本文選題：利率調(diào)整　切入點(diǎn)：股價(jià)指數(shù)　出處：《東華大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：利率政策是央行貨幣政策三大主要工具之一,它的變動(dòng)引起了市場(chǎng)參與者的廣泛關(guān)注,市場(chǎng)總是會(huì)根據(jù)利率的調(diào)整形成預(yù)期并反映到當(dāng)前的股票市場(chǎng)中。由于利率調(diào)整的力度和公告的時(shí)機(jī)很難被市場(chǎng)所把握,所以市場(chǎng)會(huì)對(duì)利率調(diào)整存在著預(yù)期偏差,而這種偏差就是利率調(diào)整中的未預(yù)期部分。根據(jù)市場(chǎng)有效理論,現(xiàn)有的市場(chǎng)價(jià)格已經(jīng)充分體現(xiàn)了已知的所有影響因素的狀況,只有未被市場(chǎng)預(yù)期的新信息才能夠?qū)κ袌?chǎng)造成沖擊。因此,在利率調(diào)整對(duì)于股市的影響方面,國(guó)內(nèi)外學(xué)者開始紛紛引入預(yù)期因素,利用各種市場(chǎng)工具變量對(duì)央行利率調(diào)整進(jìn)行分解,從而考察央行利率調(diào)整的未預(yù)期部分對(duì)市場(chǎng)的影響。 本文首先通過(guò)一年期存款利率和一月期銀行間同業(yè)拆借利率之間存在的長(zhǎng)期均衡關(guān)系,將政策性利率調(diào)整轉(zhuǎn)變?yōu)槭袌?chǎng)利率變動(dòng),然后利用不同期限同業(yè)拆借利率中隱含的遠(yuǎn)期利率將市場(chǎng)利率分解為已預(yù)期部分和未預(yù)期部分,最后通過(guò)構(gòu)建事件窗口,運(yùn)用線性回歸模型、GARCH模型和SVAR模型實(shí)證檢驗(yàn)了我國(guó)利率調(diào)整在不同的市場(chǎng)背景下對(duì)股市的即期、短期以及長(zhǎng)期影響。 研究發(fā)現(xiàn),在不同市場(chǎng)背景下,股票價(jià)格對(duì)不同性質(zhì)的未預(yù)期利率調(diào)整的即期沖擊反應(yīng)呈現(xiàn)出顯著的負(fù)向關(guān)系；不同性質(zhì)的和不同市場(chǎng)背景下的未預(yù)期利率調(diào)整的即期沖擊效應(yīng)都存在非對(duì)稱性。在短期內(nèi),牛市中的未預(yù)期的利率調(diào)整對(duì)股價(jià)的短期影響顯著；此外,未預(yù)期利率調(diào)整一般都會(huì)加劇股市的短期波動(dòng)水平,不同市場(chǎng)背景和不同性質(zhì)的未預(yù)期利率調(diào)整對(duì)股市短期波動(dòng)的影響都存在非對(duì)稱性。利率調(diào)整對(duì)股市具有中長(zhǎng)期效應(yīng),牛市中實(shí)際利率變動(dòng)與股價(jià)變動(dòng)成正向關(guān)系但影響效果不顯著,而熊市中實(shí)際利率變動(dòng)與股價(jià)成反向關(guān)系且影響效果顯著；此外,市場(chǎng)預(yù)期對(duì)股市具有顯著的長(zhǎng)期影響效應(yīng)。
[Abstract]:Interest rate policy is one of the three major tools of the central bank's monetary policy, and its changes have aroused widespread concern among market participants. The market will always form an expectation according to the adjustment of interest rate and reflect it into the current stock market. Because the intensity of the interest rate adjustment and the timing of the announcement are difficult to be grasped by the market, the market will have an expected deviation in the interest rate adjustment. This deviation is the unexpected part of the interest rate adjustment. According to the market efficiency theory, the existing market prices have fully reflected the situation of all known influencing factors. Only new information that has not been expected by the market can impact the market. Therefore, in terms of the impact of the interest rate adjustment on the stock market, domestic and foreign scholars have begun to introduce the expected factor in succession. This paper uses various market tool variables to decompose the central bank's interest rate adjustment, so as to investigate the impact of the unexpected part of the central bank's interest rate adjustment on the market. Through the long-term equilibrium relationship between the one-year deposit rate and the January interbank offered rate, this paper first changes the policy interest rate into the market interest rate change. Then the market interest rate is decomposed into the expected part and the unanticipated part by using the forward interest rate implied in the interbank offered rate of different maturity. Finally, the event window is constructed. By using the linear regression model GARCH model and SVAR model, this paper examines the spot, short and long term effects of interest rate adjustment on the stock market in different market backgrounds. It is found that under different market background, the stock price has a significant negative relationship with the unexpected interest rate adjustment of the spot shock response of different properties; The spot impact effect of unexpected interest rate adjustment in different nature and different market background is asymmetric. In the short run, unexpected interest rate adjustment in bull market has a significant short-term effect on stock price. The unanticipated interest rate adjustment will generally aggravate the short-term fluctuation level of the stock market, and the influence of the unexpected interest rate adjustment of different market background and nature on the short-term volatility of the stock market is asymmetric. The interest rate adjustment has a medium and long-term effect on the stock market. In bull market, the change of real interest rate has a positive relationship with stock price, but the effect is not significant, while in bear market the change of real interest rate has a reverse relationship with stock price and the effect is significant. In addition, market expectation has a significant long-term effect on the stock market.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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