中国股市与货币政策相互影响的实证研究
发布时间：2018-11-15 19:42
【摘要】：从20世纪90年代初开始，我国股票市场经过了22年的发展和完善，其规模和影响力日益扩大。股票市场已成为企业重要的融资渠道和居民投资场所，，与国民经济的关联越发紧密。股票市场的发展壮大改变了货币需求的数量和结构，也影响着货币政策的实施和传导。因此，本文从理论和实证两方面论述了我国股市和货币政策间的相互作用。在理论上，分别从货币政策对股市的影响、股市对货币政策的影响以及股票市场的货币政策传导机制这三方面来进行阐述和解释。在实证上，运用协整检验、格兰杰因果检验、向量自回归模型、脉冲响应和方差分解等方法来对股票收益率与货币政策的相关性进行研究。选取1998年到2012年的上证指数、货币供应量、银行间同业拆借利率和景气指数的月度数据来进行研究。研究内容包括：经济变量间的相互联系，货币政策对股票收益率的影响以及股票收益率对货币政策的影响。实证得出，货币供应量、同业拆借利率和股票收益率存在着长期的协整关系；货币供应量的调整会股票市场产生作用，其中M1对股市的影响要大于M2的影响；但同业拆借利率的变化则与经济学理论不符；货币政策的效果存在时滞性。最后提出建议：货币政策应该适时考虑关注股票市场；应该加快市场利率化进程，疏通股票市场的货币政策传导；完善市场机制，吸引更多长期资金。
[Abstract]:Since the beginning of 1990s, the stock market of our country has been developed and perfected for 22 years, and its scale and influence are expanding day by day. The stock market has become an important financing channel and investment place for enterprises, and is more and more closely related to the national economy. The development of stock market changes the quantity and structure of money demand, and also affects the implementation and transmission of monetary policy. Therefore, this paper discusses the interaction between stock market and monetary policy from both theoretical and empirical aspects. In theory, the paper expounds and explains the influence of monetary policy on stock market, the influence of stock market on monetary policy and the transmission mechanism of monetary policy in stock market. Empirically, we use cointegration test, Granger causality test, vector autoregressive model, impulse response and variance decomposition to study the correlation between stock yield and monetary policy. Based on the monthly data of Shanghai Stock Exchange Index, money supply, Interbank offered rate and boom index from 1998 to 2012. The contents of the study include: the interrelation between economic variables, the influence of monetary policy on stock return and the influence of stock return on monetary policy. The empirical results show that there is a long-term cointegration relationship among money supply, interbank offered rate and stock yield, and the adjustment of money supply will have an effect on the stock market, in which M1 has more influence on the stock market than M2. However, the change of interbank offered rate is inconsistent with economic theory, and the effect of monetary policy is delayed. Finally, some suggestions are put forward: the monetary policy should pay attention to the stock market at the right time, speed up the process of the market interest rate, clear the monetary policy transmission of the stock market, perfect the market mechanism and attract more long-term funds.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F822.0
本文编号：2334258
[Abstract]:Since the beginning of 1990s, the stock market of our country has been developed and perfected for 22 years, and its scale and influence are expanding day by day. The stock market has become an important financing channel and investment place for enterprises, and is more and more closely related to the national economy. The development of stock market changes the quantity and structure of money demand, and also affects the implementation and transmission of monetary policy. Therefore, this paper discusses the interaction between stock market and monetary policy from both theoretical and empirical aspects. In theory, the paper expounds and explains the influence of monetary policy on stock market, the influence of stock market on monetary policy and the transmission mechanism of monetary policy in stock market. Empirically, we use cointegration test, Granger causality test, vector autoregressive model, impulse response and variance decomposition to study the correlation between stock yield and monetary policy. Based on the monthly data of Shanghai Stock Exchange Index, money supply, Interbank offered rate and boom index from 1998 to 2012. The contents of the study include: the interrelation between economic variables, the influence of monetary policy on stock return and the influence of stock return on monetary policy. The empirical results show that there is a long-term cointegration relationship among money supply, interbank offered rate and stock yield, and the adjustment of money supply will have an effect on the stock market, in which M1 has more influence on the stock market than M2. However, the change of interbank offered rate is inconsistent with economic theory, and the effect of monetary policy is delayed. Finally, some suggestions are put forward: the monetary policy should pay attention to the stock market at the right time, speed up the process of the market interest rate, clear the monetary policy transmission of the stock market, perfect the market mechanism and attract more long-term funds.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F822.0
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