發(fā)布時(shí)間：2018-05-15 16:21

  本文選題：貨幣政策 + M2銀行間同業(yè)拆借利率　； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：20世紀(jì)90年代初,隨著上交所和深交所的先后成立,我國(guó)股票市場(chǎng)開(kāi)始飛速發(fā)展。2013年底,滬深股市總市值為23.76萬(wàn)億元,占全年GDP總額的41.8%�？傮w上看,股票市場(chǎng)有利有弊,利在于它可以通過(guò)籌集資金、優(yōu)化資本配置來(lái)促進(jìn)實(shí)體經(jīng)濟(jì)的發(fā)展;弊在于股票市場(chǎng)的大幅波動(dòng)會(huì)對(duì)實(shí)體經(jīng)濟(jì)帶來(lái)不利影響,也對(duì)中央銀行貨幣政策制定帶來(lái)嚴(yán)峻挑戰(zhàn)。貨幣政策指中央銀行運(yùn)用各種貨幣政策工具來(lái)調(diào)節(jié)經(jīng)濟(jì)指標(biāo),從而對(duì)整體經(jīng)濟(jì)造成影響的措施。因此,貨幣政策與股票市場(chǎng)的關(guān)系成為金融經(jīng)濟(jì)學(xué)的研究熱點(diǎn)。本文主要研究我國(guó)M2和銀行間同業(yè)拆借利率對(duì)股票市場(chǎng)收益率和波動(dòng)率的影響。股票市場(chǎng)受到經(jīng)濟(jì)金融環(huán)境的顯著影響,比如美國(guó)次貸危機(jī)間接造成我國(guó)股市的大跌。本文構(gòu)造了包括貨幣供應(yīng)量M2、七天期銀行間同業(yè)拆借利率、股市收益率和波動(dòng)率在內(nèi)的MSVAR模型,將市場(chǎng)狀態(tài)分成緊縮性貨幣政策期、擴(kuò)張性貨幣政策期和特殊時(shí)期貨幣政策期,在不同的區(qū)制下,本別探討M2和銀行間同業(yè)拆借利率對(duì)股票市場(chǎng)的影響。研究結(jié)果顯示,M2和銀行間同業(yè)拆借利率對(duì)股票市場(chǎng)有顯著影響,但在不同狀態(tài)下,影響效果存在顯著差異,主要表現(xiàn)在影響方向和程度上,因此中央銀行在制定貨幣政策時(shí)要充分考慮當(dāng)前的經(jīng)濟(jì)形勢(shì),審慎采取貨幣政策。同時(shí),通過(guò)M2和銀行間同業(yè)拆借利率對(duì)股市影響的數(shù)量級(jí)比較可以發(fā)現(xiàn),M2對(duì)股市的影響影響程度大于銀行間同業(yè)拆借利率。
[Abstract]:At the beginning of 1990s, with the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange successively, the stock market of our country began to develop rapidly. At the end of 2013, the total market value of Shanghai and Shenzhen stock market was 23.76 trillion yuan, accounting for 41.8 percent of the total GDP of the whole year. On the whole, the stock market has both advantages and disadvantages. The advantage is that it can promote the development of the real economy by raising funds and optimizing the allocation of capital; the disadvantage is that large fluctuations in the stock market will have a negative impact on the real economy. It also poses a serious challenge to the central bank's monetary policy-making. Monetary policy means that the central bank uses various monetary policy instruments to regulate economic indicators, thus affecting the overall economy. Therefore, the relationship between monetary policy and stock market has become a hot topic in financial economics. This paper mainly studies the effect of M2 and interbank offered rate on the return and volatility of stock market. The stock market is significantly affected by the economic and financial environment, such as the subprime mortgage crisis in the United States, which indirectly caused the stock market to plummet. In this paper, we construct a MSVAR model, which includes M2,7-day interbank offered rate of money supply, stock market yield and volatility, and divide the market state into three periods: tight monetary policy period, expansionary monetary policy period and special period monetary policy period. Under different regional systems, this paper discusses the impact of M 2 and interbank lending rates on the stock market. The results show that M _ 2 and interbank offered rates have a significant impact on the stock market, but under different conditions, there are significant differences in the impact, mainly in the direction and extent of the impact. Therefore, the central bank should take full account of the current economic situation and adopt monetary policy prudently when formulating monetary policy. At the same time, by comparing the magnitude of M2 and interbank lending rate on stock market, we can find that M 2 has more influence on stock market than interbank lending rate.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822;F832.51

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本文編號(hào)：1893058