本文選題：貨幣供應(yīng)量　切入點(diǎn)：中國(guó)股票價(jià)格　出處：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：近年來(lái),中國(guó)股票市場(chǎng)的發(fā)展速度越來(lái)越快,在金融市場(chǎng)的影響力也越來(lái)越大。1995年股權(quán)分置改革實(shí)施以來(lái)股票市場(chǎng)的完善程度也在提高,但我國(guó)經(jīng)濟(jì)發(fā)展的實(shí)際情況與國(guó)外發(fā)達(dá)國(guó)家仍然存在差距。一個(gè)完善的股票市場(chǎng),不僅可以帶動(dòng)經(jīng)濟(jì)的發(fā)展,使充分就業(yè)下的國(guó)民收入得以實(shí)現(xiàn),而且可以提高一個(gè)國(guó)家在國(guó)際上的影響力,增強(qiáng)國(guó)家的話語(yǔ)權(quán)。這些優(yōu)點(diǎn)足以讓我們加大研究影響股票市場(chǎng)因素的力度。 我國(guó)調(diào)控經(jīng)濟(jì)的手段可以通過(guò)財(cái)政政策和貨幣政策,其中貨幣政策是主要的調(diào)控手段。在貨幣政策實(shí)施過(guò)程中,容易調(diào)節(jié)和控制的就是貨幣供應(yīng)量這一指標(biāo),因此,國(guó)內(nèi)外就貨幣供應(yīng)量對(duì)股票價(jià)格影響的研究引起了高度重視。學(xué)者們通過(guò)各種傳導(dǎo)途徑研究分析影響股票市場(chǎng)的機(jī)制,主要有利率傳導(dǎo)、投資組合效應(yīng)、心理預(yù)期等途徑。綜合運(yùn)用貨幣市場(chǎng)和股票市場(chǎng)的宏觀調(diào)控作用,對(duì)經(jīng)濟(jì)的發(fā)展有著重要的影響。 研究貨幣供應(yīng)量對(duì)股票價(jià)格的影響對(duì)經(jīng)濟(jì)的發(fā)展有著重要的意義。在國(guó)外發(fā)達(dá)國(guó)家,股票市場(chǎng)是作為反映經(jīng)濟(jì)的晴雨表而發(fā)揮作用的,但我國(guó)市場(chǎng)經(jīng)濟(jì)仍然存在很多問(wèn)題,不能使股票市場(chǎng)充分的發(fā)揮其自身的調(diào)控作用,研究貨幣供應(yīng)量對(duì)股票價(jià)格的影響可以更好的了解二者之間的傳導(dǎo)機(jī)制,并調(diào)控經(jīng)濟(jì)以達(dá)到國(guó)家發(fā)展的目標(biāo)。一般來(lái)說(shuō),央行改變貨幣政策使貨幣供應(yīng)量發(fā)生變化,股票市場(chǎng)也會(huì)發(fā)生相應(yīng)變動(dòng),股票市場(chǎng)的波動(dòng)將會(huì)影響投資,進(jìn)而引起經(jīng)濟(jì)的其他波動(dòng)。所以在這樣一個(gè)相互關(guān)聯(lián)的鏈條中,研究貨幣供應(yīng)量在何種程度上影響股票市場(chǎng)是十分必要的。本文正是期望通過(guò)解決貨幣供應(yīng)量對(duì)股票價(jià)格的影響這一問(wèn)題,可以為國(guó)家提出相關(guān)貨幣政策、促進(jìn)經(jīng)濟(jì)發(fā)展提供有用的參考建議。 本文首先敘述了股票價(jià)格影響的理論基礎(chǔ)。討論貨幣供應(yīng)量與股票價(jià)格的相互關(guān)系。在對(duì)貨幣供應(yīng)量與股票市場(chǎng)進(jìn)行了定性分析之后,本文將上證指數(shù)、貨幣供應(yīng)量、工業(yè)增加值、利率、通貨膨脹率等指標(biāo)結(jié)合,利用SVAR模型對(duì)變量之間的相互作用進(jìn)行實(shí)證分析,著重對(duì)脈沖響應(yīng)的結(jié)果進(jìn)行討論。根據(jù)本文收集的較為全面的、具有時(shí)效意義的數(shù)據(jù),對(duì)貨幣供應(yīng)量進(jìn)行描述性統(tǒng)計(jì)分析,然后建立計(jì)量經(jīng)濟(jì)模型,從貨幣供應(yīng)量對(duì)中國(guó)股票價(jià)格影響的角度進(jìn)行研究,將上證指數(shù),貨幣供應(yīng)量,利率,工業(yè)增加值,通貨膨脹率作為經(jīng)濟(jì)變量納入SVAR模型,研究貨幣供應(yīng)量與股票價(jià)格長(zhǎng)期的互動(dòng)關(guān)系和相互的影響作用。實(shí)證研究表明當(dāng)本期給貨幣供應(yīng)量M2一個(gè)正的沖擊后,即增加廣義貨幣供給量以后,上證指數(shù)開(kāi)始上升,在達(dá)到最高點(diǎn)之后下降,最后趨于平穩(wěn)狀態(tài)。表明了股票價(jià)格在受到廣義貨幣供給量增加的沖擊后,經(jīng)過(guò)一系列的傳導(dǎo)機(jī)制傳遞給股票市場(chǎng),給股票市場(chǎng)帶來(lái)波動(dòng),股票價(jià)格發(fā)生變動(dòng),而后這一沖擊又逐漸減弱并趨于平穩(wěn)。在總結(jié)出上述結(jié)論之后提出可供參考的政策建議。 本文的創(chuàng)新點(diǎn)在于采用時(shí)效性更強(qiáng)的數(shù)據(jù),將上證指數(shù),貨幣供應(yīng)量,工業(yè)增加值,通貨膨脹率,利率等指標(biāo)均納入模型,并且對(duì)數(shù)據(jù)采取對(duì)數(shù)處理,使數(shù)據(jù)的適應(yīng)性更強(qiáng)。在模型的選取方面,本文將要納入模型的變量不僅有外生變量,也有內(nèi)生變量；不僅考慮一個(gè)當(dāng)期內(nèi)生變量對(duì)其他內(nèi)生變量滯后值的影響,也考慮了當(dāng)期內(nèi)生變量之間的影響。本文正是在這樣的背景下,采用了更適合的SVAR模型。 本文的局限性主要在于對(duì)問(wèn)題進(jìn)行的是靜態(tài)分析,沒(méi)有考慮到納入模型的各個(gè)變量對(duì)股票價(jià)格的影響順序。實(shí)際上,在貨幣供應(yīng)量對(duì)中國(guó)股票價(jià)格的影響過(guò)程中,各個(gè)變量起的作用是有先后的,但本文沒(méi)有進(jìn)行動(dòng)態(tài)分析,而是將所有變量一同納入模型分析。
[Abstract]:In recent years, China stock market develops faster and faster, in the financial markets increasingly influential.1995 share reform since the implementation of the degree of perfection of the stock market is also increasing, but the economic development of our country's actual situation with foreign developed countries there is still a gap. A perfect stock market, not only can drive the development of economy, the full employment of the national income can be achieved, but also can improve a country's influence in the international arena, enhance the right to speak of the state. These advantages enable us to increase the effect of stock market factors, efforts.
China's regulation of the economy by means of fiscal policy and monetary policy, the monetary policy is the primary means of regulation. In the implementation of monetary policy in the process, easy to adjust and control the money supply index is, therefore, domestic money supply of the stock price influence mechanism and attracted great attention. Scholars have analyzed the impact of the stock market through the study of various pathways, the main interest rate, portfolio effect, psychological expectations and other ways. The macro-control role of comprehensive use of the monetary market and the stock market, has an important influence on the development of the economy.
There is important to study on the influence of money supply to the stock price on the economic development. In developed countries, the stock market is a barometer of the economy as reflected and play the role of the market economy in our country, but there are still many problems, the stock market can not make full play the role of its own, impact on money supply the amount of stock price can better understand the transmission mechanism between the two, and the regulation of the economy to achieve national development goals. In general, the central bank monetary policy changes to the money supply change, the stock market will change accordingly, the fluctuation will affect the investment in the stock market, and cause other economic fluctuation. So in such a correlative study of money supply chain, the impact of the stock market to what extent is very necessary. This article is expected through the solution The issue of the influence of money supply on stock price can provide useful reference for the country to put forward relevant monetary policy and promote economic development.
This paper first describes the theoretical basis of the influence of stock price. Discuss the relationship between money supply and stock price. After the money supply and stock market were analyzed in this paper, the Shanghai index, money supply, industrial added value, interest rate, inflation rate and other indicators combined, the empirical analysis of interaction variables between using the SVAR model, focusing on the impulse response results were discussed. According to the collection of more comprehensive, with aging meaningful data, descriptive statistical analysis of the money supply, and then establish the econometric model, conducts the research from the influence of money supply on Chinese stock price perspective, the index of Shanghai Stock Exchange, money supply the amount, interest rate, industrial added value, the rate of inflation as economic variables into the SVAR model, the study of money supply and stock prices and long-term relationship Effect of each other. The empirical research shows that when the money supply M2 to a positive impact, after which increase the broad money supply, the Shanghai index began to rise, decline after reaching the highest point, finally tends to a steady state. That stock price under generalized money supply increased after impact after passing a series of transmission mechanism for the stock market to the stock market volatility, stock price changes, and the impact was gradually weakened and stabilized. After summarize the above conclusions and puts forward some policy suggestions.
The innovation of this paper lies in the timeliness of data will be stronger, the Shanghai index, money supply, industrial added value, inflation rate, interest rate and other indicators were included in the model, and the data processing using the logarithmic data, and adaptable. In the selection of the model, this paper will be included in the model variables not only exogenous variables also, there are endogenous variables; not only consider a current endogenous variables impact on other endogenous variables lagged value, considering the current effects of endogenous variables. This article is in this context, the SVAR model is more suitable.
The main limitation of this paper is on the problem of the static analysis, without considering the influence order of each variable into the model of stock price. In fact, in the money supply process of Chinese stock prices, the role of each variable is successively, but this is not dynamic, but all variable into the model.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F822.0;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 段進(jìn);曾令華;朱靜平;;我國(guó)股市與貨幣需求的相互影響分析及政策涵義[J];財(cái)經(jīng)理論與實(shí)踐;2006年01期

2 金滋;;貨幣供應(yīng)量對(duì)股票價(jià)格傳導(dǎo)機(jī)制分析[J];消費(fèi)導(dǎo)刊;2009年14期

3 童紅堅(jiān);;我國(guó)貨幣政策調(diào)控對(duì)股票價(jià)格影響的實(shí)證研究[J];海南金融;2008年08期

4 潘明霞;周莉凡;;我國(guó)貨幣政策對(duì)股市的調(diào)控能力[J];西南金融;2006年07期

5 潘輝;;FDI對(duì)我國(guó)出口總量與結(jié)構(gòu)影響的實(shí)證分析[J];世界貿(mào)易組織動(dòng)態(tài)與研究;2010年05期

6 李勝利;證券市場(chǎng)價(jià)格與貨幣供應(yīng)量關(guān)系實(shí)證研究[J];證券市場(chǎng)導(dǎo)報(bào);2003年03期

，

本文編號(hào)：1592818