本文選題：貨幣政策 + 股票指數(shù)　； 參考：《長(zhǎng)沙理工大學(xué)》2012年碩士論文

【摘要】：自從實(shí)行市場(chǎng)經(jīng)濟(jì)體制改革以來(lái)，我國(guó)實(shí)體經(jīng)濟(jì)在市場(chǎng)經(jīng)濟(jì)的帶動(dòng)下取得了巨大的成就，股票市場(chǎng)作為經(jīng)濟(jì)發(fā)展的重要組成部分，，其發(fā)展和完善也正逐步體現(xiàn)其價(jià)值。我國(guó)的貨幣政策對(duì)實(shí)體經(jīng)濟(jì)產(chǎn)生影響的同時(shí)，對(duì)股票市場(chǎng)也帶來(lái)了一定影響。在世界范圍內(nèi)出現(xiàn)的多次利用貨幣政策來(lái)調(diào)整股票市場(chǎng)的案例，說(shuō)明貨幣政策對(duì)股票市場(chǎng)產(chǎn)生著一定作用。因此，貨幣政策對(duì)股票市場(chǎng)的影響研究已經(jīng)成為了一個(gè)十分熱門(mén)的話題。長(zhǎng)期以來(lái)，我國(guó)股票市場(chǎng)也在探索中不斷改革前進(jìn)，但由于一定的原因一直被予以“政策市”的名號(hào)。為了解決不利于我國(guó)股票市場(chǎng)發(fā)展的歷史遺留問(wèn)題，2005年5月，中國(guó)開(kāi)始實(shí)行股權(quán)分置改革，此舉對(duì)中國(guó)股票市場(chǎng)具有跨時(shí)代的意義，是中國(guó)股票市場(chǎng)發(fā)展的分水嶺。 本文通過(guò)實(shí)證研究分析了貨幣政策調(diào)整對(duì)股票市場(chǎng)的短期和長(zhǎng)期影響。在分析短期影響時(shí)，采用相關(guān)性分析，發(fā)現(xiàn)利率和存款準(zhǔn)備金率對(duì)股票市場(chǎng)的影響比較微弱。在分析長(zhǎng)期影響時(shí)，為了研究貨幣政策對(duì)股權(quán)分置改革前后股票市場(chǎng)的不同影響，本文以股權(quán)分置改革為臨界點(diǎn)，選取了2001年1月-2005年4月和2005年5月-2011年9月兩個(gè)時(shí)間段的樣本數(shù)據(jù)，采用Granger因果分析、結(jié)構(gòu)向量自回歸模型（SVAR）、脈沖響應(yīng)分析和方差分解的方法，發(fā)現(xiàn)貨幣政策在長(zhǎng)期內(nèi)對(duì)股票市場(chǎng)有一定的影響，并且在股權(quán)分置改革前對(duì)股票市場(chǎng)的影響要大于改革之后。這說(shuō)明了我國(guó)股票市場(chǎng)的政策性因素有一定程度的減弱，“政策市”影響正逐步減小，市場(chǎng)的調(diào)節(jié)能力得到了進(jìn)一步加強(qiáng)。在此基礎(chǔ)上，本文對(duì)貨幣政策當(dāng)局和投資者提出了相關(guān)的政策建議。
[Abstract]:Since the reform of market economy system, the real economy of our country has made great achievements under the impetus of market economy. As an important part of economic development, the development and perfection of stock market is gradually embodying its value. China's monetary policy has an impact on the real economy, but also on the stock market. Many cases of using monetary policy to adjust stock market in the world show that monetary policy plays a certain role in stock market. Therefore, the impact of monetary policy on the stock market has become a very hot topic. For a long time, China's stock market has been under the name of "policy market". In order to solve the historical problems which are not conducive to the development of China's stock market, China began to implement the reform of split share structure in May 2005, which has cross-epochal significance for China's stock market and is a watershed in the development of China's stock market. This paper analyzes the short-and long-term effects of monetary policy adjustment on stock market. In the analysis of short-term impact, the correlation analysis is used to find that interest rate and reserve ratio have weak influence on stock market. In order to study the different effects of monetary policy on the stock market before and after the split share structure reform, this paper takes the split share structure reform as the critical point. The sample data from January 2001 to April 2005 and from May 2005 to September 2011 are selected. The methods of Granger causality analysis, structural vector autoregressive model, impulse response analysis and variance decomposition are used. It is found that monetary policy has a certain influence on the stock market in the long run, and the influence on the stock market before the reform of the split share structure is greater than that on the stock market after the reform. This shows that the policy factors of the stock market in our country have weakened to a certain extent, the influence of "policy market" is gradually decreasing, and the adjustment ability of the market has been further strengthened. On this basis, this paper puts forward relevant policy suggestions to monetary policy authorities and investors.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F822.0;F832.51;F224

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本文編號(hào)：1801881