我国货币政策对股票价格影响的实证分析

发布时间：2018-02-28 23:12

本文关键词： 货币政策股票价格向量自回归模型实证分析　出处：《河北大学》2010年硕士论文　论文类型：学位论文

【摘要】： 货币政策对股票价格的影响是近年来经济学界和中央银行越来越关心的问题。自20世纪70年代以来,特别是近20年,发达国家和新兴国家的股票市场日益发展,股票市场在一国国内融资和国民经济中的地位和作用日益巨大,因而股票价格的波动必将对一国乃至全球经济产生重大的影响。近几年,我国股票市场迅猛发展,市场规模不断扩大,越来越多的居民投资于股市。自2005年以来,我国股票市场波动较大。上证指数在2005年6月达到998点的低点后,大幅上涨,2007年10月达到6124点的高点后大幅下挫,短短一年的时间,于2008年10月28日下跌至1664点,基本经历了一个完整的周期。在此期间,中央银行13次调整基准利率,22次调整存款准备金率,货币政策变动之频繁,前所未有。在股票价格和中央银行的货币政策之间究竟存在着什么样的关系?在以后的经济社会发展的过程中,中央银行将更多地使用货币政策工具直接或间接地影响和调控股票价格,因此,我们有必要深入研究货币政策对股票价格的影响。本文对于股票价格指标的选取采用的是沪深300指数,而不是上证指数,避免了指数失真可能导致分析结果的误差性；采用了最新的数据和较新的计量经济方法如向量自回归模型(Var)、ADF检验、协整检验、格兰杰因果检验、向量误差修正模型(VECM)、脉冲响应函数、方差分解等,对货币政策影响股票价格的机制进行了系统全面的分析,既有理论分析,又有实证分析,而且更侧重实证分析。包括：利率、货币供应量、信贷规模以及汇率对股票价格的影响。根据新指标和新数据得出的结论：利率、货币供应量和汇率与股价有长期协整关系,信贷规模与股价则没有；短期内利率对股价的影响是负的,而长期则是正的；货币供应量对股价的影响长、短期均为正的；汇率对股价的影响是负向的；各变量对股价波动的贡献度为：利率对股价的影响占8%,货币供应量占5%,汇率占4%。文章最后根据实证分析的结论提出了一些建议：中央银行可以通过货币政策调控股票价格；应加快发展股票市场,扩大股票市场的规模；加大对信贷资金的监管,防止违规入市以及防止短期内人民币大幅度升值。
[Abstract]:The impact of monetary policy on stock prices has become a growing concern of economists and central banks in recent years. Since 1970s, especially in the past 20 years, stock markets in developed and emerging countries have been growing. The stock market is playing an increasingly important role in a country's domestic financing and national economy. Therefore, the fluctuation of stock price will have a great impact on one country and even the global economy. In recent years, China's stock market has developed rapidly. The market is growing in size, with more and more residents investing in the stock market. Since 2005, China's stock market has been volatile. After reaching a low of 998 points in June 2005, It rose sharply, hit a high of 6, 124 in October 2007 and fell sharply, to 1, 664 in just a year, after a largely complete cycle. The central bank adjusts the benchmark interest rate to 22 times, the monetary policy changes frequently, unprecedented. What kind of relationship is there between the stock price and the central bank's monetary policy? In the process of economic and social development in the future, the central bank will use more monetary policy tools to directly or indirectly influence and control stock prices. Therefore, it is necessary to study the impact of monetary policy on stock prices. In this paper, the index of stock price is chosen by using Shanghai and Shenzhen 300 Index, not Shanghai Stock Exchange Index, which avoids the error of the analysis result caused by the index distortion. The latest data and new econometric methods, such as vector autoregressive model (VAR), cointegration test, Granger causality test, vector error correction model (VECM), impulse response function, variance decomposition and so on, are used. This paper makes a systematic and comprehensive analysis of the mechanism by which monetary policy affects stock prices, including theoretical analysis, empirical analysis, and more emphasis on empirical analysis, including: interest rate, money supply, The impact of the size of credit and the exchange rate on stock prices. According to the new indicators and new data, the following conclusions are drawn: interest rate, money supply and exchange rate have long-term cointegration with stock price, credit scale and stock price are not, interest rate has negative influence on stock price in the short term, but positive in long term; The influence of money supply on stock price is long, short term is positive; the influence of exchange rate on stock price is negative; the contribution of each variable to stock price fluctuation is as follows: the influence of interest rate on stock price is 8%, money supply is 5%, exchange rate is 4%. Finally, according to the conclusions of the empirical analysis, the paper puts forward some suggestions: the central bank can regulate the stock price through monetary policy; it should speed up the development of the stock market, expand the scale of the stock market, and strengthen the supervision of credit funds. Prevent illegal entry into the market and prevent a large appreciation of the renminbi in the short term.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F224;F822.0;F832.51

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