我国货币供应量和股票价格关系的实证分析

发布时间：2018-01-05 00:25

本文关键词：我国货币供应量和股票价格关系的实证分析　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：股票市场作为我国金融市场必不可少的一部分,在国民经济中占据越来越重要的地位,因此它的发展状况受到广泛关注。投资者关注股市能否给他们带来收益,上市公司不仅从融资的角度而且从公司长期经营战略角度关注股市的运行趋势,政府则作为宏观调控者制定相关政策以求维持股市的稳定健康发展,与此同时,国内越来越多的学者致力于研究政府的货币政策与股票市场之间的相互关系以便为以上行为提供理论和现实依据。货币供应量作为我国货币政策最重要的中介指标,它与股票价格之间存在怎样的关系；政府通过调控货币供应量能否对股价起到预想的效果等问题,均具有重要的理论和实证研究意义,也是本文所研究的主要内容。首先,本文阐述了有关货币供应量和股票市场价格关系的相关经典理论,如财富效应理论、托宾q理论、资产负债理论,并对国内外文献研究成果进行了简单介绍。综述前人的研究成果发现,由于研究方法和口径的不同,以及各国经济环境的特殊性,结果不尽相同,一方面认为两者存在关系,另一方面认为两者不存在关系,在我国社会经济环境下,两者之间的关系如何更需要进一步考究。其次,分析了我国股票市场价格的走势,发现我国股票市场价格的起伏性存在很多问题,期间央行采取的紧缩和宽松的货币政策都会对股票市场产生影响,说明货币供应量的变动会引起股价的变动。然后,从理论方面分析了货币供应量和股票价格的相互关系,股票价格通过财富效应、交易效应、投资组合效应和替代效应影响货币供应量,而货币供应量会通过存款准备金率、再贴现率和公开市场业务直接影响股票价格,通过利率传导机制、投资组合效应、价格预期效应和通货膨胀效应间接影响股票价格。再者,本文对货币供应量和股票价格的关系进行了实证研究,选取各个层次的货币供应量、上证综指和深证成指作为研究变量,对两者进行了协整关系检验和因果关系检验。研究结果表明,只有狭义货币供应量与上证综指、深证成指存在长期均衡关系,而流通中的现金、广义货币供应量、货币流动性结构指标与上证综指、深证成指不存在长期均衡关系,但是上证综指、深证成指的变动是狭义货币供应量、货币流动性结构指标变动的格兰杰因。最后,对于上述实证结果本文作了简单的说明和结论分析,并提出了三点针对性的政策建议,包括货币政策应当关注股票市场；完善货币供应量政策工具,提高政策的灵活性,降低时滞性；从制度本身、上市公司和投资者角度进一步推进股票市场改革,完善股票市场机制。希望本文的探讨能对货币政策和股票市场的关系问题研究尽一份微薄之力。
[Abstract]:As an indispensable part of our financial market, the stock market occupies a more and more important position in the national economy, so its development has been widely concerned. Investors pay attention to whether the stock market can bring them income. Listed companies not only from the perspective of financing but also from the long-term business strategy of the company pay attention to the operating trend of the stock market, the government as a macroeconomic regulator to formulate relevant policies to maintain the stable and healthy development of the stock market at the same time. More and more domestic scholars are devoted to studying the relationship between the government's monetary policy and the stock market in order to provide theoretical and practical basis for the above behaviors. Money supply is the most important intermediary of monetary policy in China. Label. What is the relationship between it and stock price; Whether the government can control the money supply to the stock price has important theoretical and empirical significance, and is also the main content of this paper. Firstly, this paper expounds the classical theories about the relationship between money supply and stock market price, such as wealth effect theory, Tobin Q theory, asset liability theory. A brief introduction is made to the domestic and foreign literature research results, and the results of previous studies are summarized. The results are different because of the differences of research methods and calibre, and the particularity of the economic environment of different countries. On the one hand, there is a relationship between the two, on the other hand, there is no relationship between them. In the social and economic environment of our country, the relationship between them needs to be further studied. Secondly, it analyzes the trend of the stock market price in our country, and finds that there are many problems in the fluctuation of the stock market price in our country. During this period, the tightening and loose monetary policy adopted by the central bank will have an impact on the stock market. The change of money supply will cause the change of stock price. Then, the relationship between money supply and stock price is analyzed theoretically. Stock price affects money supply through wealth effect, transaction effect, portfolio effect and substitution effect. The money supply will directly affect the stock price through the deposit reserve ratio, the rediscount rate and the open market business, through the interest rate transmission mechanism, the portfolio effect. Price expectation effect and inflation effect affect stock price indirectly. Furthermore, this paper makes an empirical study on the relationship between money supply and stock price, and selects various levels of money supply, Shanghai Composite Index and Shenzhen Composite Index as research variables. The results show that only the narrow money supply and the Shanghai Composite Index, Shenzhen Stock Exchange has a long-term equilibrium relationship, and cash in circulation. There is no long-term equilibrium relationship between the broad money supply, the monetary liquidity structure index and the Shanghai Composite Index and the Shenzhen Composite Index, but the change of the Shanghai Composite Index and the Shenzhen Composite Index is the narrow money supply. Grangein for changes in monetary liquidity structure indicators. Finally, this paper makes a brief explanation and conclusion analysis of the above empirical results, and puts forward three targeted policy recommendations, including monetary policy should pay attention to the stock market; Improve the tool of money supply policy, improve the flexibility of policy and reduce the delay; From the system itself, listed companies and investors to further promote the reform of the stock market, improve the stock market mechanism, I hope this discussion can contribute to the study of the relationship between monetary policy and the stock market.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.2;F832.51;F224

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