【摘要】：近年來我國經(jīng)濟(jì)經(jīng)歷了持續(xù)高速發(fā)展的階段,而貨幣供給對資產(chǎn)價(jià)格的穩(wěn)定不言而喻,同時(shí)資產(chǎn)價(jià)格的波動反過來也能夠影響貨幣市場的均衡。本文在概述國內(nèi)外已有理論研究成果的基礎(chǔ)上,吸收和借鑒有效的實(shí)證研究方法,從理論和實(shí)證兩個方面論述貨幣供應(yīng)量、股票價(jià)格和房地產(chǎn)價(jià)格之間的關(guān)系以及相互影響的機(jī)理。 本文利用1998年～2011年間的月度數(shù)據(jù)實(shí)證研研會后發(fā)現(xiàn)三者之間存在協(xié)整關(guān)系。并通過格蘭杰因果關(guān)系檢驗(yàn),證明貨幣供應(yīng)量與房地產(chǎn)價(jià)格之間互為因果關(guān)系,而房地產(chǎn)價(jià)格的波動是股票價(jià)格波動的一個格蘭杰原因。在之后的脈沖響應(yīng)函數(shù)和方差分解的分析中顯示：貨幣供應(yīng)量的增長短期內(nèi)能夠顯著推高房地產(chǎn)價(jià)格；另一方面房地產(chǎn)價(jià)格對貨幣供應(yīng)量的影響也呈正向關(guān)系,雖然長期有增大趨勢但短期內(nèi)這種影響關(guān)系并不顯著。因?yàn)楣墒械奈兆饔?股票價(jià)格的波動短期內(nèi)能夠顯著引起貨幣供應(yīng)量的變化,但在長期中兩者之間保持穩(wěn)定；而實(shí)證結(jié)果表明貨幣供應(yīng)量對股價(jià)的影響甚微。同時(shí),房地產(chǎn)價(jià)格對股票價(jià)格的影響顯著,且短期內(nèi)為正向關(guān)系,長期中又呈現(xiàn)出負(fù)向關(guān)系；股票價(jià)格對房地產(chǎn)價(jià)格的影響為正相關(guān)關(guān)系,長期中保持穩(wěn)定。 在本文的最后,針對我國目前現(xiàn)狀,結(jié)合貨幣供應(yīng)量、股票價(jià)格以及房地產(chǎn)價(jià)格相互關(guān)系的研究結(jié)果,提出了若干政策建議：1、加強(qiáng)對我國貨幣供給的控制,保持適度增長水平。2、嚴(yán)格審查房地產(chǎn)信貸資金流向,堅(jiān)持房價(jià)的總體調(diào)控政策不動搖。3、鑒于貨幣供給變化對股票價(jià)格變化影響不大,而其主要受自身規(guī)律支配,因此政府應(yīng)當(dāng)進(jìn)一步完善資本市場法規(guī)和制度體系。4、權(quán)衡兩個市場互動特征,實(shí)施協(xié)同調(diào)控,防止金融風(fēng)險(xiǎn)的積累和傳遞。
[Abstract]:In recent years, China's economy has experienced a period of sustained and rapid development, and the stability of money supply to asset prices is self-evident, and the fluctuation of asset prices can also affect the balance of the money market. On the basis of summarizing the existing theoretical research results at home and abroad, this paper absorbs and draws lessons from effective empirical research methods, and discusses the money supply from both theoretical and empirical aspects. The relationship between stock price and real estate price and the mechanism of mutual influence. Based on the monthly data from 1998 to 2011, this paper finds that there is a cointegration relationship between the three. Through Granger causality test, it is proved that money supply and real estate price are causality, and the fluctuation of real estate price is a Granger cause of stock price fluctuation. The analysis of impulse response function and variance decomposition shows that the increase of money supply can significantly push up the real estate price in the short term; On the other hand, the influence of real estate price on money supply is also positive. Because of the absorption of the stock market, the fluctuation of stock price can cause the change of money supply in the short term, but it keeps stable in the long run, but the empirical results show that the money supply has little effect on the stock price. At the same time, the impact of real estate prices on stock prices is significant, and in the short term is a positive relationship, and in the long run there is a negative relationship; the impact of stock prices on real estate prices is a positive correlation, and remains stable in the long run. At the end of this paper, according to the current situation of our country, combined with the research results of the relationship among money supply, stock price and real estate price, some policy suggestions are put forward: 1. Strengthen the control of money supply in our country. Maintain a moderate growth level. 2. Strictly review the flow of real estate credit funds, and adhere to the overall policy of controlling housing prices. 3. Since the change in money supply has little effect on the changes in stock prices, it is mainly governed by its own laws. Therefore, the government should further improve the capital market laws and regulations and institutional system. 4, weigh the characteristics of interaction between the two markets, implement coordinated regulation and control, prevent the accumulation and transmission of financial risks.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F822.2;F832.51;F293.3;F224

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本文編號：2295784