本文選題：貨幣政策 + 房地產(chǎn)市場價格　； 參考：《山西財經(jīng)大學》2017年碩士論文

【摘要】：2008年金融危機之后,各國央行紛紛加強了對宏觀經(jīng)濟的調(diào)控,由于以房地產(chǎn)和股票為代表的資產(chǎn)價格與國民經(jīng)濟的關系十分密切,而房地產(chǎn)市場和股票市場泡沫的破裂更是多次經(jīng)濟危機的直接誘因,因此資產(chǎn)價格是中央銀行密切關注的對象和貨幣政策調(diào)控的重點。本文對貨幣政策和資產(chǎn)價格的關系進行了全面研究,主要回答了“貨幣政策對資產(chǎn)價格有何影響”、“資產(chǎn)價格的變動對貨幣政策有何影響”、“貨幣政策應如何應對資產(chǎn)價格的變化”三個問題。本文從理論和實證兩個方面對貨幣政策和資產(chǎn)價格的關系進行研究。理論方面,本文首先研究了貨幣政策對資產(chǎn)價格的影響:貨幣政策的中介目標貨幣供應量和利率會對資產(chǎn)價格產(chǎn)生影響,貨幣供應量的增加會導致資產(chǎn)價格的上漲,而利率的提高會導致資產(chǎn)價格的下跌;其次,本文研究了資產(chǎn)價格波動對貨幣政策的影響:資產(chǎn)價格波動會對作為貨幣政策中介目標的貨幣供應量和作為最終目標的經(jīng)濟增長以及通貨膨脹產(chǎn)生影響。實證方面,本文選取了2008年到2016年的M2、五年以上貸款利率、商品房平均銷售面積和上證指數(shù)四個變量的月度數(shù)據(jù)代表貨幣政策和資產(chǎn)價格來對其關系進行研究,實證主要基于VAR模型,并且采用了ADF檢驗、協(xié)整檢驗、格蘭杰因果檢驗、脈沖響應分析和方差分解等計量工具,研究結果表明,貨幣政策各變量和資產(chǎn)價格各變量之間存在著長期穩(wěn)定的關系,實證研究的結論不僅驗證了理論分析的結果,也對其進行了細化和補充。本文的研究表明,貨幣政策與資產(chǎn)價格之間存在相互影響的關系。具體來說,貨幣政策對資產(chǎn)價格有顯著影響,其中貨幣供給量的變動對房價影響較大,利率的變動對股價影響較大。資產(chǎn)價格變動會對作為貨幣政策中介目標的貨幣供應量造成影響,但對利率卻沒有影響,而且資產(chǎn)價格變動也會對以經(jīng)濟增長和通貨膨脹為代表的貨幣政策最終目標產(chǎn)生影響。此外,本文認為央行在制定貨幣政策時應當密切關注資產(chǎn)價格的波動,但不應把資產(chǎn)價格作為宏觀調(diào)控的主要目標。本文有以下兩點創(chuàng)新之處:第一,本文綜合考慮了貨幣政策對資產(chǎn)價格的影響和資產(chǎn)價格變動對貨幣政策的影響,對兩者之間關系的研究較為全面、系統(tǒng);第二,實證中構建的指標體系比較新穎、合理,且數(shù)據(jù)較新、跨度較大。
[Abstract]:After the financial crisis of 2008, the central banks of various countries have strengthened their macroeconomic control one after another, because the asset prices represented by real estate and stocks are closely related to the national economy.The bursting of the bubble in the real estate market and the stock market is the direct cause of many economic crises, so the asset price is the object that the central bank pays close attention to and the focus of monetary policy regulation.This paper makes a comprehensive study on the relationship between monetary policy and asset price, and mainly answers "what influence monetary policy has on asset price" and "what influence does the change of asset price have on monetary policy",There are three questions about how monetary policy should deal with the change of asset price.This paper studies the relationship between monetary policy and asset price from both theoretical and empirical aspects.Theoretically, this paper first studies the influence of monetary policy on asset price: the intermediate target money supply and interest rate of monetary policy will have an impact on asset price, and the increase of money supply will lead to the rise of asset price.An increase in interest rates can lead to a fall in asset prices.This paper studies the influence of asset price fluctuation on monetary policy: the fluctuation of asset price will have an impact on the money supply as the intermediate target of monetary policy and the economic growth and inflation as the ultimate target.Empirically, this paper selects the monthly data of M2,5 years loan interest rate, average selling area of commercial housing and Shanghai Stock Exchange index from 2008 to 2016 to study the relationship between monetary policy and asset price.The empirical results are mainly based on VAR model, and use ADF test, cointegration test, Granger causality test, impulse response analysis and variance decomposition.There is a long-term stable relationship between the variables of monetary policy and asset price. The conclusion of empirical research not only verifies the results of theoretical analysis but also refines and complements them.The study of this paper shows that there is a relationship between monetary policy and asset price.Specifically, monetary policy has a significant impact on asset prices, in which the change of money supply has a greater impact on house prices, and the change of interest rate has a greater impact on stock prices.The change of asset price will have an impact on the money supply, which is the intermediate target of monetary policy, but not on the interest rate. Moreover, the change of asset price will also have an impact on the ultimate target of monetary policy, which is represented by economic growth and inflation.In addition, this paper holds that the central bank should pay close attention to the fluctuation of asset price when making monetary policy, but should not regard asset price as the main target of macro-control.This paper has the following two innovations: first, this paper synthetically considers the influence of monetary policy on asset price and the change of asset price on monetary policy, and studies the relationship between them more comprehensively and systematically; second,The index system is new and reasonable, and the data is relatively new and has a long span.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F822.0

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