本文關鍵詞： 股票價格指數 貨幣供應量 協(xié)整分析 Granger檢驗　出處：《山西財經大學》2014年碩士論文　論文類型：學位論文

【摘要】：隨著世界經濟的高速發(fā)展,中國經濟也突飛猛進,從實體經濟到虛擬經濟,都經歷著翻天覆地變化。金融市場的發(fā)展更是起著不可或缺的作用,人們對于金融市場的發(fā)展走向越來越關注,越來越多的人開始關注金融市場的發(fā)展。金融市場的健康發(fā)展,離不開政府部門實行一系列宏觀調控政策,其中貨幣政策作為重要的宏觀調控手段,必然是缺一不可的。股票市場作為資本市場的重要組成部分之一,它與其他金融市場的發(fā)展緊密相連,影響著我國實體經濟的健康發(fā)展,經濟稍微的風吹草動都會在股票市場,金融市場、物價上面反映。因此,我國貨幣當局根據宏觀經濟的發(fā)展做出貨幣政策的調整,改變利率或者調節(jié)貨幣供給量,這些都會直接或間接的影響我國股票市場。而股票市場對實體經濟的敏感程度和反應變化也會有助于貨幣當局即中國人民銀行做出正確的決策,二者具有相互關聯(lián)的關系,究竟二者具有什么量化關系,本文將展開全面的分析和論證。 本論文正文部分大體分為三個部分：第一部分的主要內容是分析貨幣供應量的分層概念,分析傳統(tǒng)貨幣理論的主要意義,闡述貨幣政策的形成及影響效果,分析國內生產總值的影響因素及走勢變化,搜集歷年數據情況,根據數據分析,股票價格指數的理論,并歸納貨幣供應量對股票價格指數的影響因素。第二部分主要利用計量模型對股票市場和宏觀貨幣供應量關系進行實證分析。本論文從整體的角度,并運用ADF單位根檢驗模型、Granger因果檢驗、Johansen協(xié)整檢驗等各種計量分析方法,對數據進行處理并建立合適的模型,對各模型變量進行實證檢驗分析,分別對三組數據進行單位根檢驗,檢驗這三組時間序列是否為平穩(wěn)序列。然后分別建立股價與GDP,股價與貨幣供應量M1M2之間數量關系系并求出相應的數值。第三部分針對第二部分的結論分析結論,結合實際情況,探討我國宏觀經濟貨幣政策變動對實際股價影響,對我國現狀經濟提出有用的政策建議和指導意見,為我國經濟的更好的發(fā)展提供保障。
[Abstract]:With the rapid development of the world economy, China's economy is also advancing by leaps and bounds. From the real economy to the virtual economy, the development of the financial market is playing an indispensable role. People are paying more and more attention to the development of the financial market, and more and more people are beginning to pay attention to the development of the financial market. The healthy development of the financial market is inseparable from the implementation of a series of macro-control policies by the government. Monetary policy, as an important means of macro-control, must be indispensable. As an important part of the capital market, the stock market is closely linked with the development of other financial markets. It affects the healthy development of the real economy of our country. Any slight economic turmoil will be reflected above the stock market, financial market, and prices. Therefore, the monetary authorities of our country have made monetary policy adjustments according to the development of the macro-economy. Changing interest rates or adjusting the amount of money supply will directly or indirectly affect our stock market. And the sensitivity of the stock market to the real economy and the changes in its response will also help the monetary authorities, namely the people's Bank of China, to make correct decisions. The relationship between the two is interrelated, and the quantitative relationship between them will be analyzed and demonstrated in a comprehensive way in this paper. The main body of this paper is divided into three parts: the first part is to analyze the concept of money supply stratification, analyze the main significance of the traditional monetary theory, explain the formation and impact of monetary policy. Analyzing the influencing factors and trend changes of GDP, collecting the data of past years, according to the analysis of data, the theory of stock price index, The second part mainly uses the econometric model to analyze the relationship between the stock market and the macro-money supply. Using the ADF unit root test model and ADF causality test Johansen cointegration test and other econometric analysis methods, the data are processed and appropriate models are established, and each model variable is empirically tested and analyzed, and three groups of data are tested by unit root test respectively. Then the quantitative relationship between stock price and GDP, stock price and money supply M1M2 is established and the corresponding numerical value is obtained. The third part analyzes the conclusions of the second part and combines the actual situation. This paper probes into the influence of the change of the macroeconomic monetary policy on the real stock price, and puts forward some useful policy suggestions and guidance for the present economy of our country, which provides the guarantee for the better development of our country's economy.
【學位授予單位】：山西財經大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F822.2;F832.51

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本文編號：1537695