我国股价变动对实体经济影响的实证研究

发布时间：2018-04-30 02:17

本文选题：股价变动 + 实体经济　；参考：《浙江工商大学》2017年硕士论文

【摘要】：在一些金融市场发达的国家,股票市场的健康运行对实体经济的发展具有一定的支撑作用。我国股市建立较晚,发展尚不成熟,在二十余年间股价也经历了多次暴涨暴跌。从国际经验和历史事件看,股市向好会对一国经济的发展产生促进作用,但股价大幅、异常或不理性的暴涨暴跌也会对经济的稳定产生冲击。那么,股价变动如何影响实体经济,如何影响居民消费、企业投资等经济活动,其作用渠道和影响大小并没有完全的被解释清楚,现有的研究也尚未得出一致的、公认的结论。随着我国股票市场的快速发展,股市在整个金融体系、国民经济中的地位和作用日益凸显,股价变动对实体经济的影响情况也开始备受关注。本文首先在局部均衡分析的思想上依次研究了我国股价变动对消费和投资的影响,然后基于一般均衡分析思想研究了在商品市场和货币市场均衡时股价变动对实体经济整体的影响。本文选取了 2000～2015年的月度数据,通过构建引入股价变量的两个局部均衡模型和IS-LM扩展模型,采用现代时间序列分析方法进行研究,揭示了我国股价变动对实体经济影响的过程、机制和程度。另外,股权分置改革的实施在我国股市发展中有着划时代的意义,因此,本文还通过对股改前后分段处理和设置虚拟变量的方法来引入制度变革因素,考察股改对我国股市财富效应、投资效应和总体经济效应的影响。本文的创新之处在于弥补和完善了关于我国股市发展中股价变动对实体经济影响的研究,具体包括以下三点:第一,局部均衡分析和一般均衡分析相结合,本文从以上两个视角研究了股价变动对实体经济的影响,研究方法更完善;第二,本文全面考察了股价变动对消费、投资和实体经济整体的影响程度,研究内容更丰富;第三,考虑到股权分置改革对我国股市发展的影响之大,本文通过对股改前后分段处理和设置虚拟变量的方法来引入制度变革因素,考察股改在我国股市财富效应、投资效应和总体经济效应发挥上的影响,研究问题更全面。
[Abstract]:In some developed countries, the healthy operation of stock market plays a supporting role in the development of real economy. The stock market of our country was established late and immature, and the stock price also experienced a lot of ups and downs in more than 20 years. From the international experience and historical events, a good stock market will promote the development of a country's economy, but the stock price is large, abnormal or irrational skyrocketing and plummeting will also have an impact on the stability of the economy. Then, how the stock price changes affect the real economy, how to affect the resident consumption, enterprise investment and other economic activities, its role and impact has not been fully explained, the existing research has not yet reached a consistent, recognized conclusions. With the rapid development of stock market in China, stock market plays an increasingly important role in the whole financial system and national economy. First of all, this paper studies the influence of stock price changes on consumption and investment in turn on the idea of local equilibrium analysis. Then, based on the general equilibrium analysis, this paper studies the effect of stock price change on the real economy when the commodity market and money market are in equilibrium. This paper selects monthly data from 2000 to 2015, constructs two local equilibrium models with stock price variables and IS-LM extension model, and uses modern time series analysis method to study the process of stock price change affecting the real economy in China. Mechanism and extent In addition, the implementation of the split share structure reform has epoch-making significance in the development of the stock market in our country. Therefore, this paper also introduces the institutional reform factors through the methods of dealing with and setting virtual variables before and after the stock reform. To investigate the effect of stock reform on the wealth effect, investment effect and overall economic effect of China's stock market. The innovation of this paper is to make up for and improve the research on the impact of stock price changes on the real economy in the development of China's stock market, including the following three points: first, the combination of local equilibrium analysis and general equilibrium analysis. This paper studies the impact of stock price changes on the real economy from the above two perspectives, the research method is more perfect; second, this paper comprehensively examines the impact of stock price changes on consumption, investment and the real economy as a whole, the content of the study is more abundant; third, Considering the great influence of the reform of split share structure on the development of China's stock market, this paper introduces the factors of institutional change by dealing with and setting up virtual variables before and after the stock reform, and examines the wealth effect of stock reform in China's stock market. The investment effect and the overall economic effect exert the influence, the research question is more comprehensive.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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