本文關鍵詞： 貨幣政策 資產(chǎn)價格 SVAR模型　出處：《東北財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：隨著金融結構與金融體系的日趨完善,資本市場規(guī)模也正逐漸擴大,在以股票與房地產(chǎn)為代表的資本資產(chǎn)對金融體系的影響也就逐漸加深。世界金融危機的幾次爆發(fā)啟示我們,資產(chǎn)價格的異常波動與資產(chǎn)價格泡沫的急劇膨脹對整個金融體系造成了嚴重的打擊,對實體經(jīng)濟的穩(wěn)定發(fā)展產(chǎn)生深遠的影響。 目前,我國的宏觀經(jīng)濟態(tài)勢已是比較嚴峻,股票價格指數(shù)大幅波動,房地產(chǎn)市場非理性繁榮,房價指數(shù)持續(xù)上漲,對我國穩(wěn)定市場經(jīng)濟的政策制定提出了挑戰(zhàn)。因此對資產(chǎn)價格與貨幣政策之間是否存在相互作用關系,央行制定貨幣政策來穩(wěn)定我國金融體系與經(jīng)濟的平穩(wěn)發(fā)展時是否要考慮資本市場的波動,將成為本文探討的重點。 本文通過理論與實證兩個方面來分析我國的資產(chǎn)價格與貨幣政策的相互關系。在理論分析中,從利率、貨幣供應量、銀行信貸等多方面具體探討貨幣政策與股票、房地產(chǎn)的理論關系。在實證分析中,首先通過協(xié)整檢驗、Granger因果檢驗對構建模型的各變量之間的均衡關系作初步檢驗,再應用結構向量自回歸(SVAR),分別對股票、房地產(chǎn)與貨幣政策的相關性構建模型進行研究,最后,結合脈沖響應函數(shù)、方差分解更加具體直觀的探究股票、房地產(chǎn)與利率、貨幣供應量之間的相互沖擊反應與相互貢獻程度。 通過理論分析與實證分析,本文得出以下的結論：第一,我國資產(chǎn)價格與貨幣政策(利率與貨幣供應量)、宏觀經(jīng)濟變量(消費、物價與總產(chǎn)出)存在協(xié)整關系,說明各變量相互影響。第二,貨幣政策對我國資產(chǎn)價格的調(diào)控效果不十分明顯,但貨幣政策對房價的調(diào)控相對股價更具有穩(wěn)定與持久性。第三,我國貨幣政策對資產(chǎn)價格的波動做出了一定反應。由脈沖響應與方差分解的結果來看,資產(chǎn)價格對貨幣政策影響僅次于物價對貨幣政策的貢獻度,資產(chǎn)價格對貨幣政策的制定雖起著間接性作用,但已受到關注。第四,資產(chǎn)價格對我國消費與總產(chǎn)出有比較明顯的沖擊作用,且資產(chǎn)價格是影響物價的主要原因。因此中央銀行可以擴寬政策的調(diào)控寬度,改善貨幣政策操作的均衡性,將資產(chǎn)價格納入到貨幣政策操作框架之中,來穩(wěn)定資產(chǎn)價格進而使宏觀經(jīng)濟得以平穩(wěn)發(fā)展。
[Abstract]:With the improvement of financial structure and financial system, the scale of capital market is gradually expanding. In the stock and real estate as the representative of the impact of capital assets on the financial system will gradually deepen. The outbreak of the world financial crisis has inspired us. The abnormal fluctuations of asset prices and the sharp expansion of asset price bubbles have caused a serious blow to the entire financial system and have a far-reaching impact on the stable development of the real economy. At present, China's macroeconomic situation has been relatively severe, the stock price index fluctuated substantially, the real estate market is irrational prosperity, the housing price index continues to rise. It challenges the policy making to stabilize the market economy in China. Therefore, there is an interactive relationship between asset price and monetary policy. Whether the central bank should consider the fluctuation of capital market when making monetary policy to stabilize the steady development of our financial system and economy will become the focus of this paper. This paper analyzes the relationship between asset price and monetary policy in China through both theoretical and empirical aspects. In the theoretical analysis, from the interest rate, money supply. Bank credit and other aspects of the specific discussion of monetary policy and stock, real estate theoretical relationship. In the empirical analysis, the first pass cointegration test. The Granger causality test is used to test the equilibrium relationship among the variables of the model, and then the structural vector autoregressive method is applied to the stock. Finally, combining impulse response function, variance decomposition is more specific and intuitive to explore the stock, real estate and interest rates. The degree of mutual impact reaction and mutual contribution between money supply. Through theoretical analysis and empirical analysis, this paper draws the following conclusions: first, China's asset prices and monetary policy (interest rate and money supply), macroeconomic variables (consumption). There is a cointegration relationship between price and total output, which shows that the variables affect each other. Secondly, the effect of monetary policy on asset prices in China is not very obvious. But the regulation of monetary policy is more stable and persistent than the stock price. Thirdly, China's monetary policy has made a certain response to the fluctuation of asset prices. From the results of impulse response and variance decomposition. The influence of asset price on monetary policy is second only to the contribution of price to monetary policy. Although asset price plays an indirect role in the formulation of monetary policy, it has been paid close attention to. 4th. Asset price has obvious impact on consumption and total output of our country, and asset price is the main reason of influencing price. So the central bank can widen the control width of policy. By improving the balance of monetary policy operation and bringing asset price into the framework of monetary policy operation, we can stabilize the asset price and make the macro-economy develop smoothly.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51;F822.0;F293.3

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