【摘要】：中國為應對金融危機采取了一系列刺激經(jīng)濟復蘇的政策，但國內(nèi)通貨膨脹率居高不下，存款價值及貨幣實際購買力顯著下降，股票市場也進入了前所未有的低迷期。眾多學者開始深入研究中國的股票價格、通貨膨脹和貨幣政策之間的關(guān)系。 本文先對股票價格與通貨膨脹和貨幣政策的關(guān)系進行了理論分析，發(fā)現(xiàn)隨著經(jīng)濟的發(fā)展，三者之間確實是存在相關(guān)關(guān)系的。 然后選取1992年1月至2011年7月的數(shù)據(jù)，引入了一個新的估計值--定比化值，得到時間序列數(shù)據(jù)的動態(tài)協(xié)整趨勢圖。再以2005年5月的股權(quán)分置改革為界限，將整個樣本區(qū)間分成前后兩個時間跨度相同的時間段進行動態(tài)的協(xié)整檢驗。研究發(fā)現(xiàn)：在長期股票價格與通貨膨脹之間存在協(xié)整關(guān)系；在短期這種協(xié)整的關(guān)系具有時間段獨立性。股票價格與貨幣政策不存在長期的協(xié)整關(guān)系，，但在2005年股權(quán)分置改革與2008年5月期間存在穩(wěn)定的協(xié)整關(guān)系。股權(quán)分置改革之前，股票價格與貨幣政策之間不存在協(xié)整關(guān)系，股權(quán)分置改革之后，兩者之間的協(xié)整關(guān)系不斷加強。 再利用相同的樣本區(qū)間，檢驗股票市場對通貨膨脹是否有規(guī)避作用。發(fā)現(xiàn)從長期來看，股票市場對通貨膨脹有較弱的規(guī)避作用，在股權(quán)分置改革期間這種規(guī)避作用是明顯的。 最后，根據(jù)實證檢驗結(jié)果，提出若干政策建議。
[Abstract]:China has adopted a series of policies to stimulate economic recovery in response to the financial crisis, but the domestic inflation rate remains high, the value of deposits and the real purchasing power of money have fallen significantly, and the stock market has entered an unprecedented downturn. Many scholars began to study the relationship between stock price, inflation and monetary policy in China. In this paper, the relationship between stock price, inflation and monetary policy is theoretically analyzed, and it is found that with the development of economy, there is a real correlation between the three. Then, the data from January 1992 to July 2011 are selected, and a new estimate-definite comparison value is introduced, and the dynamic cointegration trend chart of time series data is obtained. Based on the split share structure reform in May 2005, the whole sample interval is divided into two time periods with the same time span before and after, and the dynamic cointegration test is carried out. It is found that there is a cointegration relationship between long-term stock price and inflation, while in the short term the cointegration relationship is time-independent. There is no long-term cointegration relationship between stock price and monetary policy, but there is a stable co-integration relationship between the split share structure reform in 2005 and May 2008. Before the split share structure reform, there is no cointegration relationship between stock price and monetary policy. Then the same sample interval is used to test whether the stock market can avoid inflation. It is found that in the long run, the stock market has a weaker role in circumventing inflation, which is obvious during the reform of split share structure. Finally, according to the empirical test results, some policy recommendations are put forward.
【學位授予單位】：南京財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F822.5;F822.0;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 陸維新;;通貨膨脹與股票價格波動[J];財經(jīng)問題研究;2010年12期

2 劉金全,王風云;資產(chǎn)收益率與通貨膨脹率關(guān)聯(lián)性的實證分析[J];財經(jīng)研究;2004年01期

3 董直慶;王林輝;;我國通貨膨脹和證券市場周期波動關(guān)系——基于小波變換頻帶分析方法的實證檢驗[J];中國工業(yè)經(jīng)濟;2008年11期

4 邵曉陽,蘇敬勤,于圣睿;競價制度下股票價格形成機制研究[J];管理科學;2005年02期

5 韓學紅;鄭妍妍;伍超明;;對我國股票收益率與通貨膨脹率關(guān)系的解釋：1992-2007[J];金融研究;2008年04期

6 郭明星,劉金全,劉志剛;我國貨幣供給增長率與國內(nèi)產(chǎn)出增長率之間的影響關(guān)系檢驗——來自MS-VECM模型的新證據(jù)[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2005年05期

7 唐齊鳴,李春濤;股票收益與貨幣政策的關(guān)系研究[J];統(tǒng)計研究;2000年12期

8 劉霖,靳云匯;貨幣供應、通貨膨脹與中國經(jīng)濟增長——基于協(xié)整的實證分析[J];統(tǒng)計研究;2005年03期

9 鄭妍妍;李海英;;中國股票市場的通貨膨脹風險規(guī)避功能研究[J];學術(shù)論壇;2010年03期

10 肖才林;;股票收益與通貨膨脹關(guān)系的探討[J];中國物價;2006年02期

本文編號：2240384