我国货币供给与大小盘股相互影响的比较研究

发布时间：2018-05-30 16:47

本文选题：货币供应量 + 大盘股　；参考：《浙江工商大学》2014年硕士论文

【摘要】：随着经济的发展,央行货币政策对操作目标、中介目标、最终目标调控的经验越来越丰富,货币供应量作为重要的中介目标,对整个金融市场产生了深远的影响。经过20多年发展,我国股市成绩斐然,但也存在不少问题。为使股市持续稳定健康发展,证监会采取了一系列措施规范股票市场、保护投资者利益。股市和货币市场的联系越来越密切,具有明显相互影响的特征,成为学者感兴趣的问题之一。大盘股和小盘股是股市中形成鲜明对比的两类股票,大盘股更多的进行价值投资、红利投资,小盘股往往是通过股票价差获利,因此大盘股和小盘股与货币供应量的相互影响存在差异,对这种差异的研究有利于将货币市场和股市进一步联系起来,央行在把货币供应量作为中介目标时可以更有针对性的参考股市,运用货币供应量调控股市时可以更有效的选择货币层次。本文对货币供应量与大小盘股的相互影响进行了理论分析和实证检验。从货币供应量对股市影响、股票价格对货币政策影响、大盘股和小盘股差异三个方面逐步推进理论分析。运用上述理论分析比较货币供应量与大小盘股的相互影响,认为货币供应量对小盘股的影响更直接,大盘股对货币供应量的影响更明显。实证检验选取货币供应量的三个层次表示货币供给,中证100指数表示大盘股,中小板指数表示小盘股,运用2006年5月到2013年12月货币流通中现金M0、狭义货币供应量M1、广义货币供应量M2、中证100指数、中小板指数五个指标的月度数据进行趋势分析并建立VAR模型。利用Granger因果关系检验模型中变量间的因果关系。利用脉冲响应模型研究对模型施加冲击各个变量的反应。利用方差分解研究模型中各个变量的贡献率。结果发现,流通中现金M0、狭义货币供应量M1可以与中证100指数、中小板指数建立VAR模型,广义货币供应量M2不能与中证100指数、中小板指数建立VAR模型。流通中现金M0、狭义货币供应量M1对小盘股的作用明显,说明小盘股对货币供应量的变化更敏感。大盘股对流通中现金M0、狭义货币供应量M1的作用明显,说明大盘股对货币供应量的影响显著。理论分析与实证检验得到的结论有一致也有偏离,原因解释部分分别对各种结论进行经济学分析,结合我国经济发展现状对结论进行合理的推断,与理论偏离的结论可以通过相关经济理论、货币供应量层次、股市现状进行合理解释。政策建议从本文结论和加强货币供给与大小盘股联系两个角度展开,提出货币供应量需要考虑大盘股影响、有针对性的利用货币供应量调控股市、健全保护中小散户投资者权益的制度、不断完善证券市场投资品种和相应制度、加强投资者教育五方面政策建议。
[Abstract]:With the development of economy, the central bank's monetary policy has more and more experience in regulating and controlling the operation target, intermediate target and final target. As an important intermediate target, the money supply has a profound influence on the whole financial market. After more than 20 years development, our country stock market achievement is outstanding, but also has many problems. In order to make the stock market develop steadily and healthily, the CSRC has taken a series of measures to standardize the stock market and protect the interests of investors. The relationship between stock market and money market is becoming more and more close, and it has the characteristics of obvious mutual influence, so it has become one of the questions of interest to scholars. Large-cap stocks and small-cap stocks are two types of stocks in sharp contrast in the stock market. Large-cap stocks make more value investments, dividend investments, and small-cap stocks often profit from the spread of the stock price. Therefore, there are differences in the interaction between large-cap and small-cap stocks and money supply, and the study of this difference is conducive to further linking the money market and the stock market. When the central bank regards the money supply as the intermediate target, it can refer to the stock market more pertinently, and it can choose the monetary level more effectively when using the money supply to control the stock market. This paper makes a theoretical analysis and empirical test on the interaction between money supply and stock. From three aspects: the influence of money supply on stock market, the influence of stock price on monetary policy, and the difference between large-cap stock and small-cap stock, the theoretical analysis is carried out step by step. By analyzing and comparing the mutual influence between money supply and large and small stocks, it is concluded that the influence of money supply on small-cap stocks is more direct, and that of large-cap stocks on money supply is more obvious. The empirical test selects three levels of money supply to represent money supply. The CSI 100 index represents large-cap stocks, while the small-sized board index represents small-cap stocks. From May 2006 to December 2013, the monthly data of cash M0, narrow money supply M1, broad money supply M2, CSI 100 index and small and medium board index are used to analyze the trend and establish the VAR model. Granger causality is used to test the causality between variables in the model. The impulse response model is used to study the response of each variable applied to the model. The contribution rate of each variable in the model is studied by variance decomposition. The results show that cash M0 in circulation, money supply M1 in narrow sense can establish VAR model with CSI 100 index and small board index, and generalized money supply M2 can't establish VAR model with CSI 100 index and SMB index. In cash M0, the narrow money supply M1 plays a significant role in small-cap stocks, indicating that small-cap stocks are more sensitive to changes in money supply. The effect of large-cap stock on cash M0 and narrow money supply M1 in circulation is obvious, which indicates that large-cap stock has a significant influence on money supply. The conclusions of theoretical analysis and empirical test are consistent and deviated. The reason explanation part carries on the economic analysis to each kind of conclusion separately, unifies our country economic development present situation to carry on the reasonable inference to the conclusion, The conclusion of deviation from the theory can be reasonably explained by relevant economic theory, money supply level and stock market status. The policy suggestion is carried out from the two angles of the conclusion of this paper and strengthening the connection between the money supply and the stock market. It is pointed out that the money supply needs to consider the influence of the large-cap stock and adjust the stock market by using the money supply to control the stock market. We should improve the system of protecting the rights and interests of small and medium-sized retail investors, constantly improve the investment varieties and corresponding systems in the securities market, and strengthen investor education in five aspects of policy proposals.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.2;F832.51

【相似文献】