本文關(guān)鍵詞： 貨幣政策 股票價格 實體經(jīng)濟 FAVAR模型 FECM模型　出處：《西北師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在金融市場快速發(fā)展的今天，央行的貨幣政策面臨著維持金融穩(wěn)定性的巨大挑戰(zhàn)，央行應(yīng)該如何應(yīng)對資產(chǎn)價格波動以及由此引起的實體經(jīng)濟波動，除了加強對金融市場和金融機構(gòu)監(jiān)管等政策方面的措施之外，是否應(yīng)該將資產(chǎn)價格波動納入貨幣政策的調(diào)控范圍之內(nèi)，對此問題目前學(xué)術(shù)界尚存在著不同的意見。股票市場作為金融市場的重要組成部分，與實體經(jīng)濟之間存在著復(fù)雜的相互影響關(guān)系，實體經(jīng)濟是股票市場發(fā)展的基礎(chǔ)，股市自身的高效性和靈敏性，能夠推動社會經(jīng)濟發(fā)展的生產(chǎn)率，而其同時存在的盲目性和慣性也會對實體經(jīng)濟的運行產(chǎn)生很多不利的影響。 基于以上的實際問題，本文引入了兩個VAR宏觀經(jīng)濟統(tǒng)計模型的拓展模型：FAVAR模型和FECM模型，，應(yīng)用這兩個模型研究了我國股票價格和實體經(jīng)濟的聯(lián)動性。基于股價與實體經(jīng)濟的相關(guān)性問題，進(jìn)一步提出了將股票價格指數(shù)納入到宏觀政策制定的參考變量中的問題，考慮其成為貨幣政策調(diào)控目標(biāo)的可能性。 股票價格與大規(guī)模宏觀經(jīng)濟變量所建立的FAVAR模型和FECM模型表明，股價對于實體經(jīng)濟的八個因子都有著不同程度的影響，同時貨幣政策中的利率因子和貨幣因子對于股票價格也有著比較明顯的影響。但是縱觀股票價格對八個因子的影響可以發(fā)現(xiàn)，其對每個因子的響應(yīng)程度以及響應(yīng)時間都有所不同，其中的價格因子、工業(yè)因子、投資因子和房產(chǎn)因子，在不同的時期都會產(chǎn)生不同程度的負(fù)面影響，這樣對貨幣政策運用股票價格來影響實體經(jīng)濟運行就造成了許多困難，產(chǎn)生了一些不確定的因素，本文對此現(xiàn)象產(chǎn)生的原因進(jìn)行了分析，并提出了一些改進(jìn)建議。
[Abstract]:With the rapid development of financial markets, the central bank's monetary policy is facing a great challenge of maintaining financial stability. How should the central bank cope with the volatility of asset prices and the resulting fluctuations in the real economy? Apart from strengthening policy measures such as regulation of financial markets and financial institutions, should the fluctuation of asset prices be included in the scope of monetary policy? As an important part of the financial market, there is a complex interaction between the stock market and the real economy, and the real economy is the basis of the development of the stock market. The high efficiency and sensitivity of the stock market can promote the productivity of the social economy development, and the blindness and inertia of the stock market will have a lot of adverse effects on the operation of the real economy. Based on the above practical problems, this paper introduces two extended models of VAR macroeconomic statistics model: FAVAR model and FECM model. The two models are used to study the linkage between stock price and real economy in China. Based on the correlation between stock price and real economy, the problem of integrating stock price index into the reference variable of macro policy making is put forward. Consider the possibility of becoming a target of monetary policy regulation. The FAVAR model and FECM model of stock price and large-scale macroeconomic variables show that the stock price has different effects on the eight factors of the real economy. At the same time, the interest rate factor and monetary factor in monetary policy also have more obvious influence on stock price. However, if we look at the influence of stock price on eight factors, we can find that, The degree of response to each factor and the response time are different. The price factor, industrial factor, investment factor and real estate factor all have different negative effects in different periods. In this way, the use of stock price in monetary policy to affect the operation of the real economy has caused many difficulties and produced some uncertain factors. This paper analyzes the causes of this phenomenon and puts forward some suggestions for improvement.
【學(xué)位授予單位】：西北師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F822.0;F832.51;F124

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本文編號：1556009