本文關(guān)鍵詞： 同業(yè)拆借利率 存貸款利率 銀行股價(jià)　出處：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：面對(duì)2008年以來(lái)國(guó)內(nèi)經(jīng)濟(jì)高增長(zhǎng)中出現(xiàn)的通貨膨脹、房?jī)r(jià)持續(xù)上漲、資本收益下降等復(fù)雜的經(jīng)濟(jì)形勢(shì),我國(guó)央行在三年內(nèi)對(duì)包括存貸款利率在內(nèi)的多種利率頻繁進(jìn)行調(diào)整,其中對(duì)一年期存貸款利率的調(diào)整高達(dá)十次。同時(shí)隨著我國(guó)利率市場(chǎng)化水平的不斷提高,我國(guó)貨幣市場(chǎng)在金融市場(chǎng)中的作用也越來(lái)越大,貨幣市場(chǎng)利率對(duì)股市的影響也越來(lái)越明顯。 利率調(diào)整①對(duì)股價(jià)波動(dòng)的影響一直是國(guó)內(nèi)外學(xué)者研究的熱點(diǎn),然而利率調(diào)整對(duì)銀行股價(jià)波動(dòng)影響的研究較少。商業(yè)銀行作為主要從事存貸款業(yè)務(wù)、在金融市場(chǎng)中發(fā)揮金融樞紐職能的金融中介機(jī)構(gòu),其股價(jià)波動(dòng)和自身經(jīng)營(yíng)對(duì)利率的調(diào)整都非常敏感。銀行股價(jià)的穩(wěn)定關(guān)系到商業(yè)銀行的持續(xù)融資以及整個(gè)資本市場(chǎng)的穩(wěn)定,商業(yè)銀行經(jīng)營(yíng)的穩(wěn)定更是關(guān)系到整個(gè)經(jīng)濟(jì)的正常運(yùn)行,所以利率政策的調(diào)整不僅需要考慮經(jīng)濟(jì)的運(yùn)行狀況,還需要考慮銀行股價(jià)的波動(dòng)和商業(yè)銀行正常的經(jīng)營(yíng)�；诖艘饬x,本文結(jié)合利率調(diào)整對(duì)股價(jià)波動(dòng)影響的相關(guān)理論,運(yùn)用計(jì)量分析法、事件分析法等方法來(lái)分析利率調(diào)整對(duì)銀行股價(jià)波動(dòng)的影響。 本文首先從理論上分析了利率與股價(jià)間的關(guān)系,以及利率調(diào)整對(duì)股價(jià)產(chǎn)生的影響；其次,通過(guò)用單位根檢驗(yàn)、協(xié)整檢驗(yàn)以及葛蘭杰因果檢驗(yàn)等計(jì)量分析法實(shí)證研究了市場(chǎng)利率與銀行股價(jià)間的關(guān)系,驗(yàn)證了兩者的長(zhǎng)期負(fù)相關(guān)關(guān)系,并得出市場(chǎng)利率是銀行股價(jià)的單向葛蘭杰原因的結(jié)論；再次,通過(guò)事件分析法和對(duì)比分析法研究了管制利率的調(diào)整對(duì)銀行股價(jià)的影響,驗(yàn)證了銀行股價(jià)受到利率調(diào)整的影響要比市場(chǎng)總體水平更為敏感,并得出在短期內(nèi)管制利率的調(diào)整對(duì)股價(jià)的影響作用不顯著的結(jié)論；最后結(jié)合我國(guó)實(shí)際情況對(duì)實(shí)證結(jié)論進(jìn)行分析,并對(duì)管理當(dāng)局和投資者分別給出了相應(yīng)的政策建議。
[Abstract]:In the face of the complicated economic situation, such as inflation in the high growth of domestic economy since 2008, the continuous rise in house prices and the decline in capital gains, the central bank has frequently adjusted various interest rates, including deposit and loan rates, in the past three years. Among them, the adjustment of one-year deposit and loan rates is as high as 10 times. At the same time, with the continuous improvement of the level of marketization of interest rates in China, the role of our money market in the financial market is becoming more and more important. The impact of money market interest rates on the stock market is also becoming more and more obvious. The influence of interest rate adjustment on stock price fluctuation has been a hot topic of domestic and foreign scholars. However, the impact of interest rate adjustment on stock price fluctuation of banks is less. Commercial banks are mainly engaged in deposit and loan business. Financial intermediaries that play the role of financial hub in the financial market are very sensitive to the adjustment of interest rate. The stability of bank stock price is related to the continuous financing of commercial banks and the stability of the capital market as a whole. The stability of the operation of commercial banks is also related to the normal operation of the whole economy. Therefore, the adjustment of interest rate policy needs not only to consider the operation of the economy, but also to consider the fluctuation of bank stock prices and the normal operation of commercial banks. Based on the theory of the influence of interest rate adjustment on stock price volatility, this paper analyzes the effect of interest rate adjustment on bank stock price volatility by means of econometric analysis and event analysis. In this paper, the relationship between interest rate and stock price is analyzed theoretically, and the influence of interest rate adjustment on stock price is analyzed. The co-integration test and Granger causality test empirically study the relationship between market interest rate and bank stock price, verify the long-term negative correlation between them, and draw the conclusion that market interest rate is the one-way Granger cause of bank stock price. Thirdly, by means of event analysis and contrast analysis, this paper studies the effect of regulating interest rate adjustment on bank stock price, and verifies that bank stock price is more sensitive to the influence of interest rate adjustment than the overall market level. The conclusion that the adjustment of regulated interest rate has no significant effect on stock price in the short term is concluded. Finally, the empirical conclusions are analyzed in combination with the actual situation in China, and the corresponding policy recommendations are given to the management authorities and investors respectively.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.33;F832.51;F224

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