本文關(guān)鍵詞： 泰勒規(guī)則 股市泡沫 動態(tài)剩余收益估值模型 協(xié)整檢驗　出處：《東北財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：二十世紀八十年代以來,無論發(fā)達國家、還是新興的發(fā)展中國家均出現(xiàn)了股票、房地產(chǎn)等資產(chǎn)價格泡沫,股市泡沫的膨脹和破裂并不會造成財富的增加和減少,但這個過程會導致對實體經(jīng)濟投資減少、銀行資金鏈斷裂、貧富差距擴大等等問題。中國股票市場從1990年誕生以來,由小到大,由弱到強,其對國民經(jīng)濟的影響力與日俱增。然而自其誕生之日起,股市已經(jīng)歷數(shù)輪的暴漲暴跌,而且隨著股市的不斷發(fā)展,股市泡沫對我國的金融安全和金融發(fā)展的潛在威脅也越來越大。 中國傳統(tǒng)的貨幣政策傳導機制是基于中央銀行控制、以商業(yè)銀行為主體的金融體系,資金供求和銀行信貸成本是貨幣政策實現(xiàn)的主要渠道。然而隨著包括股市在內(nèi)的資本市場快速發(fā)展壯大,它們已經(jīng)構(gòu)成了對貨幣政策執(zhí)行效果的重大沖擊。泰勒規(guī)則因其能夠準確而簡潔地反映了西方國家近年來的貨幣政策實踐,已成為美聯(lián)儲、英格蘭銀行等西方國家中央銀行制定和執(zhí)行貨幣政策的重要依據(jù)。目前,我國是以貨幣供應量作為貨幣政策的調(diào)控目標,但我國已經(jīng)對金融體系進行了持續(xù)改革,利率市場化不斷推進,因此本文借鑒泰勒規(guī)則來探索貨幣政策應對股市泡沫變動的反應。 本文對泰勒規(guī)則進行修正和擴展,引入預期因素并加入股市泡沫因素,構(gòu)建包含股市泡沫的貨幣政策反應機制。運用動態(tài)剩余收益估值模型測度出中國股市的實際泡沫度進行實證分析,結(jié)果表明無論是基于泰勒規(guī)則、前瞻性泰勒規(guī)則還是貨幣政策反應函數(shù),中央銀行近年的貨幣政策實踐均未考慮股市泡沫因素,因而建議央行將股市泡沫納入考慮范圍。論文的主要內(nèi)容如下： 第一章,引言。介紹本文的研究背景、選題意義,闡述了本文涉及的股市泡沫、貨幣政策等概念,并給出具體的結(jié)構(gòu)安排。 第二章,文獻綜述。從貨幣政策是否應該對股市泡沫作出反應、貨幣政策是否曾對股市泡沫作出反應、股票價格對實體經(jīng)濟的影響三個方面對國內(nèi)外現(xiàn)有的研究成果進行了全面的梳理,總結(jié)以往研究的方法、特點及規(guī)律,揭示其中的不足。 第三章,泰勒規(guī)則理論、修正與擴展。本部分首先介紹了貨幣政策規(guī)則理論的發(fā)展歷史,引出了泰勒規(guī)則；然后對泰勒規(guī)則理論進行了詳細介紹,綜述了泰勒規(guī)則的修正與擴展及國內(nèi)外學者相關(guān)研究成果；然后引入前瞻性構(gòu)建了前瞻性泰勒規(guī)則,在此基礎上又引入利率平滑構(gòu)建了貨幣政策反應函數(shù)；最后泰勒規(guī)則和貨幣政策反應函數(shù)中加入股市泡沫因素進行擴展。 第四章,股市泡沫理論與測度。本部分系統(tǒng)的介紹總結(jié)了股市泡沫理論與模型、股市泡沫判斷與測度方法,重點對動態(tài)剩余收益估值模型進行了研究,得到了計算股市泡沫的方法。然后基于中國股市的相關(guān)數(shù)據(jù),計算得到了2002年到2011年10年間中國股市的季度泡沫度�；谂菽葘⒐墒信菽瓌澐譃樗劳鲐撆菽盒载撆菽�、良性負泡沫、良性正泡沫、惡性正泡沫和死亡正泡沫,并將中國股市各階段的泡沫按照上述劃分進行歸類。 第五章,股市泡沫變化對中國貨幣政策影響的實證分析。此部分為本文的主要實證部分,首先對實證分析所需要的變量進行了確定和數(shù)據(jù)處理。并對得到的數(shù)據(jù)和第四章得到的中國股市的季度泡沫度數(shù)據(jù)進行時間序列平穩(wěn)性檢驗,判斷其是否能進行協(xié)整檢驗。進行格蘭杰因果檢驗,來探究將股市泡沫加入泰勒規(guī)則是否合理。然后基于第三章得到的擴展的泰勒規(guī)則和前瞻性泰勒規(guī)則進行了協(xié)整檢驗,基于擴展的貨幣政策反應函數(shù)進行廣義矩估計,以揭示股市泡沫、通貨膨脹缺口、產(chǎn)出缺口對利率存在的影響。 第六章,結(jié)論與政策建議。對本文內(nèi)容做總結(jié),得出了我國股市尚不成熟股市泡沫與股價呈明顯正相關(guān)、我國利率對通貨膨脹缺口和產(chǎn)出缺口反應不足和央行近年的貨幣政策實踐未考慮股市泡沫因素的結(jié)論。并給出了加強股票市場建設以減少股市泡沫、推進利率市場化、貨幣政策應響應股市泡沫等三條針對性政策建議。 本文的創(chuàng)新之處在于,與以往文獻多使用市盈率、股票價格指數(shù)等間接指標反映股市泡沫不同,本文使用動態(tài)剩余收益估值模型測度中國股市的實際泡沫,將股市的實際泡沫度引入泰勒規(guī)則,考察將股市實際泡沫作為內(nèi)生影響因素的貨幣政策反應機制。這樣更能直接地反映股市泡沫程度,更能準確反應出股市泡沫對貨幣政策的影響。
[Abstract]:Since 1980s, either in developed countries or developing countries, there are stocks, real estate asset price bubbles, increase and decrease of the stock market bubble expansion and rupture and will not cause wealth, but this process will lead to a reduction of investment in the real economy, the bank capital chain rupture, problems of the widening gap between rich and poor and so on. China from stock market since its birth in 1990, from small to big, from weak to strong, grow with each passing day and its influence on the national economy. However, since the date of birth, the stock market has been listing round of soaring prices, but with the continuous development of the stock market, the stock market bubble to a potential threat to China's financial security and financial development is more and more big.
The transmission mechanism of monetary policy Chinese is the traditional central bank control based on commercial banks as the main body of the financial system, the supply and demand of funds and the cost of bank credit is the main channel of monetary policy implementation. However, with the capital market including stock market developed rapidly, it constitutes a significant impact on the implementation effect of monetary policy rules for Taylor. It can accurately and succinctly reflects the monetary policy practice in western countries, has become the Federal Reserve, the central bank the Bank of England and other western countries and make an important basis for the implementation of the monetary policy. At present, our country is in the money supply as the target of monetary policy, but China has continued to carry out the financial system reform, continue to promote the interest rate market, so this paper use Taylor rule to explore the changes of monetary policy to the stock market bubble.
The Taylor rule was revised and expanded, introducing expectation and stock market bubble, construct the reaction mechanism of monetary policy including stock market bubble. Using the dynamic residual income valuation model to measure out the empirical analysis of the stock market bubble of the actual China, results show that whether it is based on the Taylor rule, Taylor rule or the forward-looking monetary policy reaction function. The practice of monetary policy in recent years, the central bank did not consider the stock market bubble, which suggested that the central bank will be the stock market bubble into account. The main contents of this paper are as follows:
The first chapter, introduction, introduces the background of the study, the significance of the topic, expounds the concept of the stock market bubble, monetary policy and so on, and gives specific structural arrangements.
The second chapter, literature review. From the monetary policy should respond to the stock market bubble, whether monetary policy has to respond to the stock market bubble, summarized the impact of stock prices on the real economy of the three aspects of the existing research results at home and abroad, summarizes the previous research methods, characteristics and laws, reveals the deficiencies.
The third chapter, Taylor's theory of rules, modification and extension. This part first introduces the development history of the theory of monetary policy rules, leads to the Taylor rule; then a detailed introduction of the theory of Taylor rule, modified Taylor rule summarizes the achievements related to extension and research scholars at home and abroad; then introduced to construct a forward-looking Taylor rule prospective, on the basis of introducing interest rate smoothing constructs the monetary policy reaction function; stock market bubble finally joined the Taylor rule and the monetary policy reaction function is extended.
The fourth chapter, the stock market bubble theory and measurement. This part systematically sum up the theory and model of stock market bubble, the stock market bubble judgment and measure method, focusing on the dynamic residual income valuation model, the calculation method of the stock market bubble. Then based on the related data Chinese shares, calculated from 2002 to 2011 10 from Chinese stock market bubble degree. The foam of the stock market bubble is divided into death based on negative bubble, malignant negative bubble, benign negative bubble, bubble is benign, malignant and death is positive bubble bubble, and the stage Chinese stock market bubble is classified into these types.
The fifth chapter, empirical analysis of the effect of monetary policy changes on the stock market bubble Chinese. This part is the empirical part of this article, firstly, the empirical analysis was carried out to determine the required variables and data processing. And the data, and the fourth chapter of the China stock market bubble degree data time series stationarity test, judgment whether it can carry on the cointegration test. Grainger causality test, to explore the stock market bubble will join the Taylor rule is reasonable. And then extended the third chapter get the Taylor rule and forward-looking Taylor rule based on the cointegration test, expansion of the monetary policy reaction function based on GMM estimation, in order to reveal the stock market bubble, inflation gap effect of the output gap, interest rate exists.
The sixth chapter, conclusions and policy recommendations. This paper concludes the content, that there was a significant positive correlation of China's stock market is not mature stock market bubble and the stock price, the interest rate of our country on the practice of the monetary policy inflation gap and output gap under reaction and the central bank does not consider the stock market bubble in recent years. The conclusion is given to strengthen the construction of the stock market in order to reduce the stock market bubble, promoting the marketization of interest rates, monetary policy should respond to the stock market bubble in three specific policy recommendations.
鏈枃鐨勫垱鏂頒箣澶勫湪浜，

本文編號：1494635