【摘要】： 我國股票市場在經(jīng)歷了2001年至2005年的四年熊市之后,隨后兩年出現(xiàn)空前的大牛市,股票市值增加近六倍。然而2008年半年間股票市值又跌去大半。面對(duì)這跌宕起伏的股票市場,人們無所適從。很多學(xué)者從不同角度對(duì)股票市場的大起大落進(jìn)行分析,得出的結(jié)論也各有差異。然而作者在這幾年中,發(fā)現(xiàn)我國貨幣政策變化的調(diào)整也是非常頻繁的,因此從貨幣政策角度來分析貨幣政策對(duì)我國股票市場的影響研究很有必要。本文以貨幣經(jīng)濟(jì)學(xué)和金融經(jīng)濟(jì)學(xué)為理論依據(jù),采用VAR模型對(duì)貨幣政策變化影響股票市場的趨勢進(jìn)行分析,通過協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)等計(jì)量經(jīng)濟(jì)學(xué)方法分析貨幣政策對(duì)我國股票市場的影響,得出了從2005年至2009年這段時(shí)期股票價(jià)格與貨幣供給量存在長期協(xié)整關(guān)系,貨幣供給量對(duì)股票市場存在一定得影響,從貨幣政策角度對(duì)我國股票市場的影響進(jìn)行解釋。但是從影響力度上可以看到貨幣政策效果比較明顯。說明我國貨幣政策傳導(dǎo)機(jī)制隨著金融市場的逐步完善,貨幣政策效果趨強(qiáng)但是還需要進(jìn)一步的提高。這些結(jié)論對(duì)貨幣政策的制定,尤其對(duì)股票市場的分析和預(yù)測具有很大的理論意義和現(xiàn)實(shí)意義。
[Abstract]:After four years of bear market from 2001 to 2005, the stock market in China experienced an unprecedented bull market in the following two years, and the stock market value increased nearly sixfold. However, the stock market value fell more than half in 2008. In the face of the ups and downs of the stock market, people are at a loss. Many scholars analyze the ups and downs of stock market from different angles, and their conclusions are different. However, in the past few years, the author found that the adjustment of monetary policy changes is also very frequent, so it is necessary to analyze the influence of monetary policy on the stock market from the perspective of monetary policy. Based on the theory of monetary economics and financial economics, this paper uses VAR model to analyze the trend that monetary policy changes affect the stock market, through cointegration test, Granger causality test. Impulse response and other econometric methods are used to analyze the influence of monetary policy on China's stock market. It is concluded that there is a long-term cointegration relationship between stock price and money supply during the period from 2005 to 2009. The amount of money supply has a certain influence on the stock market. It explains the influence of our country's stock market from the angle of monetary policy. However, we can see from the impact of monetary policy effect is obvious. It shows that with the gradual improvement of the financial market, the monetary policy transmission mechanism of our country tends to be stronger, but it still needs to be further improved. These conclusions are of great theoretical and practical significance to the formulation of monetary policy, especially to the analysis and prediction of stock market.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2010
【分類號(hào)】：F822.0;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前5條

1 高娜;貨幣政策在股市傳導(dǎo)的效應(yīng)時(shí)滯研究[D];哈爾濱工業(yè)大學(xué);2011年

2 張茜;中國股票市場發(fā)展與貨幣政策完善[D];山西大學(xué);2012年

3 崔江華;貨幣政策調(diào)整對(duì)股市流動(dòng)性的影響分析[D];東北財(cái)經(jīng)大學(xué);2012年

4 杜莎莎;貨幣政策對(duì)股票價(jià)格指數(shù)影響的實(shí)證研究[D];山東財(cái)經(jīng)大學(xué);2013年

5 仉偉強(qiáng);我國股票市場的貨幣政策傳導(dǎo)效應(yīng)研究[D];山東大學(xué);2013年

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本文編號(hào)：2375302