中国货币政策对股票牛熊市影响的比较研究

发布时间：2018-06-08 17:35

本文选题：货币政策 + 股票市场　；参考：《湘潭大学》2013年硕士论文

【摘要】：股票市场的波动一直是学界与社会重点关注的话题，有关货币政策和股票市场的关系也长期被国内外专家学者所关注，但在货币政策对股票市场的非对称性影响却研究较少。传统的货币政策非对称中提出货币政策在经济繁荣期和衰退期有着明显的差异，本文致力于从货币政策非对称性入手，在货币政策影响股票市场的传导渠道的理论上寻找货币政策在牛熊市对股票市场影响产生差异性的机理，进而参考中国股市常见的三牛三熊分段法，基于断点检验等统计学技术，以股改后时间最长，波动最大的牛熊市为研究样本，继而依靠向量自回归模型，运用ADF检验，，格兰杰因果，脉冲响应和方差分解等技术，对不同市场态势下货币政策对股票市场的差异化影响进行研究。在利用中国股市的数据区分牛熊市的前提下，将股票市场与货币政策，宏观经济放在一个系统内进行实证研究，以研究三者之间的动态关系，继而对牛熊市下货币政策所产生的影响进行比较分析。实证结果表明，货币政策在不同的股票市场态势下产生的影响存在显著的非对称性，货币政策整体上在熊市期与股票市场关系更为紧密，具体表现在各变量在熊市期与股票市场存在多重因果关系，且货币政策对股票市场所产生的效果稳定，相较之牛市期间只有货币供应量一个政策变量能对股票市场产生稳定的冲击响应，且在格兰杰检验中的因果数量少于熊市样本。具体观察各个不同的货币政策变量，以货币供应量为中介目标的数量型工具在牛市中效果较为显著，优于熊市期表现，但利率和信贷工具均在熊市期表现优于牛市期，呈现稳定的方向，其中利率呈现较强的冲击力度，而这两个政策工具在牛市期间表现偏离理论预期，相对无效，继而本文从货币政策影响股票市场的非对称性理论对这些现象进行比较分析。此外值得注意的是，由于牛熊市期股票市场在宏观经济中所处地位不同，在牛市期间股票市场对宏观经济的影响要强于熊市期，这就说明货币政策若以稳定股市为操作目标，在牛市期的货币供应量操作可能会引起股票市场和宏观经济的同时波动，而在熊市期间股市对宏观经济的影响则较弱。最后，不仅货币政策应当区分当前股市态势做出适当调整，避免股票市场和实体经济的过度波动，股票市场自身也应当完善自身，既要良好的实现本身资源配置和信号传递的功能，也要成为货币政策的有效渠道，为提高货币政策有效性做出贡献。
[Abstract]:The fluctuation of stock market has always been the focus of attention of scholars and society. The relationship between monetary policy and stock market has long been concerned by experts and scholars at home and abroad, but the asymmetric impact of monetary policy on stock market is less studied. In the traditional monetary policy asymmetry, it is pointed out that the monetary policy has obvious differences in the boom period and the recession period. This paper focuses on the asymmetry of the monetary policy. Based on the theory of monetary policy influencing the transmission channel of stock market, this paper tries to find out the mechanism of the difference between monetary policy and stock market in bull bear market, and then refers to the common section method of "Sanniu Tri-Bear" in Chinese stock market. Based on breakpoint test and other statistical techniques, the bull bear market, which is the longest and most volatile after the stock reform, is used as the research sample, and then it relies on the vector autoregressive model, using ADF test, Granger causality, impulse response and variance decomposition techniques, etc. This paper studies the differential influence of monetary policy on stock market under different market situations. On the premise of distinguishing bull market from bear market by using the data of Chinese stock market, we put stock market and monetary policy into one system to carry out empirical research. In order to study the dynamic relationship between the three, and then comparative analysis of the impact of monetary policy under the bull bear market. The empirical results show that there are significant asymmetries in the influence of monetary policy in different stock market situations, and the monetary policy is more closely related to the stock market in the bear market period as a whole. The concrete manifestation is that each variable has multiple causality relation with stock market in bear market period, and the effect of monetary policy on stock market is stable. In comparison with the bull market, only one policy variable of money supply can produce a stable shock response to the stock market, and the number of causality in the Granger test is less than that of the bear market sample. The quantitative tool with money supply as the intermediate target is more effective in the bull market than in the bear market, but the interest rate and credit instrument are better than the bull market in the bear market period, showing a stable direction. The interest rate shows a strong impact, and these two policy tools deviate from the theoretical expectations during the bull market, which is relatively ineffective. Then this paper makes a comparative analysis of these phenomena from the asymmetric theory of monetary policy affecting the stock market. In addition, it is worth noting that because of the different position of the bull bear market stock market in the macro economy, during the bull market period the stock market has a stronger impact on the macro economy than during the bear market period. This shows that monetary policy should aim at stabilizing the stock market. Money supply operations during bull periods may cause volatility in both the stock market and the macro economy, while the stock market has a weaker impact on the macro economy during bear markets. Finally, not only should monetary policy distinguish between the current stock market situation and make appropriate adjustments to avoid excessive fluctuations in the stock market and the real economy, but also the stock market itself should improve itself. It is necessary not only to realize the function of resource allocation and signal transmission, but also to become an effective channel of monetary policy and to contribute to the effectiveness of monetary policy.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F822.0

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