本文關(guān)鍵詞： 貨幣政策 資產(chǎn)價(jià)格 SVAR模型　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

【摘要】：隨著金融結(jié)構(gòu)與金融體系的日趨完善,資本市場規(guī)模也正逐漸擴(kuò)大,在以股票與房地產(chǎn)為代表的資本資產(chǎn)對金融體系的影響也就逐漸加深。世界金融危機(jī)的幾次爆發(fā)啟示我們,資產(chǎn)價(jià)格的異常波動(dòng)與資產(chǎn)價(jià)格泡沫的急劇膨脹對整個(gè)金融體系造成了嚴(yán)重的打擊,對實(shí)體經(jīng)濟(jì)的穩(wěn)定發(fā)展產(chǎn)生深遠(yuǎn)的影響。 目前,我國的宏觀經(jīng)濟(jì)態(tài)勢已是比較嚴(yán)峻,股票價(jià)格指數(shù)大幅波動(dòng),房地產(chǎn)市場非理性繁榮,房價(jià)指數(shù)持續(xù)上漲,對我國穩(wěn)定市場經(jīng)濟(jì)的政策制定提出了挑戰(zhàn)。因此對資產(chǎn)價(jià)格與貨幣政策之間是否存在相互作用關(guān)系,央行制定貨幣政策來穩(wěn)定我國金融體系與經(jīng)濟(jì)的平穩(wěn)發(fā)展時(shí)是否要考慮資本市場的波動(dòng),將成為本文探討的重點(diǎn)。 本文通過理論與實(shí)證兩個(gè)方面來分析我國的資產(chǎn)價(jià)格與貨幣政策的相互關(guān)系。在理論分析中,從利率、貨幣供應(yīng)量、銀行信貸等多方面具體探討貨幣政策與股票、房地產(chǎn)的理論關(guān)系。在實(shí)證分析中,首先通過協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)對構(gòu)建模型的各變量之間的均衡關(guān)系作初步檢驗(yàn),再應(yīng)用結(jié)構(gòu)向量自回歸(SVAR),分別對股票、房地產(chǎn)與貨幣政策的相關(guān)性構(gòu)建模型進(jìn)行研究,最后,結(jié)合脈沖響應(yīng)函數(shù)、方差分解更加具體直觀的探究股票、房地產(chǎn)與利率、貨幣供應(yīng)量之間的相互沖擊反應(yīng)與相互貢獻(xiàn)程度。 通過理論分析與實(shí)證分析,本文得出以下的結(jié)論：第一,我國資產(chǎn)價(jià)格與貨幣政策(利率與貨幣供應(yīng)量)、宏觀經(jīng)濟(jì)變量(消費(fèi)、物價(jià)與總產(chǎn)出)存在協(xié)整關(guān)系,說明各變量相互影響。第二,貨幣政策對我國資產(chǎn)價(jià)格的調(diào)控效果不十分明顯,但貨幣政策對房價(jià)的調(diào)控相對股價(jià)更具有穩(wěn)定與持久性。第三,我國貨幣政策對資產(chǎn)價(jià)格的波動(dòng)做出了一定反應(yīng)。由脈沖響應(yīng)與方差分解的結(jié)果來看,資產(chǎn)價(jià)格對貨幣政策影響僅次于物價(jià)對貨幣政策的貢獻(xiàn)度,資產(chǎn)價(jià)格對貨幣政策的制定雖起著間接性作用,但已受到關(guān)注。第四,資產(chǎn)價(jià)格對我國消費(fèi)與總產(chǎn)出有比較明顯的沖擊作用,且資產(chǎn)價(jià)格是影響物價(jià)的主要原因。因此中央銀行可以擴(kuò)寬政策的調(diào)控寬度,改善貨幣政策操作的均衡性,將資產(chǎn)價(jià)格納入到貨幣政策操作框架之中,來穩(wěn)定資產(chǎn)價(jià)格進(jìn)而使宏觀經(jīng)濟(jì)得以平穩(wěn)發(fā)展。
[Abstract]:With the improvement of financial structure and financial system, the scale of capital market is gradually expanding. In the stock and real estate as the representative of the impact of capital assets on the financial system will gradually deepen. The outbreak of the world financial crisis has inspired us. The abnormal fluctuations of asset prices and the sharp expansion of asset price bubbles have caused a serious blow to the entire financial system and have a far-reaching impact on the stable development of the real economy. At present, China's macroeconomic situation has been relatively severe, the stock price index fluctuated substantially, the real estate market is irrational prosperity, the housing price index continues to rise. It challenges the policy making to stabilize the market economy in China. Therefore, there is an interactive relationship between asset price and monetary policy. Whether the central bank should consider the fluctuation of capital market when making monetary policy to stabilize the steady development of our financial system and economy will become the focus of this paper. This paper analyzes the relationship between asset price and monetary policy in China through both theoretical and empirical aspects. In the theoretical analysis, from the interest rate, money supply. Bank credit and other aspects of the specific discussion of monetary policy and stock, real estate theoretical relationship. In the empirical analysis, the first pass cointegration test. The Granger causality test is used to test the equilibrium relationship among the variables of the model, and then the structural vector autoregressive method is applied to the stock. Finally, combining impulse response function, variance decomposition is more specific and intuitive to explore the stock, real estate and interest rates. The degree of mutual impact reaction and mutual contribution between money supply. Through theoretical analysis and empirical analysis, this paper draws the following conclusions: first, China's asset prices and monetary policy (interest rate and money supply), macroeconomic variables (consumption). There is a cointegration relationship between price and total output, which shows that the variables affect each other. Secondly, the effect of monetary policy on asset prices in China is not very obvious. But the regulation of monetary policy is more stable and persistent than the stock price. Thirdly, China's monetary policy has made a certain response to the fluctuation of asset prices. From the results of impulse response and variance decomposition. The influence of asset price on monetary policy is second only to the contribution of price to monetary policy. Although asset price plays an indirect role in the formulation of monetary policy, it has been paid close attention to. 4th. Asset price has obvious impact on consumption and total output of our country, and asset price is the main reason of influencing price. So the central bank can widen the control width of policy. By improving the balance of monetary policy operation and bringing asset price into the framework of monetary policy operation, we can stabilize the asset price and make the macro-economy develop smoothly.
【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(hào)】：F224;F832.51;F822.0;F293.3

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本文編號(hào)：1493035