本文關(guān)鍵詞：貨幣政策調(diào)整對股市流動(dòng)性的影響分析　出處：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣政策 流動(dòng)性 VAR模型 C-GARCH模型 ARIMA模型

【摘要】：自股權(quán)分置改革以來,我國股票市場發(fā)展異常迅速,在其迅速的發(fā)展過程中,流動(dòng)性起著不可或缺的作用,這也是長期以來流動(dòng)性備受貨幣當(dāng)局和實(shí)務(wù)投資者關(guān)注的原因所在,尤其是金融危機(jī)發(fā)生時(shí),貨幣當(dāng)局會(huì)采取各種貨幣政策措施以穩(wěn)定金融市場和實(shí)體經(jīng)濟(jì)。本文研究的主要目的是探討分析貨幣政策調(diào)整對股市流動(dòng)性所造成的實(shí)際影響,從而為貨幣當(dāng)局和實(shí)務(wù)投資者提供合理化建議。 為了充分獲得貨幣政策對股市流動(dòng)性的具體影響,本文在對貨幣政策進(jìn)行衡量時(shí),首先運(yùn)用簡單的泰勒規(guī)則來度量貨幣政策代表變量之一的7天同業(yè)拆借利率的變化方向,以此來衡量貨幣政策的趨向；同時(shí)運(yùn)用基礎(chǔ)貨幣增長率來衡量我國貨幣政策的另一代理變量—貨幣供應(yīng)量的變化趨向。在對股市流動(dòng)性進(jìn)行測量時(shí),本文設(shè)計(jì)了五個(gè)流動(dòng)性指標(biāo)變量。通過運(yùn)用向量自回歸模型VAR將貨幣政策代理變量和股市流動(dòng)性指標(biāo)變量聯(lián)系起來,對其內(nèi)在關(guān)系進(jìn)行詳細(xì)分析,得出寬松的貨幣政策促使股市流動(dòng)性增強(qiáng),緊縮的貨幣政策降低股市流動(dòng)性的一般性結(jié)論。但是,貨幣政策效果在一定程度上被弱化,文章進(jìn)一步詳細(xì)分析了貨幣政策被弱化的原因。文章還從動(dòng)態(tài)和靜態(tài)的角度出發(fā),分別研究分析了貨幣政策對股市流動(dòng)性的影響。動(dòng)態(tài)上,運(yùn)用C-GARCH模型對流動(dòng)性指標(biāo)的波動(dòng)性和貨幣政策調(diào)整因子的影響關(guān)系進(jìn)行了實(shí)證分析,得出了貨幣政策對股市流動(dòng)性的波動(dòng)性具有明顯的影響作用,而且存在非對稱效應(yīng)：靜態(tài)上基于事件研究分析法和ARIMA預(yù)測模型,通過分析對比貨幣政策事件宣告前后股市流動(dòng)性指標(biāo)的累計(jì)異常變化率來衡量貨幣政策對股市流動(dòng)性的具體影響力度,從結(jié)論中可以看出,部分指標(biāo)累計(jì)異常變化率較為明顯,但是文章的所運(yùn)用的預(yù)測模型在一定程度上還存在著改進(jìn)的空間,這也為文章實(shí)證效果的不精準(zhǔn)提供了可能性原因。 整體上,文章采用了理論基礎(chǔ)—實(shí)證分析—結(jié)論分析總結(jié)的研究模式。理論分析使得文章的研究具有了相應(yīng)的理論支撐,實(shí)證分析一定程度上驗(yàn)證了文章的理論分析,但是所得結(jié)論因貨幣政策效果被弱化使其僅僅具有一般性,結(jié)論總結(jié)在理論基礎(chǔ)和實(shí)證分析的基礎(chǔ)上進(jìn)行了全面的分析,即分析了貨幣政策效果被弱化的原因,也針對實(shí)證效果提出了相關(guān)性建議以供管理當(dāng)局和投資者參考。
[Abstract]:Since the reform of non-tradable shares, the stock market in China has developed very rapidly, and liquidity plays an indispensable role in its rapid development. This is why liquidity has long been the concern of monetary authorities and real investors, especially in times of financial crisis. Monetary authorities will take various monetary policy measures to stabilize the financial market and the real economy. The main purpose of this study is to analyze the actual impact of monetary policy adjustment on stock market liquidity. To provide rational advice for monetary authorities and practical investors. In order to fully obtain the specific impact of monetary policy on stock market liquidity, this paper measures monetary policy. Firstly, the paper uses simple Taylor rule to measure the change direction of interbank offered rate (IBOR), which is one of the representative variables of monetary policy, so as to measure the trend of monetary policy. At the same time, we use the basic monetary growth rate to measure the change trend of money supply, another proxy variable of monetary policy in China. This paper designs five liquidity index variables and uses the vector autoregressive model (VAR) to link the monetary policy agent variable with the stock market liquidity index variable and analyzes the inherent relationship in detail. The general conclusion is that loose monetary policy promotes stock market liquidity, and tight monetary policy reduces stock market liquidity. However, the effect of monetary policy is weakened to some extent. The article further analyzes the reasons for the weakening of monetary policy. From the dynamic and static point of view, the paper also analyzes the impact of monetary policy on stock market liquidity. The C-GARCH model is used to analyze the relationship between the volatility of liquidity index and the adjustment factor of monetary policy, and it is concluded that monetary policy has an obvious effect on the volatility of stock market liquidity. And there are asymmetric effects: static event based analysis and ARIMA prediction model. Through analyzing and comparing the cumulative abnormal change rate of stock market liquidity index before and after the announcement of monetary policy events to measure the specific impact of monetary policy on stock market liquidity can be seen from the conclusion. The accumulative abnormal change rate of some indicators is obvious, but the prediction model used in this paper still has room for improvement to a certain extent, which also provides the possible reason for the inaccuracy of the empirical effect of the article. On the whole, the paper adopts the research model of theoretical basis-empirical analysis-conclusion analysis. Theoretical analysis makes the research have corresponding theoretical support. The empirical analysis verifies the theoretical analysis to some extent, but the conclusion is only general because the monetary policy effect is weakened. The conclusion is based on the theoretical basis and empirical analysis, that is, to analyze the reasons for the weakening of monetary policy. It also puts forward some relevant suggestions for the management and investors.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F822.0;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 盧濤;王春峰;房振明;;公開市場操作公告對中國股市交易行為的影響[J];北京理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2006年05期

2 王健;莊新田;;中國股票市場的流動(dòng)性與波動(dòng)性實(shí)證研究[J];東北大學(xué)學(xué)報(bào);2006年09期

3 鄭振龍;陳志英;;中國股票市場和債券市場收益率動(dòng)態(tài)相關(guān)性分析[J];當(dāng)代財(cái)經(jīng);2011年02期

4 小黎飛刀;;深入解讀換手率指標(biāo)[J];股市動(dòng)態(tài)分析;2008年31期

5 萬樹平,涂凍生;價(jià)量分布下的股票流動(dòng)性深度的度量[J];系統(tǒng)工程;2004年10期

6 曹迎春;劉善存;邱菀華;;證券市場日內(nèi)流動(dòng)性的綜合度量、特征與信息含量[J];系統(tǒng)工程;2007年03期

7 肖文偉;楊小娟;;貨幣政策時(shí)滯問題實(shí)證分析[J];系統(tǒng)工程;2010年07期

8 黃曉彬;王春峰;房振明;閆芳;;中國股票市場日內(nèi)高頻信息風(fēng)險(xiǎn)特征與實(shí)時(shí)測度[J];系統(tǒng)工程;2012年03期

9 吳振信;許寧;;貨幣政策對股指影響的GARCH-M效應(yīng)研究[J];經(jīng)濟(jì)問題;2006年08期

10 謝平,羅雄;泰勒規(guī)則及其在中國貨幣政策中的檢驗(yàn)[J];經(jīng)濟(jì)研究;2002年03期

相關(guān)博士學(xué)位論文 前1條

1 寇明婷;股票價(jià)格對貨幣政策調(diào)整的反應(yīng)研究[D];西北農(nóng)林科技大學(xué);2011年

相關(guān)碩士學(xué)位論文 前7條

1 曾慶菊;我國流動(dòng)性過剩對貨幣政策有效性的影響研究[D];天津財(cái)經(jīng)大學(xué);2011年

2 夏榮堯;基于ARIMA模型的我國通貨膨脹預(yù)測研究[D];湖南大學(xué);2009年

3 王曉巍;基于股票市場的貨幣政策傳導(dǎo)效應(yīng)的實(shí)證研究[D];重慶大學(xué);2005年

4 李剛;我國股票市場的發(fā)展與貨幣政策利率傳導(dǎo)機(jī)制研究[D];華東師范大學(xué);2008年

5 王俊達(dá);貨幣政策對我國股票市場的影響研究[D];暨南大學(xué);2010年

6 孫亞星;我國貨幣供應(yīng)量因素分解模型與ARIMA模型預(yù)測[D];中南大學(xué);2009年

7 鄧陽;中國貨幣政策有效性分析：1998-2009[D];西南財(cái)經(jīng)大學(xué);2010年

，

本文編號：1426520