本文選題：貨幣供應量　切入點：中國股票價格　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】：近年來,中國股票市場的發(fā)展速度越來越快,在金融市場的影響力也越來越大。1995年股權分置改革實施以來股票市場的完善程度也在提高,但我國經(jīng)濟發(fā)展的實際情況與國外發(fā)達國家仍然存在差距。一個完善的股票市場,不僅可以帶動經(jīng)濟的發(fā)展,使充分就業(yè)下的國民收入得以實現(xiàn),而且可以提高一個國家在國際上的影響力,增強國家的話語權。這些優(yōu)點足以讓我們加大研究影響股票市場因素的力度。 我國調(diào)控經(jīng)濟的手段可以通過財政政策和貨幣政策,其中貨幣政策是主要的調(diào)控手段。在貨幣政策實施過程中,容易調(diào)節(jié)和控制的就是貨幣供應量這一指標,因此,國內(nèi)外就貨幣供應量對股票價格影響的研究引起了高度重視。學者們通過各種傳導途徑研究分析影響股票市場的機制,主要有利率傳導、投資組合效應、心理預期等途徑。綜合運用貨幣市場和股票市場的宏觀調(diào)控作用,對經(jīng)濟的發(fā)展有著重要的影響。 研究貨幣供應量對股票價格的影響對經(jīng)濟的發(fā)展有著重要的意義。在國外發(fā)達國家,股票市場是作為反映經(jīng)濟的晴雨表而發(fā)揮作用的,但我國市場經(jīng)濟仍然存在很多問題,不能使股票市場充分的發(fā)揮其自身的調(diào)控作用,研究貨幣供應量對股票價格的影響可以更好的了解二者之間的傳導機制,并調(diào)控經(jīng)濟以達到國家發(fā)展的目標。一般來說,央行改變貨幣政策使貨幣供應量發(fā)生變化,股票市場也會發(fā)生相應變動,股票市場的波動將會影響投資,進而引起經(jīng)濟的其他波動。所以在這樣一個相互關聯(lián)的鏈條中,研究貨幣供應量在何種程度上影響股票市場是十分必要的。本文正是期望通過解決貨幣供應量對股票價格的影響這一問題,可以為國家提出相關貨幣政策、促進經(jīng)濟發(fā)展提供有用的參考建議。 本文首先敘述了股票價格影響的理論基礎。討論貨幣供應量與股票價格的相互關系。在對貨幣供應量與股票市場進行了定性分析之后,本文將上證指數(shù)、貨幣供應量、工業(yè)增加值、利率、通貨膨脹率等指標結(jié)合,利用SVAR模型對變量之間的相互作用進行實證分析,著重對脈沖響應的結(jié)果進行討論。根據(jù)本文收集的較為全面的、具有時效意義的數(shù)據(jù),對貨幣供應量進行描述性統(tǒng)計分析,然后建立計量經(jīng)濟模型,從貨幣供應量對中國股票價格影響的角度進行研究,將上證指數(shù),貨幣供應量,利率,工業(yè)增加值,通貨膨脹率作為經(jīng)濟變量納入SVAR模型,研究貨幣供應量與股票價格長期的互動關系和相互的影響作用。實證研究表明當本期給貨幣供應量M2一個正的沖擊后,即增加廣義貨幣供給量以后,上證指數(shù)開始上升,在達到最高點之后下降,最后趨于平穩(wěn)狀態(tài)。表明了股票價格在受到廣義貨幣供給量增加的沖擊后,經(jīng)過一系列的傳導機制傳遞給股票市場,給股票市場帶來波動,股票價格發(fā)生變動,而后這一沖擊又逐漸減弱并趨于平穩(wěn)。在總結(jié)出上述結(jié)論之后提出可供參考的政策建議。 本文的創(chuàng)新點在于采用時效性更強的數(shù)據(jù),將上證指數(shù),貨幣供應量,工業(yè)增加值,通貨膨脹率,利率等指標均納入模型,并且對數(shù)據(jù)采取對數(shù)處理,使數(shù)據(jù)的適應性更強。在模型的選取方面,本文將要納入模型的變量不僅有外生變量,也有內(nèi)生變量；不僅考慮一個當期內(nèi)生變量對其他內(nèi)生變量滯后值的影響,也考慮了當期內(nèi)生變量之間的影響。本文正是在這樣的背景下,采用了更適合的SVAR模型。 本文的局限性主要在于對問題進行的是靜態(tài)分析,沒有考慮到納入模型的各個變量對股票價格的影響順序。實際上,在貨幣供應量對中國股票價格的影響過程中,各個變量起的作用是有先后的,但本文沒有進行動態(tài)分析,而是將所有變量一同納入模型分析。
[Abstract]:In recent years, China stock market develops faster and faster, in the financial markets increasingly influential.1995 share reform since the implementation of the degree of perfection of the stock market is also increasing, but the economic development of our country's actual situation with foreign developed countries there is still a gap. A perfect stock market, not only can drive the development of economy, the full employment of the national income can be achieved, but also can improve a country's influence in the international arena, enhance the right to speak of the state. These advantages enable us to increase the effect of stock market factors, efforts.
China's regulation of the economy by means of fiscal policy and monetary policy, the monetary policy is the primary means of regulation. In the implementation of monetary policy in the process, easy to adjust and control the money supply index is, therefore, domestic money supply of the stock price influence mechanism and attracted great attention. Scholars have analyzed the impact of the stock market through the study of various pathways, the main interest rate, portfolio effect, psychological expectations and other ways. The macro-control role of comprehensive use of the monetary market and the stock market, has an important influence on the development of the economy.
There is important to study on the influence of money supply to the stock price on the economic development. In developed countries, the stock market is a barometer of the economy as reflected and play the role of the market economy in our country, but there are still many problems, the stock market can not make full play the role of its own, impact on money supply the amount of stock price can better understand the transmission mechanism between the two, and the regulation of the economy to achieve national development goals. In general, the central bank monetary policy changes to the money supply change, the stock market will change accordingly, the fluctuation will affect the investment in the stock market, and cause other economic fluctuation. So in such a correlative study of money supply chain, the impact of the stock market to what extent is very necessary. This article is expected through the solution The issue of the influence of money supply on stock price can provide useful reference for the country to put forward relevant monetary policy and promote economic development.
This paper first describes the theoretical basis of the influence of stock price. Discuss the relationship between money supply and stock price. After the money supply and stock market were analyzed in this paper, the Shanghai index, money supply, industrial added value, interest rate, inflation rate and other indicators combined, the empirical analysis of interaction variables between using the SVAR model, focusing on the impulse response results were discussed. According to the collection of more comprehensive, with aging meaningful data, descriptive statistical analysis of the money supply, and then establish the econometric model, conducts the research from the influence of money supply on Chinese stock price perspective, the index of Shanghai Stock Exchange, money supply the amount, interest rate, industrial added value, the rate of inflation as economic variables into the SVAR model, the study of money supply and stock prices and long-term relationship Effect of each other. The empirical research shows that when the money supply M2 to a positive impact, after which increase the broad money supply, the Shanghai index began to rise, decline after reaching the highest point, finally tends to a steady state. That stock price under generalized money supply increased after impact after passing a series of transmission mechanism for the stock market to the stock market volatility, stock price changes, and the impact was gradually weakened and stabilized. After summarize the above conclusions and puts forward some policy suggestions.
The innovation of this paper lies in the timeliness of data will be stronger, the Shanghai index, money supply, industrial added value, inflation rate, interest rate and other indicators were included in the model, and the data processing using the logarithmic data, and adaptable. In the selection of the model, this paper will be included in the model variables not only exogenous variables also, there are endogenous variables; not only consider a current endogenous variables impact on other endogenous variables lagged value, considering the current effects of endogenous variables. This article is in this context, the SVAR model is more suitable.
The main limitation of this paper is on the problem of the static analysis, without considering the influence order of each variable into the model of stock price. In fact, in the money supply process of Chinese stock prices, the role of each variable is successively, but this is not dynamic, but all variable into the model.

【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;F822.0;F832.51

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本文編號：1592818