本文選題：貨幣政策傳導機制　切入點：股票市場　出處：《安徽財經大學》2016年碩士論文

【摘要】：隨著全球資本市場的發(fā)展,貨幣政策傳導的資產價格渠道備受各方關注。作為我國資本市場的重要組成部分,股票市場現(xiàn)已成為我國重要的投融資渠道,對實體經濟的影響也日益明顯。因而文章主要針對我國股票市場傳導貨幣政策來展開研究。貨幣政策傳導機制的有效性往往決定了貨幣政策預期目標的達成。因而基于貨幣政策傳導機制理論,深入研究貨幣政策的股票市場傳導效應對于貨幣當局制定并實施貨幣政策、微觀經濟主體調整其經濟行為和規(guī)范股票市場具有重要的理論意義和現(xiàn)實意義。在貨幣政策的股票市場傳導的過程中,貨幣當局制定和實施貨幣政策,通過影響中介目標貨幣供應量和利率改變股票價格,這是傳導的第一環(huán)節(jié);股票價格的變化對消費和投資產生影響,最終影響整個實體經濟,這是傳導的第二環(huán)節(jié)。因此,文章在理論和實證研究上均從貨幣政策到股票市場和股票市場到實體經濟這兩個環(huán)節(jié)來研究股票市場傳導貨幣政策的有效性。通過對緊密聯(lián)系的兩個傳導環(huán)節(jié)進行理論和實證的研究而非只關注某一環(huán)節(jié)能系統(tǒng)而清晰地認識貨幣政策的股票市場傳導機制及其有效性,這也是文章的創(chuàng)新之處。理論上,貨幣供應量和利率通過各種渠道效應對股票價格產生影響,進而股票價格變動通過托賓Q效應與資產負債表效應作用于投資,通過財富效應與流動性效應作用于消費。雖然我國股票市場規(guī)模近年來有所擴大,但由于微觀主體、金融監(jiān)管和股票市場自身等方面因素的限制,貨幣政策的股票市場傳導效應并不顯著。為進一步驗證我國貨幣政策的股票市場傳導的有效性,文章基于2005-2015年月度數(shù)據(jù)建立VAR模型,運用計量分析方法實證得出以下結論:在第一環(huán)節(jié)中,股票價格對于貨幣供應量變化產生正效應,對于利率的變化產生負效應,即貨幣政策調整能通過中介目標影響股票價格,但這種影響較為微弱;在第二環(huán)節(jié)中,雖然股票價格上漲能引發(fā)物價水平的上漲,但股票價格與投資、消費存在負相關關系,對經濟增長也沒有穩(wěn)定的正向影響。這說明股票價格到實體經濟的傳導由于托賓Q效應、資產負債表效應、財富效應和流動性效應不顯著而受到阻滯。實證所選用的變量如利率和經濟增長由于諸多因素只能選用七天同業(yè)拆借利率和工業(yè)增加值為替代變量,一定程度上影響實證結果,這也是文章不足之處。在理論和實證研究的基礎上,文章結合我國的現(xiàn)實國情提出了一系列政策建議,包括擴大股票市場規(guī)模并完善投資者結構;加快推進國有企業(yè)改革,增加對中小企業(yè)的信貸支持;調節(jié)收入分配結構,完善社會保障制度;加強金融監(jiān)管,規(guī)范股票市場運行,建立貨幣市場和股票市場的聯(lián)結機制。
[Abstract]:With the development of the global capital market, the asset price channel of monetary policy transmission has attracted much attention. As an important part of China's capital market, the stock market has become an important channel of investment and financing in China. The influence on the real economy is becoming more and more obvious. Therefore, this paper mainly studies the transmission of monetary policy in China's stock market. The effectiveness of the transmission mechanism of monetary policy often determines the achievement of the expected target of monetary policy. And based on the theory of monetary policy transmission mechanism, Deeply study the stock market conduction effect of monetary policy on the monetary authorities to formulate and implement monetary policy, It is of great theoretical and practical significance for microeconomic subjects to adjust their economic behavior and regulate the stock market. In the course of the transmission of monetary policy, the monetary authority formulates and implements monetary policy. Changing the stock price by influencing the intermediate target money supply and interest rate is the first link in the transmission; the change in the stock price has an impact on consumption and investment, and ultimately affects the real economy as a whole, which is the second link in the transmission. This paper studies the effectiveness of conducting monetary policy in stock market from monetary policy to stock market and stock market to real economy both theoretically and empirically. Theoretical and empirical studies, rather than focusing on a particular link, provide a systematic and clear understanding of the stock market transmission mechanism of monetary policy and its effectiveness. In theory, money supply and interest rate affect stock price through various channel effects, and then stock price changes affect investment through Tobin Q effect and balance sheet effect. Although the scale of China's stock market has expanded in recent years, but due to the microcosmic factors such as the main body, financial supervision and stock market itself, The stock market transmission effect of monetary policy is not significant. In order to further verify the effectiveness of the stock market transmission of monetary policy in China, this paper establishes a VAR model based on monthly data from 2005 to 2015. In the first link, stock price has a positive effect on the change of money supply and a negative effect on the change of interest rate, that is, the adjustment of monetary policy can influence the stock price through intermediary target. In the second link, although rising stock prices can lead to price increases, there is a negative correlation between stock prices and investment and consumption. There is also no stable positive impact on economic growth. This shows that the transmission of stock prices to the real economy is due to the Tobin Q effect, the balance sheet effect, The wealth effect and the liquidity effect are not significant and the variables chosen in the empirical study, such as interest rate and economic growth, can only be replaced by the seven-day interbank offered rate and industrial added value because of many factors, which to some extent affect the empirical results. On the basis of theoretical and empirical research, this paper puts forward a series of policy suggestions, including enlarging the scale of stock market and perfecting the structure of investors, speeding up the reform of state-owned enterprises. We should increase credit support for small and medium-sized enterprises, adjust the income distribution structure, perfect the social security system, strengthen financial supervision, standardize the operation of the stock market, and establish a linkage mechanism between the money market and the stock market.
【學位授予單位】：安徽財經大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F822.0;F832.51

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相關期刊論文 前10條

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本文編號：1665294