【摘要】：房地產(chǎn)價(jià)格從2003年開始飛速攀升，股票價(jià)格也在2005年開始劇烈暴漲，經(jīng)過專家們的調(diào)查研究，發(fā)現(xiàn)流動(dòng)性在其中起到非常重要的作用。與此同時(shí)，因?yàn)榱鲃?dòng)性的不斷變化，我國的貨幣政策也在隨之變化。為應(yīng)對(duì)1997年的亞洲金融危機(jī)，我國政府采取的是穩(wěn)健的貨幣政策，當(dāng)時(shí)中國面臨通縮壓力，那時(shí)穩(wěn)健的貨幣政策取向是增加貨幣供應(yīng)量。2003年之后，經(jīng)濟(jì)得到恢復(fù)并有較快的發(fā)展，政府實(shí)行“穩(wěn)中適度從緊”的貨幣政策，歷經(jīng)2007年的美國次貸危機(jī)后，貨幣政策變?yōu)椤斑m度寬松”，緊接著2011年的歐洲債務(wù)危機(jī)后，貨幣政策變?yōu)椤胺�(wěn)健”。相對(duì)應(yīng)的股市也相應(yīng)發(fā)生了一定的變化。本文期望實(shí)證檢驗(yàn)我國貨幣流動(dòng)性與股票價(jià)格指數(shù)關(guān)系，為政策制定者及股票投資者提供一定的參考。 本文的研究對(duì)象是貨幣流動(dòng)性和股票價(jià)格，論文將集中研究兩個(gè)方面的問題：一是分析現(xiàn)階段我國貨幣流動(dòng)性的現(xiàn)狀及其形成原因；二是考察貨幣流動(dòng)性與股價(jià)指數(shù)之間的相關(guān)性和影響關(guān)系。由于我國貨幣供給與需求結(jié)構(gòu)、國際收支結(jié)構(gòu)以及儲(chǔ)蓄與消費(fèi)、消費(fèi)和投資結(jié)構(gòu)長期失衡，導(dǎo)致目前我國貨幣流動(dòng)性整體過剩，主要表現(xiàn)在貨幣超額供給、金融機(jī)構(gòu)存貸差不斷擴(kuò)大和外匯儲(chǔ)備居高不下三個(gè)方面。貨幣流動(dòng)性過剩對(duì)資產(chǎn)價(jià)格泡沫的產(chǎn)生起到了推波助瀾的作用，對(duì)實(shí)體經(jīng)濟(jì)的健康發(fā)展產(chǎn)生消極影響。本文選取M1/M2作為衡量貨幣流動(dòng)性大小的指標(biāo)，，因?yàn)镸1代表貨幣存量的重要流動(dòng)性特征，M2能較好地反映了貨幣存量總額的變化特點(diǎn)。在選取股票價(jià)格指標(biāo)時(shí)，選取的是上證綜合指數(shù)，因?yàn)樗芎艽蟪潭鹊姆磻?yīng)我國股票價(jià)格的變化情況，且數(shù)據(jù)較為容易的取得。當(dāng)中所涉及的計(jì)量方法較多，先建立VAR模型，利用協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)和VAR模型方程分析研究貨幣流動(dòng)性與股價(jià)指數(shù)之間的相關(guān)性；利用脈沖響應(yīng)函數(shù)和方差分解分析貨幣流動(dòng)性與股價(jià)指數(shù)之間的影響關(guān)系。 最后，我們得出了下列結(jié)論�？傮w而言，從長期來看，貨幣流動(dòng)性和上證指數(shù)之間是長期相關(guān)的，還是正向相關(guān)的，且股價(jià)波動(dòng)是貨幣流動(dòng)性變化的格蘭杰原因。這些結(jié)論對(duì)我們預(yù)測(cè)股票價(jià)格走勢(shì)，及時(shí)調(diào)整投資策略具有一定的參考價(jià)值。
[Abstract]:The real estate price has been rising rapidly since 2003, and the stock price has also risen sharply in 2005. Through the investigation and research by experts, it is found that liquidity plays a very important role in it. At the same time, because of the changing liquidity, China's monetary policy is also changing. In response to the Asian financial crisis in 1997, our government adopted a prudent monetary policy, when China was facing deflationary pressure, and at that time the prudent monetary policy was oriented towards increasing the money supply. After 2003, The economy has recovered and developed rapidly, and the government has implemented a monetary policy of "steady and moderate tightening". After the US subprime mortgage crisis in 2007, monetary policy became "moderately loose", followed by the European debt crisis in 2011. Monetary policy became "sound". The corresponding stock market has also undergone certain changes. This paper hopes to empirically test the relationship between monetary liquidity and stock price index in order to provide some reference for policy makers and stock investors. The research object of this paper is money liquidity and stock price. This paper will focus on two aspects: first, analyze the current situation of monetary liquidity in China and the reasons for its formation; The second is to investigate the correlation and influence between monetary liquidity and stock price index. As a result of the long-term imbalance between the structure of money supply and demand, the structure of balance of payments, and the structure of savings and consumption, consumption and investment, the overall excess of monetary liquidity in China has been caused, which is mainly manifested in the excess supply of money. Financial institutions continue to expand the gap between deposits and loans and foreign exchange reserves remain high in three areas. The excess of currency liquidity contributes to the emergence of asset price bubbles and has a negative impact on the healthy development of the real economy. In this paper, M1/M2 is chosen as the index to measure the monetary liquidity, because M1 represents the important liquidity characteristics of the money stock, M2 can better reflect the change characteristics of the total amount of the money stock. When selecting the index of stock price, the composite index of Shanghai Stock Exchange is chosen, because it can reflect the change of stock price of our country to a great extent, and the data is easy to obtain. There are many measurement methods involved. Firstly, the VAR model is established, the cointegration test, Granger causality test and VAR model equation are used to analyze the correlation between monetary liquidity and stock price index. The relationship between monetary liquidity and stock price index is analyzed by impulse response function and variance decomposition. Finally, we draw the following conclusions. Overall, in the long run, is the relationship between currency liquidity and the Shanghai index long-term, or positive, and volatility in share prices is the Granger cause of the change in currency liquidity. These conclusions have certain reference value for us to forecast stock price trend and adjust investment strategy in time.
【學(xué)位授予單位】：長沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F822;F832.51;F224

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