本文關(guān)鍵詞：我國貨幣供應(yīng)量和股票價格關(guān)系的實證分析　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣供應(yīng)量 股票價格 協(xié)整關(guān)系 因果關(guān)系

【摘要】：股票市場作為我國金融市場必不可少的一部分,在國民經(jīng)濟(jì)中占據(jù)越來越重要的地位,因此它的發(fā)展?fàn)顩r受到廣泛關(guān)注。投資者關(guān)注股市能否給他們帶來收益,上市公司不僅從融資的角度而且從公司長期經(jīng)營戰(zhàn)略角度關(guān)注股市的運行趨勢,政府則作為宏觀調(diào)控者制定相關(guān)政策以求維持股市的穩(wěn)定健康發(fā)展,與此同時,國內(nèi)越來越多的學(xué)者致力于研究政府的貨幣政策與股票市場之間的相互關(guān)系以便為以上行為提供理論和現(xiàn)實依據(jù)。貨幣供應(yīng)量作為我國貨幣政策最重要的中介指標(biāo),它與股票價格之間存在怎樣的關(guān)系；政府通過調(diào)控貨幣供應(yīng)量能否對股價起到預(yù)想的效果等問題,均具有重要的理論和實證研究意義,也是本文所研究的主要內(nèi)容。 首先,本文闡述了有關(guān)貨幣供應(yīng)量和股票市場價格關(guān)系的相關(guān)經(jīng)典理論,如財富效應(yīng)理論、托賓q理論、資產(chǎn)負(fù)債理論,并對國內(nèi)外文獻(xiàn)研究成果進(jìn)行了簡單介紹。綜述前人的研究成果發(fā)現(xiàn),由于研究方法和口徑的不同,以及各國經(jīng)濟(jì)環(huán)境的特殊性,結(jié)果不盡相同,一方面認(rèn)為兩者存在關(guān)系,另一方面認(rèn)為兩者不存在關(guān)系,在我國社會經(jīng)濟(jì)環(huán)境下,兩者之間的關(guān)系如何更需要進(jìn)一步考究。 其次,分析了我國股票市場價格的走勢,發(fā)現(xiàn)我國股票市場價格的起伏性存在很多問題,期間央行采取的緊縮和寬松的貨幣政策都會對股票市場產(chǎn)生影響,說明貨幣供應(yīng)量的變動會引起股價的變動。 然后,從理論方面分析了貨幣供應(yīng)量和股票價格的相互關(guān)系,股票價格通過財富效應(yīng)、交易效應(yīng)、投資組合效應(yīng)和替代效應(yīng)影響貨幣供應(yīng)量,而貨幣供應(yīng)量會通過存款準(zhǔn)備金率、再貼現(xiàn)率和公開市場業(yè)務(wù)直接影響股票價格,通過利率傳導(dǎo)機(jī)制、投資組合效應(yīng)、價格預(yù)期效應(yīng)和通貨膨脹效應(yīng)間接影響股票價格。 再者,本文對貨幣供應(yīng)量和股票價格的關(guān)系進(jìn)行了實證研究,選取各個層次的貨幣供應(yīng)量、上證綜指和深證成指作為研究變量,對兩者進(jìn)行了協(xié)整關(guān)系檢驗和因果關(guān)系檢驗。研究結(jié)果表明,只有狹義貨幣供應(yīng)量與上證綜指、深證成指存在長期均衡關(guān)系,而流通中的現(xiàn)金、廣義貨幣供應(yīng)量、貨幣流動性結(jié)構(gòu)指標(biāo)與上證綜指、深證成指不存在長期均衡關(guān)系,但是上證綜指、深證成指的變動是狹義貨幣供應(yīng)量、貨幣流動性結(jié)構(gòu)指標(biāo)變動的格蘭杰因。 最后,對于上述實證結(jié)果本文作了簡單的說明和結(jié)論分析,并提出了三點針對性的政策建議,包括貨幣政策應(yīng)當(dāng)關(guān)注股票市場；完善貨幣供應(yīng)量政策工具,提高政策的靈活性,降低時滯性；從制度本身、上市公司和投資者角度進(jìn)一步推進(jìn)股票市場改革,完善股票市場機(jī)制。希望本文的探討能對貨幣政策和股票市場的關(guān)系問題研究盡一份微薄之力。
[Abstract]:As an indispensable part of our financial market, the stock market occupies a more and more important position in the national economy, so its development has been widely concerned. Investors pay attention to whether the stock market can bring them income. Listed companies not only from the perspective of financing but also from the long-term business strategy of the company pay attention to the operating trend of the stock market, the government as a macroeconomic regulator to formulate relevant policies to maintain the stable and healthy development of the stock market at the same time. More and more domestic scholars are devoted to studying the relationship between the government's monetary policy and the stock market in order to provide theoretical and practical basis for the above behaviors. Money supply is the most important intermediary of monetary policy in China. Label. What is the relationship between it and stock price; Whether the government can control the money supply to the stock price has important theoretical and empirical significance, and is also the main content of this paper. Firstly, this paper expounds the classical theories about the relationship between money supply and stock market price, such as wealth effect theory, Tobin Q theory, asset liability theory. A brief introduction is made to the domestic and foreign literature research results, and the results of previous studies are summarized. The results are different because of the differences of research methods and calibre, and the particularity of the economic environment of different countries. On the one hand, there is a relationship between the two, on the other hand, there is no relationship between them. In the social and economic environment of our country, the relationship between them needs to be further studied. Secondly, it analyzes the trend of the stock market price in our country, and finds that there are many problems in the fluctuation of the stock market price in our country. During this period, the tightening and loose monetary policy adopted by the central bank will have an impact on the stock market. The change of money supply will cause the change of stock price. Then, the relationship between money supply and stock price is analyzed theoretically. Stock price affects money supply through wealth effect, transaction effect, portfolio effect and substitution effect. The money supply will directly affect the stock price through the deposit reserve ratio, the rediscount rate and the open market business, through the interest rate transmission mechanism, the portfolio effect. Price expectation effect and inflation effect affect stock price indirectly. Furthermore, this paper makes an empirical study on the relationship between money supply and stock price, and selects various levels of money supply, Shanghai Composite Index and Shenzhen Composite Index as research variables. The results show that only the narrow money supply and the Shanghai Composite Index, Shenzhen Stock Exchange has a long-term equilibrium relationship, and cash in circulation. There is no long-term equilibrium relationship between the broad money supply, the monetary liquidity structure index and the Shanghai Composite Index and the Shenzhen Composite Index, but the change of the Shanghai Composite Index and the Shenzhen Composite Index is the narrow money supply. Grangein for changes in monetary liquidity structure indicators. Finally, this paper makes a brief explanation and conclusion analysis of the above empirical results, and puts forward three targeted policy recommendations, including monetary policy should pay attention to the stock market; Improve the tool of money supply policy, improve the flexibility of policy and reduce the delay; From the system itself, listed companies and investors to further promote the reform of the stock market, improve the stock market mechanism, I hope this discussion can contribute to the study of the relationship between monetary policy and the stock market.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F822.2;F832.51;F224

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