本文選題：貨幣政策 + 未預(yù)期利率變動(dòng)��； 參考：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文

【摘要】：我國(guó)實(shí)體經(jīng)濟(jì)的正常運(yùn)轉(zhuǎn)和快速增長(zhǎng)一直受助于金融市場(chǎng)的穩(wěn)定發(fā)展,人民銀行和其貨幣政策在規(guī)范中國(guó)金融系統(tǒng),在維持經(jīng)濟(jì)穩(wěn)定運(yùn)行所扮演的作用顯得越來(lái)越重要。任何貨幣政策的改變都會(huì)影響投資者對(duì)未來(lái)經(jīng)濟(jì)的預(yù)期,不但影響上市公司的股價(jià),也會(huì)由股票市場(chǎng)傳遞到實(shí)體經(jīng)濟(jì)。而且因?yàn)椴煌鲜泄镜那闆r各有不同,他們受到貨幣政策的影響也不盡相同。國(guó)內(nèi)外研究者針對(duì)貨幣政策與股票市場(chǎng)的關(guān)系這一問(wèn)題已經(jīng)進(jìn)行了廣泛而深入的研究,他們利用M1,M2貨幣供應(yīng)量,市場(chǎng)利率,聯(lián)邦基金基準(zhǔn)利率調(diào)整等貨幣政策變量,定性定量的研究了貨幣政策與股票市場(chǎng)之間的關(guān)系。但是我國(guó)研究的重點(diǎn)大都放在了對(duì)股票市場(chǎng)整體的影響,缺少對(duì)于不同上市公司所受影響差異的分析。本文在對(duì)貨幣政策對(duì)股票市場(chǎng)的影響進(jìn)行理論分析的基礎(chǔ)上,利用1996年至2016年的數(shù)據(jù)進(jìn)行了實(shí)證分析。根據(jù)利率期限結(jié)構(gòu)理論,構(gòu)建了市場(chǎng)對(duì)利率變動(dòng)的預(yù)期,分解出未預(yù)期的利率變動(dòng),并分析了未預(yù)期的存款利率變動(dòng)對(duì)不同行業(yè),不同市值,不同資產(chǎn)負(fù)債率,不同現(xiàn)金流比凈利潤(rùn)比率,不同市盈率,不同托賓q的上市公司的影響。實(shí)證結(jié)果證實(shí)了未預(yù)期的貨幣政策變動(dòng)與股票市場(chǎng)收益率之間的負(fù)向關(guān)系,證實(shí)了未預(yù)期的利率變動(dòng)對(duì)不同上市公司的影響,因其所屬行業(yè),市值大小,負(fù)債情況,市盈率不同,盈利能力的差異而不同。因此,人民銀行在制定貨幣政策時(shí)應(yīng)當(dāng)關(guān)注其政策對(duì)股票市場(chǎng)影響的不對(duì)稱性。
[Abstract]:The normal operation and rapid growth of the real economy in China have been aided by the steady development of the financial market. The people's Bank of China and its monetary policy play an increasingly important role in standardizing China's financial system and maintaining the stable operation of the economy.Any change in monetary policy will affect investors' expectations of the future economy, not only the stock prices of listed companies, but also the stock market to the real economy.And because different listed companies have different situations, they are influenced by monetary policy.Researchers at home and abroad have carried out extensive and in-depth research on the relationship between monetary policy and the stock market. They have made use of M1M 2 money supply, market interest rate, federal funds benchmark rate adjustment and other monetary policy variables.The relationship between monetary policy and stock market is studied qualitatively and quantitatively.However, most of the researches in China focus on the impact on the stock market as a whole, and lack of analysis of the differences in the impact on different listed companies.Based on the theoretical analysis of the influence of monetary policy on the stock market, this paper makes an empirical analysis based on the data from 1996 to 2016.According to the term structure theory of interest rate, this paper constructs the market expectation of interest rate change, decomposes the unexpected interest rate change, and analyzes the unexpected deposit interest rate change to different industries, different market value, different asset-liability ratio.Different cash flow ratio net profit ratio, different P / E ratio, different Tobin Q listed company's influence.The empirical results confirm the negative relationship between unexpected monetary policy changes and stock market returns, and the impact of unexpected interest rate changes on different listed companies, due to their industries, size of market value, debt situation,The price / earnings ratio is different and the profitability is different.Therefore, the people's Bank of China should pay attention to the asymmetry of its policy to the stock market when making monetary policy.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F822.0

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