本文關(guān)鍵詞： 貨幣政策 股票價(jià)格 政策建議　出處：《山東大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本文通過觀察2008年金融危機(jī)前后國內(nèi)宏觀經(jīng)濟(jì)、股票市場與貨幣政策操作對(duì)比關(guān)系,進(jìn)而從理論上分析貨幣政策操作對(duì)股票市場價(jià)格的影響,并實(shí)證檢驗(yàn)三大貨幣政策工具(調(diào)整存款準(zhǔn)備金率、公開市場業(yè)務(wù)操作和調(diào)整存貸款基準(zhǔn)利率)對(duì)股票市場價(jià)格作用。通過理論分析及實(shí)證檢驗(yàn)得出部分結(jié)論,并對(duì)理論分析結(jié)果與實(shí)證檢驗(yàn)結(jié)果差異提出解釋,得出部分政策建議。方法選擇上,本文包括實(shí)體經(jīng)濟(jì)分析、作用機(jī)理分析和計(jì)量實(shí)證分析。 首先,實(shí)體經(jīng)濟(jì)觀察部分回顧了金融危機(jī)前后宏觀經(jīng)濟(jì)波動(dòng)情況、相應(yīng)的貨幣政策操作歷程以及股票市場價(jià)格波動(dòng)。理論分析部分首先考察了影響股票價(jià)格指數(shù)的主要因素,進(jìn)而通過分析貨幣政策三大工具對(duì)股價(jià)影響因素的作用,進(jìn)而得出分析結(jié)論。實(shí)證檢驗(yàn)部分通過單位根檢驗(yàn)、協(xié)整檢驗(yàn)、格朗杰因果檢驗(yàn)、脈沖響應(yīng)等計(jì)量方法研究貨幣政策三大工具對(duì)股票市場價(jià)格的影響。最后,結(jié)合理論分析與實(shí)證分析提出以下結(jié)論：貨幣政策三種主要工具皆與股票市場價(jià)格存在穩(wěn)定的長期均衡關(guān)系,且為負(fù)相關(guān)關(guān)系,其中利率對(duì)股票價(jià)格的影響強(qiáng)度最大；三種政策工具對(duì)股票市場價(jià)格影響的因果關(guān)系不明顯；另外,三種貨幣政策工具短期對(duì)股票價(jià)格指數(shù)的影響不明顯,可能由于制約因素及貨幣政策時(shí)滯而導(dǎo)致。通過理論分析和實(shí)證分析結(jié)果差異得出,政策上應(yīng)該著重加強(qiáng)股票市場的完善與規(guī)范,提高股票市場的有效性；加強(qiáng)貨幣政策和股票市場的聯(lián)通性；另外還有盡快放開利率管制等。 由于能力限制及其他因素,本文對(duì)于公開市場操作變量的選擇可能存在缺陷；另外本文時(shí)間跨度包括了6年數(shù)據(jù),可能存在研究期限長度的影響導(dǎo)致的結(jié)果偏差；并且本文未加入預(yù)期因素的影響,同時(shí)未考慮政策瞬時(shí)沖擊對(duì)股票市場價(jià)格的影響。以上這些都是可能的改進(jìn)之處。
[Abstract]:By observing the comparative relationship between domestic macro economy, stock market and monetary policy operation before and after the financial crisis in 2008, this paper theoretically analyzes the influence of monetary policy operation on stock market price. The paper also empirically tests the effect of three monetary policy instruments (adjusting reserve ratio, open market operation and benchmark interest rate on deposit and loan) on the stock market price, and draws some conclusions by theoretical analysis and empirical test. The differences between the theoretical analysis results and the empirical test results are explained and some policy recommendations are obtained. In the selection of methods, this paper includes real economy analysis, action mechanism analysis and econometric empirical analysis. First of all, the real economy observation part reviews the macroeconomic fluctuation situation before and after the financial crisis, the corresponding monetary policy operation history and the stock market price fluctuation. Then, by analyzing the effect of the three tools of monetary policy on the stock price, the conclusion is drawn. The empirical test part passes the unit root test, cointegration test, Granger causality test. Impulse response and other measurement methods are used to study the impact of monetary policy on stock market price. Finally, Combined with theoretical analysis and empirical analysis, the following conclusions are put forward: the three main instruments of monetary policy have a stable long-term equilibrium relationship with stock market price, and are negatively correlated, among which interest rate has the greatest influence on stock price; The causality of the three policy instruments on the stock market price is not obvious; in addition, the short-term impact of the three monetary policy instruments on the stock price index is not obvious. Through theoretical analysis and empirical analysis, it is concluded that the policy should focus on the improvement and standardization of the stock market to improve the effectiveness of the stock market; Strengthen monetary policy and stock market connectivity; in addition, as soon as possible to liberalize interest rate control and so on. Due to the limitation of ability and other factors, the selection of open market operating variables may be defective in this paper, in addition, the time span of this paper includes six years' data, which may result in the deviation of results caused by the influence of the length of the study period. Moreover, this paper does not take into account the influence of the expected factors and the impact of the policy instantaneous shock on the stock market price. These are the possible improvements.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F821.0;F831.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 黃瀟雨;貨幣政策對(duì)中國股票價(jià)格波動(dòng)影響研究[D];吉林大學(xué);2014年

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本文編號(hào)：1536272