發(fā)布時(shí)間：2018-09-13 06:43

【摘要】：中國(guó)為應(yīng)對(duì)金融危機(jī)采取了一系列刺激經(jīng)濟(jì)復(fù)蘇的政策，但國(guó)內(nèi)通貨膨脹率居高不下，存款價(jià)值及貨幣實(shí)際購(gòu)買力顯著下降，股票市場(chǎng)也進(jìn)入了前所未有的低迷期。眾多學(xué)者開始深入研究中國(guó)的股票價(jià)格、通貨膨脹和貨幣政策之間的關(guān)系。 本文先對(duì)股票價(jià)格與通貨膨脹和貨幣政策的關(guān)系進(jìn)行了理論分析，發(fā)現(xiàn)隨著經(jīng)濟(jì)的發(fā)展，三者之間確實(shí)是存在相關(guān)關(guān)系的。 然后選取1992年1月至2011年7月的數(shù)據(jù)，引入了一個(gè)新的估計(jì)值--定比化值，得到時(shí)間序列數(shù)據(jù)的動(dòng)態(tài)協(xié)整趨勢(shì)圖。再以2005年5月的股權(quán)分置改革為界限，將整個(gè)樣本區(qū)間分成前后兩個(gè)時(shí)間跨度相同的時(shí)間段進(jìn)行動(dòng)態(tài)的協(xié)整檢驗(yàn)。研究發(fā)現(xiàn)：在長(zhǎng)期股票價(jià)格與通貨膨脹之間存在協(xié)整關(guān)系；在短期這種協(xié)整的關(guān)系具有時(shí)間段獨(dú)立性。股票價(jià)格與貨幣政策不存在長(zhǎng)期的協(xié)整關(guān)系，，但在2005年股權(quán)分置改革與2008年5月期間存在穩(wěn)定的協(xié)整關(guān)系。股權(quán)分置改革之前，股票價(jià)格與貨幣政策之間不存在協(xié)整關(guān)系，股權(quán)分置改革之后，兩者之間的協(xié)整關(guān)系不斷加強(qiáng)。 再利用相同的樣本區(qū)間，檢驗(yàn)股票市場(chǎng)對(duì)通貨膨脹是否有規(guī)避作用。發(fā)現(xiàn)從長(zhǎng)期來(lái)看，股票市場(chǎng)對(duì)通貨膨脹有較弱的規(guī)避作用，在股權(quán)分置改革期間這種規(guī)避作用是明顯的。 最后，根據(jù)實(shí)證檢驗(yàn)結(jié)果，提出若干政策建議。
[Abstract]:China has adopted a series of policies to stimulate economic recovery in response to the financial crisis, but the domestic inflation rate remains high, the value of deposits and the real purchasing power of money have fallen significantly, and the stock market has entered an unprecedented downturn. Many scholars began to study the relationship between stock price, inflation and monetary policy in China. In this paper, the relationship between stock price, inflation and monetary policy is theoretically analyzed, and it is found that with the development of economy, there is a real correlation between the three. Then, the data from January 1992 to July 2011 are selected, and a new estimate-definite comparison value is introduced, and the dynamic cointegration trend chart of time series data is obtained. Based on the split share structure reform in May 2005, the whole sample interval is divided into two time periods with the same time span before and after, and the dynamic cointegration test is carried out. It is found that there is a cointegration relationship between long-term stock price and inflation, while in the short term the cointegration relationship is time-independent. There is no long-term cointegration relationship between stock price and monetary policy, but there is a stable co-integration relationship between the split share structure reform in 2005 and May 2008. Before the split share structure reform, there is no cointegration relationship between stock price and monetary policy. Then the same sample interval is used to test whether the stock market can avoid inflation. It is found that in the long run, the stock market has a weaker role in circumventing inflation, which is obvious during the reform of split share structure. Finally, according to the empirical test results, some policy recommendations are put forward.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F822.5;F822.0;F224

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