本文關(guān)鍵詞： 同業(yè)拆借利率 存貸款利率 銀行股價　出處：《安徽財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：面對2008年以來國內(nèi)經(jīng)濟高增長中出現(xiàn)的通貨膨脹、房價持續(xù)上漲、資本收益下降等復雜的經(jīng)濟形勢,我國央行在三年內(nèi)對包括存貸款利率在內(nèi)的多種利率頻繁進行調(diào)整,其中對一年期存貸款利率的調(diào)整高達十次。同時隨著我國利率市場化水平的不斷提高,我國貨幣市場在金融市場中的作用也越來越大,貨幣市場利率對股市的影響也越來越明顯。 利率調(diào)整①對股價波動的影響一直是國內(nèi)外學者研究的熱點,然而利率調(diào)整對銀行股價波動影響的研究較少。商業(yè)銀行作為主要從事存貸款業(yè)務、在金融市場中發(fā)揮金融樞紐職能的金融中介機構(gòu),其股價波動和自身經(jīng)營對利率的調(diào)整都非常敏感。銀行股價的穩(wěn)定關(guān)系到商業(yè)銀行的持續(xù)融資以及整個資本市場的穩(wěn)定,商業(yè)銀行經(jīng)營的穩(wěn)定更是關(guān)系到整個經(jīng)濟的正常運行,所以利率政策的調(diào)整不僅需要考慮經(jīng)濟的運行狀況,還需要考慮銀行股價的波動和商業(yè)銀行正常的經(jīng)營。基于此意義,本文結(jié)合利率調(diào)整對股價波動影響的相關(guān)理論,運用計量分析法、事件分析法等方法來分析利率調(diào)整對銀行股價波動的影響。 本文首先從理論上分析了利率與股價間的關(guān)系,以及利率調(diào)整對股價產(chǎn)生的影響；其次,通過用單位根檢驗、協(xié)整檢驗以及葛蘭杰因果檢驗等計量分析法實證研究了市場利率與銀行股價間的關(guān)系,驗證了兩者的長期負相關(guān)關(guān)系,并得出市場利率是銀行股價的單向葛蘭杰原因的結(jié)論；再次,通過事件分析法和對比分析法研究了管制利率的調(diào)整對銀行股價的影響,驗證了銀行股價受到利率調(diào)整的影響要比市場總體水平更為敏感,并得出在短期內(nèi)管制利率的調(diào)整對股價的影響作用不顯著的結(jié)論；最后結(jié)合我國實際情況對實證結(jié)論進行分析,并對管理當局和投資者分別給出了相應的政策建議。
[Abstract]:In the face of the complicated economic situation, such as inflation in the high growth of domestic economy since 2008, the continuous rise in house prices and the decline in capital gains, the central bank has frequently adjusted various interest rates, including deposit and loan rates, in the past three years. Among them, the adjustment of one-year deposit and loan rates is as high as 10 times. At the same time, with the continuous improvement of the level of marketization of interest rates in China, the role of our money market in the financial market is becoming more and more important. The impact of money market interest rates on the stock market is also becoming more and more obvious. The influence of interest rate adjustment on stock price fluctuation has been a hot topic of domestic and foreign scholars. However, the impact of interest rate adjustment on stock price fluctuation of banks is less. Commercial banks are mainly engaged in deposit and loan business. Financial intermediaries that play the role of financial hub in the financial market are very sensitive to the adjustment of interest rate. The stability of bank stock price is related to the continuous financing of commercial banks and the stability of the capital market as a whole. The stability of the operation of commercial banks is also related to the normal operation of the whole economy. Therefore, the adjustment of interest rate policy needs not only to consider the operation of the economy, but also to consider the fluctuation of bank stock prices and the normal operation of commercial banks. Based on the theory of the influence of interest rate adjustment on stock price volatility, this paper analyzes the effect of interest rate adjustment on bank stock price volatility by means of econometric analysis and event analysis. In this paper, the relationship between interest rate and stock price is analyzed theoretically, and the influence of interest rate adjustment on stock price is analyzed. The co-integration test and Granger causality test empirically study the relationship between market interest rate and bank stock price, verify the long-term negative correlation between them, and draw the conclusion that market interest rate is the one-way Granger cause of bank stock price. Thirdly, by means of event analysis and contrast analysis, this paper studies the effect of regulating interest rate adjustment on bank stock price, and verifies that bank stock price is more sensitive to the influence of interest rate adjustment than the overall market level. The conclusion that the adjustment of regulated interest rate has no significant effect on stock price in the short term is concluded. Finally, the empirical conclusions are analyzed in combination with the actual situation in China, and the corresponding policy recommendations are given to the management authorities and investors respectively.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.33;F832.51;F224

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