more obvious influence on stock price. However, if we look at the influence of stock price on eight factors, we can find that, The degree of response to each factor and the response time are different. The price factor, industrial factor, investment factor and real estate factor all have different negative effects in different periods. In this way, the use of stock price in monetary policy to affect the operation of the real economy has caused many difficulties and produced some uncertain factors. This paper analyzes the causes of this phenomenon and puts forward some suggestions for improvement.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.51;F124

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