本文選題：貨幣供應(yīng)量 + 大盤股��； 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：隨著經(jīng)濟(jì)的發(fā)展,央行貨幣政策對操作目標(biāo)、中介目標(biāo)、最終目標(biāo)調(diào)控的經(jīng)驗(yàn)越來越豐富,貨幣供應(yīng)量作為重要的中介目標(biāo),對整個(gè)金融市場產(chǎn)生了深遠(yuǎn)的影響。經(jīng)過20多年發(fā)展,我國股市成績斐然,但也存在不少問題。為使股市持續(xù)穩(wěn)定健康發(fā)展,證監(jiān)會(huì)采取了一系列措施規(guī)范股票市場、保護(hù)投資者利益。股市和貨幣市場的聯(lián)系越來越密切,具有明顯相互影響的特征,成為學(xué)者感興趣的問題之一。大盤股和小盤股是股市中形成鮮明對比的兩類股票,大盤股更多的進(jìn)行價(jià)值投資、紅利投資,小盤股往往是通過股票價(jià)差獲利,因此大盤股和小盤股與貨幣供應(yīng)量的相互影響存在差異,對這種差異的研究有利于將貨幣市場和股市進(jìn)一步聯(lián)系起來,央行在把貨幣供應(yīng)量作為中介目標(biāo)時(shí)可以更有針對性的參考股市,運(yùn)用貨幣供應(yīng)量調(diào)控股市時(shí)可以更有效的選擇貨幣層次。 本文對貨幣供應(yīng)量與大小盤股的相互影響進(jìn)行了理論分析和實(shí)證檢驗(yàn)。從貨幣供應(yīng)量對股市影響、股票價(jià)格對貨幣政策影響、大盤股和小盤股差異三個(gè)方面逐步推進(jìn)理論分析。運(yùn)用上述理論分析比較貨幣供應(yīng)量與大小盤股的相互影響,認(rèn)為貨幣供應(yīng)量對小盤股的影響更直接,大盤股對貨幣供應(yīng)量的影響更明顯。實(shí)證檢驗(yàn)選取貨幣供應(yīng)量的三個(gè)層次表示貨幣供給,中證100指數(shù)表示大盤股,中小板指數(shù)表示小盤股,運(yùn)用2006年5月到2013年12月貨幣流通中現(xiàn)金M0、狹義貨幣供應(yīng)量M1、廣義貨幣供應(yīng)量M2、中證100指數(shù)、中小板指數(shù)五個(gè)指標(biāo)的月度數(shù)據(jù)進(jìn)行趨勢分析并建立VAR模型。利用Granger因果關(guān)系檢驗(yàn)?zāi)Ｐ椭凶兞块g的因果關(guān)系。利用脈沖響應(yīng)模型研究對模型施加沖擊各個(gè)變量的反應(yīng)。利用方差分解研究模型中各個(gè)變量的貢獻(xiàn)率。結(jié)果發(fā)現(xiàn),流通中現(xiàn)金M0、狹義貨幣供應(yīng)量M1可以與中證100指數(shù)、中小板指數(shù)建立VAR模型,廣義貨幣供應(yīng)量M2不能與中證100指數(shù)、中小板指數(shù)建立VAR模型。流通中現(xiàn)金M0、狹義貨幣供應(yīng)量M1對小盤股的作用明顯,說明小盤股對貨幣供應(yīng)量的變化更敏感。大盤股對流通中現(xiàn)金M0、狹義貨幣供應(yīng)量M1的作用明顯,說明大盤股對貨幣供應(yīng)量的影響顯著。理論分析與實(shí)證檢驗(yàn)得到的結(jié)論有一致也有偏離,原因解釋部分分別對各種結(jié)論進(jìn)行經(jīng)濟(jì)學(xué)分析,結(jié)合我國經(jīng)濟(jì)發(fā)展現(xiàn)狀對結(jié)論進(jìn)行合理的推斷,與理論偏離的結(jié)論可以通過相關(guān)經(jīng)濟(jì)理論、貨幣供應(yīng)量層次、股市現(xiàn)狀進(jìn)行合理解釋。政策建議從本文結(jié)論和加強(qiáng)貨幣供給與大小盤股聯(lián)系兩個(gè)角度展開,提出貨幣供應(yīng)量需要考慮大盤股影響、有針對性的利用貨幣供應(yīng)量調(diào)控股市、健全保護(hù)中小散戶投資者權(quán)益的制度、不斷完善證券市場投資品種和相應(yīng)制度、加強(qiáng)投資者教育五方面政策建議。
[Abstract]:With the development of economy, the central bank's monetary policy has more and more experience in regulating and controlling the operation target, intermediate target and final target. As an important intermediate target, the money supply has a profound influence on the whole financial market. After more than 20 years development, our country stock market achievement is outstanding, but also has many problems. In order to make the stock market develop steadily and healthily, the CSRC has taken a series of measures to standardize the stock market and protect the interests of investors. The relationship between stock market and money market is becoming more and more close, and it has the characteristics of obvious mutual influence, so it has become one of the questions of interest to scholars. Large-cap stocks and small-cap stocks are two types of stocks in sharp contrast in the stock market. Large-cap stocks make more value investments, dividend investments, and small-cap stocks often profit from the spread of the stock price. Therefore, there are differences in the interaction between large-cap and small-cap stocks and money supply, and the study of this difference is conducive to further linking the money market and the stock market. When the central bank regards the money supply as the intermediate target, it can refer to the stock market more pertinently, and it can choose the monetary level more effectively when using the money supply to control the stock market. This paper makes a theoretical analysis and empirical test on the interaction between money supply and stock. From three aspects: the influence of money supply on stock market, the influence of stock price on monetary policy, and the difference between large-cap stock and small-cap stock, the theoretical analysis is carried out step by step. By analyzing and comparing the mutual influence between money supply and large and small stocks, it is concluded that the influence of money supply on small-cap stocks is more direct, and that of large-cap stocks on money supply is more obvious. The empirical test selects three levels of money supply to represent money supply. The CSI 100 index represents large-cap stocks, while the small-sized board index represents small-cap stocks. From May 2006 to December 2013, the monthly data of cash M0, narrow money supply M1, broad money supply M2, CSI 100 index and small and medium board index are used to analyze the trend and establish the VAR model. Granger causality is used to test the causality between variables in the model. The impulse response model is used to study the response of each variable applied to the model. The contribution rate of each variable in the model is studied by variance decomposition. The results show that cash M0 in circulation, money supply M1 in narrow sense can establish VAR model with CSI 100 index and small board index, and generalized money supply M2 can't establish VAR model with CSI 100 index and SMB index. In cash M0, the narrow money supply M1 plays a significant role in small-cap stocks, indicating that small-cap stocks are more sensitive to changes in money supply. The effect of large-cap stock on cash M0 and narrow money supply M1 in circulation is obvious, which indicates that large-cap stock has a significant influence on money supply. The conclusions of theoretical analysis and empirical test are consistent and deviated. The reason explanation part carries on the economic analysis to each kind of conclusion separately, unifies our country economic development present situation to carry on the reasonable inference to the conclusion, The conclusion of deviation from the theory can be reasonably explained by relevant economic theory, money supply level and stock market status. The policy suggestion is carried out from the two angles of the conclusion of this paper and strengthening the connection between the money supply and the stock market. It is pointed out that the money supply needs to consider the influence of the large-cap stock and adjust the stock market by using the money supply to control the stock market. We should improve the system of protecting the rights and interests of small and medium-sized retail investors, constantly improve the investment varieties and corresponding systems in the securities market, and strengthen investor education in five aspects of policy proposals.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.2;F832.51

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