本文選題：貨幣政策 + 股票市場�。� 參考：《湘潭大學》2013年碩士論文

【摘要】：股票市場的波動一直是學界與社會重點關(guān)注的話題，有關(guān)貨幣政策和股票市場的關(guān)系也長期被國內(nèi)外專家學者所關(guān)注，但在貨幣政策對股票市場的非對稱性影響卻研究較少。傳統(tǒng)的貨幣政策非對稱中提出貨幣政策在經(jīng)濟繁榮期和衰退期有著明顯的差異，本文致力于從貨幣政策非對稱性入手，在貨幣政策影響股票市場的傳導渠道的理論上尋找貨幣政策在牛熊市對股票市場影響產(chǎn)生差異性的機理，進而參考中國股市常見的三牛三熊分段法，基于斷點檢驗等統(tǒng)計學技術(shù)，以股改后時間最長，波動最大的牛熊市為研究樣本，繼而依靠向量自回歸模型，運用ADF檢驗，，格蘭杰因果，脈沖響應(yīng)和方差分解等技術(shù)，對不同市場態(tài)勢下貨幣政策對股票市場的差異化影響進行研究。 在利用中國股市的數(shù)據(jù)區(qū)分牛熊市的前提下，將股票市場與貨幣政策，宏觀經(jīng)濟放在一個系統(tǒng)內(nèi)進行實證研究，以研究三者之間的動態(tài)關(guān)系，繼而對牛熊市下貨幣政策所產(chǎn)生的影響進行比較分析。實證結(jié)果表明，貨幣政策在不同的股票市場態(tài)勢下產(chǎn)生的影響存在顯著的非對稱性，貨幣政策整體上在熊市期與股票市場關(guān)系更為緊密，具體表現(xiàn)在各變量在熊市期與股票市場存在多重因果關(guān)系，且貨幣政策對股票市場所產(chǎn)生的效果穩(wěn)定，相較之牛市期間只有貨幣供應(yīng)量一個政策變量能對股票市場產(chǎn)生穩(wěn)定的沖擊響應(yīng)，且在格蘭杰檢驗中的因果數(shù)量少于熊市樣本。 具體觀察各個不同的貨幣政策變量，以貨幣供應(yīng)量為中介目標的數(shù)量型工具在牛市中效果較為顯著，優(yōu)于熊市期表現(xiàn)，但利率和信貸工具均在熊市期表現(xiàn)優(yōu)于牛市期，呈現(xiàn)穩(wěn)定的方向，其中利率呈現(xiàn)較強的沖擊力度，而這兩個政策工具在牛市期間表現(xiàn)偏離理論預(yù)期，相對無效，繼而本文從貨幣政策影響股票市場的非對稱性理論對這些現(xiàn)象進行比較分析。此外值得注意的是，由于牛熊市期股票市場在宏觀經(jīng)濟中所處地位不同，在牛市期間股票市場對宏觀經(jīng)濟的影響要強于熊市期，這就說明貨幣政策若以穩(wěn)定股市為操作目標，在牛市期的貨幣供應(yīng)量操作可能會引起股票市場和宏觀經(jīng)濟的同時波動，而在熊市期間股市對宏觀經(jīng)濟的影響則較弱。最后，不僅貨幣政策應(yīng)當區(qū)分當前股市態(tài)勢做出適當調(diào)整，避免股票市場和實體經(jīng)濟的過度波動，股票市場自身也應(yīng)當完善自身，既要良好的實現(xiàn)本身資源配置和信號傳遞的功能，也要成為貨幣政策的有效渠道，為提高貨幣政策有效性做出貢獻。
[Abstract]:The fluctuation of stock market has always been the focus of attention of scholars and society. The relationship between monetary policy and stock market has long been concerned by experts and scholars at home and abroad, but the asymmetric impact of monetary policy on stock market is less studied. In the traditional monetary policy asymmetry, it is pointed out that the monetary policy has obvious differences in the boom period and the recession period. This paper focuses on the asymmetry of the monetary policy. Based on the theory of monetary policy influencing the transmission channel of stock market, this paper tries to find out the mechanism of the difference between monetary policy and stock market in bull bear market, and then refers to the common section method of "Sanniu Tri-Bear" in Chinese stock market. Based on breakpoint test and other statistical techniques, the bull bear market, which is the longest and most volatile after the stock reform, is used as the research sample, and then it relies on the vector autoregressive model, using ADF test, Granger causality, impulse response and variance decomposition techniques, etc. This paper studies the differential influence of monetary policy on stock market under different market situations. On the premise of distinguishing bull market from bear market by using the data of Chinese stock market, we put stock market and monetary policy into one system to carry out empirical research. In order to study the dynamic relationship between the three, and then comparative analysis of the impact of monetary policy under the bull bear market. The empirical results show that there are significant asymmetries in the influence of monetary policy in different stock market situations, and the monetary policy is more closely related to the stock market in the bear market period as a whole. The concrete manifestation is that each variable has multiple causality relation with stock market in bear market period, and the effect of monetary policy on stock market is stable. In comparison with the bull market, only one policy variable of money supply can produce a stable shock response to the stock market, and the number of causality in the Granger test is less than that of the bear market sample. The quantitative tool with money supply as the intermediate target is more effective in the bull market than in the bear market, but the interest rate and credit instrument are better than the bull market in the bear market period, showing a stable direction. The interest rate shows a strong impact, and these two policy tools deviate from the theoretical expectations during the bull market, which is relatively ineffective. Then this paper makes a comparative analysis of these phenomena from the asymmetric theory of monetary policy affecting the stock market. In addition, it is worth noting that because of the different position of the bull bear market stock market in the macro economy, during the bull market period the stock market has a stronger impact on the macro economy than during the bear market period. This shows that monetary policy should aim at stabilizing the stock market. Money supply operations during bull periods may cause volatility in both the stock market and the macro economy, while the stock market has a weaker impact on the macro economy during bear markets. Finally, not only should monetary policy distinguish between the current stock market situation and make appropriate adjustments to avoid excessive fluctuations in the stock market and the real economy, but also the stock market itself should improve itself. It is necessary not only to realize the function of resource allocation and signal transmission, but also to become an effective channel of monetary policy and to contribute to the effectiveness of monetary policy.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F831.51;F822.0

【參考文獻】

相關(guān)期刊論文 前10條

1 何慧剛;股票市場與貨幣政策的互動效應(yīng)分析[J];商業(yè)研究;2005年13期

2 段進;曾令華;朱靜平;;貨幣政策應(yīng)對股票價格波動的策略研究[J];財經(jīng)理論與實踐;2007年02期

3 周佰成;朱孝楨;原燕東;;中國貨幣政策對股票價格的影響——基于FAVAR模型的分析[J];當代經(jīng)濟研究;2012年08期

4 謝啟超;;基于SVAR模型的中國貨幣政策對資產(chǎn)價格傳導的非對稱性研究[J];廣東金融學院學報;2011年01期

5 鄭鳴;倪玉娟;劉林;;我國貨幣政策對股票價格的影響——基于Markov區(qū)制轉(zhuǎn)換VAR模型的實證分析[J];經(jīng)濟管理;2010年11期

6 陳曉莉;我國股票價格與貨幣政策關(guān)系的實證分析[J];經(jīng)濟理論與經(jīng)濟管理;2003年12期

7 易綱,王召;貨幣政策與金融資產(chǎn)價格[J];經(jīng)濟研究;2002年03期

8 孫華妤,馬躍;中國貨幣政策與股票市場的關(guān)系[J];經(jīng)濟研究;2003年07期

9 錢小安;資產(chǎn)價格變化對貨幣政策的影響[J];經(jīng)濟研究;1998年01期

10 謝平;新世紀中國貨幣政策的挑戰(zhàn)[J];金融研究;2000年01期

本文編號：1996624