【摘要】：本論文主要研究內(nèi)容是：我國貨幣政策的調(diào)整如何傳導(dǎo)到股票市場，以及對股票市場價格產(chǎn)生怎樣的影響。文章在國內(nèi)外研究基礎(chǔ)上，進(jìn)行了理論闡述和實證分析。全文要解決的問題主要有以下兩個：一是從長期看貨幣政策是否影響股票市場的價格行為，這其中包括不同貨幣政策指標(biāo)對股市影響有什么不同和不同證券市場對貨幣政策反應(yīng)有什么不同；二是從短期分析貨幣政策對我國股票市場是否有宣告效應(yīng)。根據(jù)要研究的主要內(nèi)容，將論文分為五大部分，包括：引言、第一章貨幣政策對股票價格影響的相關(guān)理論及現(xiàn)狀分析、第二章貨幣政策對股票價長期格影響的實證分析、第三章貨幣政策對股票價格短期影響的實證分析和第四章結(jié)論與對策建議。 論文引言以及第一章是對所要研究問題的概述，主要是理論上的概述以及我國貨幣政策對股價影響現(xiàn)狀分析。論文第二章通過對我國1998年到2011年貨幣政策變量、股票市場變量以及主要的宏觀經(jīng)濟(jì)等相關(guān)變量進(jìn)行實證研究，進(jìn)而得出我國貨幣政策變動和股票市場價格之間的關(guān)系。在這一部分中，我們檢驗變量之間存在長期協(xié)整關(guān)系后，運(yùn)用國內(nèi)外學(xué)者最常采用的經(jīng)典研究方法——向量誤差修正模型，將代表貨幣政策的指標(biāo)廣義貨幣供給量、7天同業(yè)拆借利率及貸款余額看作內(nèi)生變量置于模型中，研究它們的變動對股價的影響。在將貨幣政策作為內(nèi)生變量研究之后，第三章中，我們再將其作為外生變量，用事件研究方法來分析它的變動對股市的影響，用這一方法研究時我們選取的樣本是2005年到2011年我國中央銀行采取的離散型的貨幣政策，包括存貸款利率的調(diào)整和法定存款準(zhǔn)備金率的調(diào)整。通過第三章的分析，我們發(fā)現(xiàn)，，我國股票市場存在貨幣政策的短期宣告效應(yīng)，同時也存在貨幣政策信息提前泄露的問題，但這兩種現(xiàn)象均不是普遍存在的，說明我國股票市場機(jī)制尚不完善。文章最后一章給出研究的主要結(jié)論，以及根據(jù)所得出的結(jié)論提出一些對策建議。
[Abstract]:The main contents of this thesis are: how the adjustment of China's monetary policy is transmitted to the stock market and how to influence the stock market price. On the basis of domestic and foreign research, this paper makes a theoretical and empirical analysis. The main problems to be solved in this paper are as follows: first, in the long run, whether monetary policy affects the price behavior of the stock market, This includes how different monetary policy indicators affect the stock market and how different securities markets react to monetary policy; Second, from the short-term analysis of monetary policy on the stock market in China whether there is a declaratory effect. According to the main content to be studied, the thesis is divided into five parts, including: introduction, the first chapter of monetary policy on the stock price analysis of the relevant theory and current situation, chapter II monetary policy on the stock price long-term impact of empirical analysis. Chapter three is the empirical analysis of the short-term influence of monetary policy on stock price and the conclusion and countermeasures. The introduction of the paper and the first chapter is an overview of the problems to be studied, mainly the theoretical overview and the analysis of the current situation of monetary policy's influence on the stock price in China. In the second chapter, we make an empirical study on the monetary policy variables, stock market variables and the main macroeconomic variables from 1998 to 2011, and then get the relationship between the monetary policy changes and the stock market prices in China. In this part, after we test the long-term cointegration relationship between variables, we use the vector error correction model, which is the classical research method most commonly used by domestic and foreign scholars, to represent the broad money supply index of monetary policy. The 7-day interbank offered rate and loan balance are put into the model as endogenous variables to study the effect of their changes on stock price. After the study of monetary policy as an endogenous variable, in the third chapter, we use it as an exogenous variable to analyze the impact of its changes on the stock market with the method of event study. When we use this method, we choose a sample of discrete monetary policy adopted by the Central Bank of China from 2005 to 2011, including the adjustment of deposit and loan interest rate and the adjustment of Statutory deposit reserve ratio. Through the analysis of the third chapter, we find that the short-term announcement effect of monetary policy exists in the stock market of our country, and at the same time, there is the problem of information leakage of monetary policy in advance, but these two kinds of phenomena are not universal. Explain our country stock market mechanism is not perfect. In the last chapter, the main conclusions are given, and some suggestions are put forward.
【學(xué)位授予單位】：吉林財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F822.0

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