我国货币政策的股票市场传导效应研究

发布时间：2018-03-25 23:17

本文选题：货币政策传导机制　切入点：股票市场　出处：《安徽财经大学》2016年硕士论文

【摘要】：随着全球资本市场的发展,货币政策传导的资产价格渠道备受各方关注。作为我国资本市场的重要组成部分,股票市场现已成为我国重要的投融资渠道,对实体经济的影响也日益明显。因而文章主要针对我国股票市场传导货币政策来展开研究。货币政策传导机制的有效性往往决定了货币政策预期目标的达成。因而基于货币政策传导机制理论,深入研究货币政策的股票市场传导效应对于货币当局制定并实施货币政策、微观经济主体调整其经济行为和规范股票市场具有重要的理论意义和现实意义。在货币政策的股票市场传导的过程中,货币当局制定和实施货币政策,通过影响中介目标货币供应量和利率改变股票价格,这是传导的第一环节;股票价格的变化对消费和投资产生影响,最终影响整个实体经济,这是传导的第二环节。因此,文章在理论和实证研究上均从货币政策到股票市场和股票市场到实体经济这两个环节来研究股票市场传导货币政策的有效性。通过对紧密联系的两个传导环节进行理论和实证的研究而非只关注某一环节能系统而清晰地认识货币政策的股票市场传导机制及其有效性,这也是文章的创新之处。理论上,货币供应量和利率通过各种渠道效应对股票价格产生影响,进而股票价格变动通过托宾Q效应与资产负债表效应作用于投资,通过财富效应与流动性效应作用于消费。虽然我国股票市场规模近年来有所扩大,但由于微观主体、金融监管和股票市场自身等方面因素的限制,货币政策的股票市场传导效应并不显著。为进一步验证我国货币政策的股票市场传导的有效性,文章基于2005-2015年月度数据建立VAR模型,运用计量分析方法实证得出以下结论:在第一环节中,股票价格对于货币供应量变化产生正效应,对于利率的变化产生负效应,即货币政策调整能通过中介目标影响股票价格,但这种影响较为微弱;在第二环节中,虽然股票价格上涨能引发物价水平的上涨,但股票价格与投资、消费存在负相关关系,对经济增长也没有稳定的正向影响。这说明股票价格到实体经济的传导由于托宾Q效应、资产负债表效应、财富效应和流动性效应不显著而受到阻滞。实证所选用的变量如利率和经济增长由于诸多因素只能选用七天同业拆借利率和工业增加值为替代变量,一定程度上影响实证结果,这也是文章不足之处。在理论和实证研究的基础上,文章结合我国的现实国情提出了一系列政策建议,包括扩大股票市场规模并完善投资者结构;加快推进国有企业改革,增加对中小企业的信贷支持;调节收入分配结构,完善社会保障制度;加强金融监管,规范股票市场运行,建立货币市场和股票市场的联结机制。
[Abstract]:With the development of the global capital market, the asset price channel of monetary policy transmission has attracted much attention. As an important part of China's capital market, the stock market has become an important channel of investment and financing in China. The influence on the real economy is becoming more and more obvious. Therefore, this paper mainly studies the transmission of monetary policy in China's stock market. The effectiveness of the transmission mechanism of monetary policy often determines the achievement of the expected target of monetary policy. And based on the theory of monetary policy transmission mechanism, Deeply study the stock market conduction effect of monetary policy on the monetary authorities to formulate and implement monetary policy, It is of great theoretical and practical significance for microeconomic subjects to adjust their economic behavior and regulate the stock market. In the course of the transmission of monetary policy, the monetary authority formulates and implements monetary policy. Changing the stock price by influencing the intermediate target money supply and interest rate is the first link in the transmission; the change in the stock price has an impact on consumption and investment, and ultimately affects the real economy as a whole, which is the second link in the transmission. This paper studies the effectiveness of conducting monetary policy in stock market from monetary policy to stock market and stock market to real economy both theoretically and empirically. Theoretical and empirical studies, rather than focusing on a particular link, provide a systematic and clear understanding of the stock market transmission mechanism of monetary policy and its effectiveness. In theory, money supply and interest rate affect stock price through various channel effects, and then stock price changes affect investment through Tobin Q effect and balance sheet effect. Although the scale of China's stock market has expanded in recent years, but due to the microcosmic factors such as the main body, financial supervision and stock market itself, The stock market transmission effect of monetary policy is not significant. In order to further verify the effectiveness of the stock market transmission of monetary policy in China, this paper establishes a VAR model based on monthly data from 2005 to 2015. In the first link, stock price has a positive effect on the change of money supply and a negative effect on the change of interest rate, that is, the adjustment of monetary policy can influence the stock price through intermediary target. In the second link, although rising stock prices can lead to price increases, there is a negative correlation between stock prices and investment and consumption. There is also no stable positive impact on economic growth. This shows that the transmission of stock prices to the real economy is due to the Tobin Q effect, the balance sheet effect, The wealth effect and the liquidity effect are not significant and the variables chosen in the empirical study, such as interest rate and economic growth, can only be replaced by the seven-day interbank offered rate and industrial added value because of many factors, which to some extent affect the empirical results. On the basis of theoretical and empirical research, this paper puts forward a series of policy suggestions, including enlarging the scale of stock market and perfecting the structure of investors, speeding up the reform of state-owned enterprises. We should increase credit support for small and medium-sized enterprises, adjust the income distribution structure, perfect the social security system, strengthen financial supervision, standardize the operation of the stock market, and establish a linkage mechanism between the money market and the stock market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F822.0;F832.51

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