【摘要】：金融危機(jī)爆發(fā)后,資產(chǎn)價(jià)格在貨幣政策傳導(dǎo)機(jī)制中的作用越來越顯著,關(guān)注資產(chǎn)價(jià)格波動(dòng),注重研究貨幣政策資產(chǎn)價(jià)格傳導(dǎo)機(jī)制十分必要。隨著房地產(chǎn)市場(chǎng)和股票市場(chǎng)的不斷發(fā)展,房價(jià)和股價(jià)在貨幣政策傳導(dǎo)機(jī)制中的地位越來越顯著,所以研究貨幣政策房價(jià)傳導(dǎo)機(jī)制和股價(jià)傳導(dǎo)機(jī)制十分必要。對(duì)貨幣政策傳導(dǎo)機(jī)制基礎(chǔ)理論介紹后,運(yùn)用SVAR模型對(duì)貨幣政策房價(jià)與股價(jià)傳導(dǎo)機(jī)制進(jìn)行實(shí)證分析。采用2009年1月至2014年1月的宏觀經(jīng)濟(jì)月度數(shù)據(jù),分別對(duì)貨幣政策房價(jià)和股價(jià)傳導(dǎo)機(jī)制進(jìn)行研究。此后,又對(duì)金融危機(jī)前后貨幣政策資產(chǎn)價(jià)格傳導(dǎo)機(jī)制的異同進(jìn)行了對(duì)比分析,包括危機(jī)前后貨幣政策房價(jià)傳導(dǎo)機(jī)制和危機(jī)前后貨幣政策股價(jià)傳導(dǎo)機(jī)制,數(shù)據(jù)選取跨度為2001年1月至2008年12月。文章通過對(duì)比貨幣政策房價(jià)和股價(jià)傳導(dǎo)機(jī)制、對(duì)比危機(jī)前后貨幣政策房價(jià)傳導(dǎo)機(jī)制和股價(jià)傳導(dǎo)機(jī)制得出以下結(jié)論。第一,房價(jià)傳導(dǎo)機(jī)制比股價(jià)傳導(dǎo)機(jī)制更暢通。第二,金融危機(jī)后貨幣政策調(diào)節(jié)房價(jià)的能力雖沒金融危機(jī)前明顯,但效果的持續(xù)性加強(qiáng),房地產(chǎn)市場(chǎng)在貨幣政策傳導(dǎo)機(jī)制中的地位有所提升。第三,危機(jī)后利率和貨幣供應(yīng)量對(duì)股價(jià)影響都比金融危機(jī)前顯著,股價(jià)對(duì)宏觀經(jīng)濟(jì)的影響比金融危機(jī)前稍微顯著一些。針對(duì)第一條結(jié)論提出以下建議,提高股價(jià)傳導(dǎo)機(jī)制的有效性；加強(qiáng)行政措施控制房價(jià)；制定貨幣政策時(shí)注重房地產(chǎn)市場(chǎng)對(duì)實(shí)體經(jīng)濟(jì)的影響。針對(duì)第二條結(jié)論提出以下建議,合理地控制貨幣供應(yīng)量的增長速度；貨幣政策應(yīng)關(guān)注房地產(chǎn)市場(chǎng)的發(fā)展和房價(jià)波動(dòng)；在房價(jià)上漲初期就應(yīng)提高利率,緊縮貨幣供應(yīng)量；加強(qiáng)境外資本流入管理。針對(duì)第三條結(jié)論提出建議,加快推進(jìn)利率市場(chǎng)化改革,使貨幣政策股價(jià)傳導(dǎo)機(jī)制更暢通；充分發(fā)揮股票市場(chǎng)的財(cái)富效應(yīng),使股市獲取的收益服務(wù)于實(shí)體經(jīng)濟(jì)。
[Abstract]:After the outbreak of the financial crisis, asset prices play a more and more significant role in the transmission mechanism of monetary policy. It is necessary to pay attention to the fluctuation of asset prices and pay attention to the transmission mechanism of asset prices in monetary policy. With the continuous development of real estate market and stock market, house price and stock price play a more and more important role in monetary policy transmission mechanism, so it is necessary to study monetary policy house price transmission mechanism and stock price transmission mechanism. After introducing the basic theory of monetary policy transmission mechanism, this paper makes an empirical analysis of monetary policy house price and stock price transmission mechanism by using SVAR model. Based on the monthly macroeconomic data from January 2009 to January 2014, the transmission mechanism of monetary policy house price and stock price is studied respectively. Since then, the similarities and differences of monetary policy asset price transmission mechanism before and after the financial crisis are compared and analyzed, including the monetary policy house price transmission mechanism before and after the crisis and the monetary policy stock price transmission mechanism before and after the crisis. The data span is from January 2001 to December 2008. By comparing the transmission mechanism of monetary policy house price and stock price, this paper draws the following conclusions by comparing the transmission mechanism of monetary policy house price and stock price transmission before and after the crisis. First, the transmission mechanism of house price is more smooth than the transmission mechanism of stock price. Second, although the ability of monetary policy to adjust house prices after the financial crisis is not obvious before the financial crisis, the effect has been continuously strengthened, and the position of the real estate market in the transmission mechanism of monetary policy has been enhanced. Third, the impact of interest rates and money supply on the stock price after the crisis is more significant than that before the financial crisis, and the impact of the stock price on the macro economy is slightly more significant than that before the financial crisis. In view of the first conclusion, the following suggestions are put forward to improve the effectiveness of the stock price transmission mechanism; to strengthen administrative measures to control house prices; and to pay attention to the impact of the real estate market on the real economy when formulating monetary policy. In view of the second conclusion, the following suggestions are put forward to control the growth rate of money supply reasonably, the monetary policy should pay attention to the development of real estate market and the fluctuation of house price, and the interest rate should be raised and the money supply should be tightened in the early stage of house price rise. We will strengthen the management of foreign capital inflows. In view of the third conclusion, this paper puts forward some suggestions to speed up the reform of interest rate marketization to make the transmission mechanism of monetary policy stock price more smooth, and to give full play to the wealth effect of the stock market so that the gains obtained by the stock market can serve the real economy.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.0

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