本文選題：利率調(diào)整　切入點(diǎn)：股票市場(chǎng)　出處：《山西大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版)》2012年01期 　論文類型：期刊論文

【摘要】：文章以基于GARCH模型的事件研究法,分析近年來(lái)中國(guó)人民銀行連續(xù)調(diào)整存貸款基準(zhǔn)利率對(duì)股票市場(chǎng)的傳導(dǎo)效應(yīng),研究股票市場(chǎng)對(duì)利率調(diào)整政策的反應(yīng)速度和反應(yīng)強(qiáng)度,檢驗(yàn)股票市場(chǎng)的有效性,進(jìn)而探索運(yùn)用調(diào)整存貸款基準(zhǔn)利率等貨幣政策管理股票市場(chǎng)風(fēng)險(xiǎn)的效力。實(shí)證結(jié)果表明,股票市場(chǎng)多次對(duì)利率上調(diào)呈利好反應(yīng),其原因可能與政策公告被股票市場(chǎng)投資者預(yù)測(cè)到有關(guān)。但利率調(diào)整目標(biāo)的累積效應(yīng)日趨明顯,對(duì)股票市場(chǎng)過(guò)快發(fā)展有一定的抑制作用。
[Abstract]:Based on the GARCH model, this paper analyzes the conduction effect of the people's Bank of China (PBOC) on the stock market by adjusting the benchmark interest rate of deposit and loan continuously in recent years, and studies the reaction speed and intensity of the stock market to the interest rate adjustment policy. To test the validity of the stock market, and then to explore the effectiveness of using monetary policies such as adjusting deposit and loan benchmark interest rates to manage the risk in the stock market. The empirical results show that the stock market has responded positively to interest rate increases many times. The reason may be that the policy announcement is predicted by the stock market investors, but the cumulative effect of the interest rate adjustment target is becoming more and more obvious, which has a certain restraining effect on the rapid development of the stock market.
【作者單位】： 山西大學(xué)管理學(xué)院;國(guó)金證券;
【基金】：教育部人文社科研究項(xiàng)目(07JA630027) 山西省軟科學(xué)研究項(xiàng)目(2010041021-02) 山西省高校人文社科重點(diǎn)研究基地項(xiàng)目(2011305)
【分類號(hào)】：F822.0;F832.51;F224

【二級(jí)參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊繼紅;王浣塵;;我國(guó)貨幣政策是否響應(yīng)股市泡沫的實(shí)證分析[J];財(cái)貿(mào)經(jīng)濟(jì);2006年03期

2 劉q，

本文編號(hào)：1563954