本文選題：貨幣政策　切入點(diǎn)：投資者情緒　出處：《遼寧大學(xué)》2017年博士論文　論文類型：學(xué)位論文

【摘要】：貨幣政策的傳導(dǎo)機(jī)制一直以來都是學(xué)術(shù)界研究的一個(gè)熱點(diǎn),傳統(tǒng)的貨幣政策理論認(rèn)為,在市場(chǎng)有效且投資者理性的前提下,貨幣政策能夠借助利率、信用以及資產(chǎn)價(jià)格等手段對(duì)社會(huì)經(jīng)濟(jì)產(chǎn)生影響,從而達(dá)到穩(wěn)定物價(jià)和維持經(jīng)濟(jì)發(fā)展的目的。但經(jīng)濟(jì)學(xué)家在論及貨幣政策傳導(dǎo)效應(yīng)時(shí)的一個(gè)基本前提假設(shè)是投資者理性。經(jīng)典的金融理論認(rèn)為,市場(chǎng)中的投資主體是理性的,并且資產(chǎn)價(jià)格已經(jīng)能夠完全反映其基本價(jià)值。然而,各種無法解釋的金融異象的出現(xiàn)對(duì)經(jīng)典金融理論產(chǎn)生了巨大沖擊,從而促使經(jīng)濟(jì)學(xué)家對(duì)傳統(tǒng)金融學(xué)的基本假設(shè)條件進(jìn)行了更為深入的思考,他們認(rèn)為現(xiàn)實(shí)的金融市場(chǎng)比較復(fù)雜,與假設(shè)相去甚遠(yuǎn)。并且越來越多的證據(jù)表明,金融市場(chǎng)并未完全按照經(jīng)典金融理論假設(shè)運(yùn)行,作為金融市場(chǎng)主體的投資者,他們的心理會(huì)影響到其行為進(jìn)而影響到金融市場(chǎng)。(7)(8)TverskyKahneman和1979通過實(shí)驗(yàn)驗(yàn)證了,大部分投資者不是完全理性的,而是不理性的,并根據(jù)這個(gè)觀點(diǎn)提出了展望理論。此后隨著行為金融學(xué)的不斷發(fā)展,投資者的非理性行為受到了越來越廣泛的關(guān)注。人們發(fā)現(xiàn),投資者的非理性行為會(huì)引起金融市場(chǎng)波動(dòng)進(jìn)而影響到企業(yè)的投資行為,因此研究投資者情緒在貨幣政策對(duì)股市波動(dòng)影響中的作用顯得尤為重要。而貨幣政策變化本身也能夠引起投資者情緒的變化,所以有必要進(jìn)一步研究貨幣政策變化引起的投資者情緒對(duì)股市波動(dòng)的影響。該研究有助于央行更加準(zhǔn)確的預(yù)測(cè)貨幣政策效果,從而更加精準(zhǔn)高效地制定貨幣政策,同時(shí)也為投資者的投資決策提供一定的參考依據(jù)。本文主要從投資者情緒和貨幣政策的傳導(dǎo)這兩方面入手,首先,系統(tǒng)的對(duì)國內(nèi)外關(guān)于貨幣政策對(duì)投資者情緒及股市波動(dòng)影響的相關(guān)理論和實(shí)證分析進(jìn)行了文獻(xiàn)梳理,指出了投資者情緒對(duì)股市波動(dòng)的影響,以及貨幣政策對(duì)股市波動(dòng)的影響。其次,論述了相關(guān)理論,包括貨幣政策理論和投資者情緒理論,給出了投資者情緒定義,并構(gòu)造了投資者復(fù)合情緒指數(shù)。再次,論述了貨幣政策對(duì)投資者情緒至股市波動(dòng)影響的傳導(dǎo)機(jī)制,重點(diǎn)分析了貨幣政策對(duì)投資者情緒影響、投資者情緒對(duì)股市波動(dòng)影響以及貨幣政策對(duì)股市波動(dòng)影響的傳導(dǎo)機(jī)制。第四,檢驗(yàn)了投資者情緒在貨幣政策對(duì)股市波動(dòng)影響中的作用。主要通過對(duì)比考慮投資者情緒和不考慮投資者情緒這兩種情況下,貨幣政策對(duì)股市波動(dòng)影響的結(jié)果,來驗(yàn)證投資者情緒影響了貨幣政策對(duì)股市波動(dòng)的影響。第五,對(duì)貨幣政策對(duì)投資者情緒的影響進(jìn)行了實(shí)證分析,并與貨幣政策對(duì)消費(fèi)者信心指數(shù)的影響進(jìn)行了對(duì)比,證實(shí)了本文構(gòu)造的投資者復(fù)合情緒指數(shù)的合理性,同時(shí)估計(jì)出貨幣政策引起的投資者情緒。第六,對(duì)該投資者情緒對(duì)股市波動(dòng)影響進(jìn)行了實(shí)證分析,主要對(duì)實(shí)證結(jié)果進(jìn)行分析。最后,對(duì)全文進(jìn)行了總結(jié)。本文得到的主要結(jié)論如下:(1)不論是股市高漲期還是股市低迷期,投資者情緒均會(huì)影響到貨幣政策對(duì)股市波動(dòng)的影響結(jié)果,且這種影響具有非對(duì)稱性。(2)在股票市場(chǎng)的高漲期和低迷期,貨幣供給增速和存款準(zhǔn)備金率變化均會(huì)對(duì)投資者情緒產(chǎn)生顯著影響,但是貨幣供給增速變化對(duì)投資者情緒的影響要大于存款準(zhǔn)備金率變化帶來的影響。(3)當(dāng)股票市場(chǎng)處于高漲期時(shí),貨幣供給增速對(duì)投資者情緒的影響要大于股市低迷期貨幣供給增速對(duì)投資者情緒的影響;而存款準(zhǔn)備金率對(duì)投資者情緒的影響在股市的高漲期和低迷期沒有顯著差異。(4)當(dāng)股票市場(chǎng)處于高漲期時(shí),投資者樂觀情緒會(huì)使得股市收益上漲的幅度大于股市低迷期時(shí)股市收益上漲的幅度;而投資者的樂觀情緒對(duì)股市波動(dòng)的影響不同,股市高漲期時(shí),投資者的樂觀情緒會(huì)使得股市波動(dòng)加劇,而股市低迷期,投資者的樂觀情緒短期并不會(huì)加劇股市波動(dòng),長(zhǎng)期來看,股市波動(dòng)仍然是增加的。(5)股市高漲期時(shí),股市收益的上升對(duì)投資者情緒的影響要大于股市低迷期股市收益上升對(duì)投資者情緒帶來的影響,而股市收益的上漲會(huì)降低股市的波動(dòng)。論文的創(chuàng)新之處在于:(1)采用主成分分析法構(gòu)造投資者復(fù)合情緒指數(shù)。(2)研究投資者情緒對(duì)股票市場(chǎng)影響的傳導(dǎo)途徑時(shí),根據(jù)中國股票市場(chǎng)的具體情況以及DSSW模型,構(gòu)造了一個(gè)單期噪聲交易者模型,并由此分析投資者情緒對(duì)中國股市波動(dòng)影響的傳導(dǎo)途徑。(3)本文在進(jìn)行實(shí)證分析時(shí),將中國股票市場(chǎng)分為股市高漲期和低迷期兩個(gè)階段,分別進(jìn)行了如下的實(shí)證分析:(1)在檢驗(yàn)投資者情緒是否影響貨幣政策對(duì)股市波動(dòng)影響的實(shí)證分析時(shí),加入了投資者情緒因子。構(gòu)建MS-VAR模型分別對(duì)考慮投資者情緒和不考慮投資者情緒這兩種情況下,股市收益、波動(dòng)對(duì)貨幣政策沖擊的不同響應(yīng),來檢驗(yàn)投資者情緒對(duì)貨幣政策影響股市波動(dòng)的作用。(2)在進(jìn)行貨幣政策對(duì)投資者情緒影響及非對(duì)稱性的實(shí)證分析時(shí),利用馬爾可夫區(qū)制轉(zhuǎn)換模型,將中國股市分為高漲期和低迷期,分別考慮在股票市場(chǎng)的不同階段,貨幣政策對(duì)投資者情緒的影響,同時(shí)利用回歸分析,將貨幣政策對(duì)投資者情緒的影響提取出來。(3)在進(jìn)行投資者情緒對(duì)股市波動(dòng)影響的實(shí)證分析時(shí),構(gòu)建MS-VAR模型研究在股票市場(chǎng)的不同階段,投資者情緒和股市收益、波動(dòng)之間的動(dòng)態(tài)變化,由此來討論在股票市場(chǎng)的不同階段,投資者情緒對(duì)股市波動(dòng)的影響。
[Abstract]:The transmission mechanism of monetary policy has always been a hot topic in academic circles, that the traditional theory of monetary policy, effective and rational investors in the market under the premise of monetary policy can use the interest rate, credit and asset prices and other means of influence to the social economy, so as to achieve price stability and sustain economic development. But an economist the basic assumptions on the effect of monetary policy transmission is the rational investors. The classic financial theory, market investors are rational, and asset prices have been able to fully reflect the basic value. However, the financial anomalies appear unable to explain the impacts of classical financial theory, and the economists have done more in-depth thinking on the basic assumptions of traditional finance, they think that compared to the reality of the financial market The complex, with the assumption that far. And more and more evidence that the financial market is not fully in accordance with the classical finance theory hypothesis, as the main body of financial market investors, their psychology will affect their behavior and influence to the financial market. (7) TverskyKahneman (8) and 1979 were verified by experiments, most investors are not fully rational but, not rational, and puts forward the prospect theory according to this view. Then with the development of behavioral finance, the irrational behavior of investors has attracted more and more attention. It was found that the non rational behavior of investors will cause fluctuations in the financial markets affect the investment behavior of enterprises, so the study of investor sentiment in the monetary policy on the stock market fluctuations in the role is particularly important. The monetary policy change itself can also cause changes in mood of investors, the It is necessary to further study the monetary policy changes due to the influence of investor sentiment on stock market volatility. The study has the effect of monetary policy to help the central bank forecast more accurate, more accurate and efficient monetary policy, but also provide a reference for the investment decisions of investors. This article mainly from the investor sentiment and monetary policy transmission of these two aspects, first, to the domestic and foreign related theories about the impact of monetary policy on the stock market volatility and investor sentiment and positive analysis system of literature review, pointed out that the impact of investor sentiment on stock market volatility, and the influence of monetary policy on the stock market volatility. Secondly, discusses the relevant theories, including the theory of monetary policy and the investor sentiment theory, gives the definition of investor sentiment, and construct investor sentiment index composite. Thirdly, discusses the monetary policy The transmission mechanism of impact on investor sentiment and stock market volatility, analyzes the impact of monetary policy on investor sentiment, the conduction mechanism of the influence of investor sentiment on the stock market volatility and the influence of monetary policy on the stock market volatility. Fourth, to test the effect of investor sentiment on stock market volatility in the effect of monetary policy. By comparing considering and not considering the investor sentiment the two kinds of investor sentiment, the impact of monetary policy on the stock market volatility results, to verify the investor sentiment affects the effect of monetary policy on stock market volatility. Fifth, on the impact of monetary policy on investor sentiment is analyzed, compared and effects of monetary policy on consumer confidence index, confirms the rationality investor sentiment index composite constructed in this paper, at the same time to estimate the monetary policy caused by investor sentiment. In sixth, the investment The effects of emotion on the volatility of stock market by empirical analysis, the main analysis of the empirical results. Finally, a summary of the full text. The main conclusions are as follows: (1) whether the stock market or the stock market downturn, investor sentiment will affect the effect of monetary policy on the stock market volatility, and this effect is asymmetric. (2) in the stock market downturn and rising period, the growth rate of the money supply and deposit reserve rate changes will have a significant impact on investor sentiment, but the impact of changes in the growth rate of the money supply is greater than the impact on investor sentiment changes in the deposit reserve rate brought. (3) when the stock market is rising period when the growth rate of the money supply impact on investor sentiment is greater than the stock market downturn in the growth rate of the money supply impact on investor sentiment; while the deposit reserve rate impact on investor sentiment in the There is no significant difference between the stock market boom and downturn. (4) when the stock market is rising period, investor optimism makes the stock market rising income is greater than the stock market downturn when stock returns rise; and the impact of investor optimism on the stock market volatility, the stock market boom, investor optimism the stock market volatility, and the stock market downturn, investors optimism in the short term does not aggravate the fluctuation of the stock market, the long term, stock market volatility is still increasing. (5) the stock market boom, rising stock market impact on investor sentiment is greater than the stock market downturn caused by the impact of rising stock market return on investor sentiment. The stock market rose will reduce the volatility of the stock market. The innovation of this paper is: (1) using principal component analysis method to construct the investor sentiment index composite. (2) of investors Pathway of emotional impact on the stock market, according to the specific circumstances of Chinese stock market and DSSW model, constructed a single phase noise trader model, transmission and analysis of the influence of investor sentiment on the stock market volatility China. (3) based on the empirical analysis, the China stock market is divided into the stock market during the downturn and two stages are analyzed as follows: (1) the empirical test in the empirical analysis of whether investor sentiment affects the effect of monetary policy on the stock market volatility, with investor sentiment factor. To construct the MS-VAR model respectively for the investor sentiment and stock market returns without considering the two kinds of investor sentiment,, different wave response to monetary policy shocks, the volatility of the stock market to test the role of the influence of investor sentiment on monetary policy. (2) the effect of monetary policy on investor sentiment and non An empirical analysis of symmetry, using the Markov switching model, will be divided into China stock market boom period and the downturn in the stock market, considering the different stages respectively, the impact of monetary policy on investor sentiment, at the same time, the use of regression analysis to extract the impact of monetary policy on investor sentiment. (3) in the empirical analysis influence of investor sentiment on stock market volatility, the construction of MS-VAR model in different stages of the stock market, investor sentiment and stock market returns, volatility between dynamic changes, in order to discuss the different stages in the stock market, the influence of investor sentiment on the stock market volatility.

【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F822.0

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