本文選題：貨幣政策傳導(dǎo)機(jī)制　切入點(diǎn)：股票市場　出處：《安徽財(cái)經(jīng)大學(xué)》2016年碩士論文

【摘要】：隨著全球資本市場的發(fā)展,貨幣政策傳導(dǎo)的資產(chǎn)價(jià)格渠道備受各方關(guān)注。作為我國資本市場的重要組成部分,股票市場現(xiàn)已成為我國重要的投融資渠道,對實(shí)體經(jīng)濟(jì)的影響也日益明顯。因而文章主要針對我國股票市場傳導(dǎo)貨幣政策來展開研究。貨幣政策傳導(dǎo)機(jī)制的有效性往往決定了貨幣政策預(yù)期目標(biāo)的達(dá)成。因而基于貨幣政策傳導(dǎo)機(jī)制理論,深入研究貨幣政策的股票市場傳導(dǎo)效應(yīng)對于貨幣當(dāng)局制定并實(shí)施貨幣政策、微觀經(jīng)濟(jì)主體調(diào)整其經(jīng)濟(jì)行為和規(guī)范股票市場具有重要的理論意義和現(xiàn)實(shí)意義。在貨幣政策的股票市場傳導(dǎo)的過程中,貨幣當(dāng)局制定和實(shí)施貨幣政策,通過影響中介目標(biāo)貨幣供應(yīng)量和利率改變股票價(jià)格,這是傳導(dǎo)的第一環(huán)節(jié);股票價(jià)格的變化對消費(fèi)和投資產(chǎn)生影響,最終影響整個實(shí)體經(jīng)濟(jì),這是傳導(dǎo)的第二環(huán)節(jié)。因此,文章在理論和實(shí)證研究上均從貨幣政策到股票市場和股票市場到實(shí)體經(jīng)濟(jì)這兩個環(huán)節(jié)來研究股票市場傳導(dǎo)貨幣政策的有效性。通過對緊密聯(lián)系的兩個傳導(dǎo)環(huán)節(jié)進(jìn)行理論和實(shí)證的研究而非只關(guān)注某一環(huán)節(jié)能系統(tǒng)而清晰地認(rèn)識貨幣政策的股票市場傳導(dǎo)機(jī)制及其有效性,這也是文章的創(chuàng)新之處。理論上,貨幣供應(yīng)量和利率通過各種渠道效應(yīng)對股票價(jià)格產(chǎn)生影響,進(jìn)而股票價(jià)格變動通過托賓Q效應(yīng)與資產(chǎn)負(fù)債表效應(yīng)作用于投資,通過財(cái)富效應(yīng)與流動性效應(yīng)作用于消費(fèi)。雖然我國股票市場規(guī)模近年來有所擴(kuò)大,但由于微觀主體、金融監(jiān)管和股票市場自身等方面因素的限制,貨幣政策的股票市場傳導(dǎo)效應(yīng)并不顯著。為進(jìn)一步驗(yàn)證我國貨幣政策的股票市場傳導(dǎo)的有效性,文章基于2005-2015年月度數(shù)據(jù)建立VAR模型,運(yùn)用計(jì)量分析方法實(shí)證得出以下結(jié)論:在第一環(huán)節(jié)中,股票價(jià)格對于貨幣供應(yīng)量變化產(chǎn)生正效應(yīng),對于利率的變化產(chǎn)生負(fù)效應(yīng),即貨幣政策調(diào)整能通過中介目標(biāo)影響股票價(jià)格,但這種影響較為微弱;在第二環(huán)節(jié)中,雖然股票價(jià)格上漲能引發(fā)物價(jià)水平的上漲,但股票價(jià)格與投資、消費(fèi)存在負(fù)相關(guān)關(guān)系,對經(jīng)濟(jì)增長也沒有穩(wěn)定的正向影響。這說明股票價(jià)格到實(shí)體經(jīng)濟(jì)的傳導(dǎo)由于托賓Q效應(yīng)、資產(chǎn)負(fù)債表效應(yīng)、財(cái)富效應(yīng)和流動性效應(yīng)不顯著而受到阻滯。實(shí)證所選用的變量如利率和經(jīng)濟(jì)增長由于諸多因素只能選用七天同業(yè)拆借利率和工業(yè)增加值為替代變量,一定程度上影響實(shí)證結(jié)果,這也是文章不足之處。在理論和實(shí)證研究的基礎(chǔ)上,文章結(jié)合我國的現(xiàn)實(shí)國情提出了一系列政策建議,包括擴(kuò)大股票市場規(guī)模并完善投資者結(jié)構(gòu);加快推進(jìn)國有企業(yè)改革,增加對中小企業(yè)的信貸支持;調(diào)節(jié)收入分配結(jié)構(gòu),完善社會保障制度;加強(qiáng)金融監(jiān)管,規(guī)范股票市場運(yùn)行,建立貨幣市場和股票市場的聯(lián)結(jié)機(jī)制。
[Abstract]:With the development of the global capital market, the asset price channel of monetary policy transmission has attracted much attention. As an important part of China's capital market, the stock market has become an important channel of investment and financing in China. The influence on the real economy is becoming more and more obvious. Therefore, this paper mainly studies the transmission of monetary policy in China's stock market. The effectiveness of the transmission mechanism of monetary policy often determines the achievement of the expected target of monetary policy. And based on the theory of monetary policy transmission mechanism, Deeply study the stock market conduction effect of monetary policy on the monetary authorities to formulate and implement monetary policy, It is of great theoretical and practical significance for microeconomic subjects to adjust their economic behavior and regulate the stock market. In the course of the transmission of monetary policy, the monetary authority formulates and implements monetary policy. Changing the stock price by influencing the intermediate target money supply and interest rate is the first link in the transmission; the change in the stock price has an impact on consumption and investment, and ultimately affects the real economy as a whole, which is the second link in the transmission. This paper studies the effectiveness of conducting monetary policy in stock market from monetary policy to stock market and stock market to real economy both theoretically and empirically. Theoretical and empirical studies, rather than focusing on a particular link, provide a systematic and clear understanding of the stock market transmission mechanism of monetary policy and its effectiveness. In theory, money supply and interest rate affect stock price through various channel effects, and then stock price changes affect investment through Tobin Q effect and balance sheet effect. Although the scale of China's stock market has expanded in recent years, but due to the microcosmic factors such as the main body, financial supervision and stock market itself, The stock market transmission effect of monetary policy is not significant. In order to further verify the effectiveness of the stock market transmission of monetary policy in China, this paper establishes a VAR model based on monthly data from 2005 to 2015. In the first link, stock price has a positive effect on the change of money supply and a negative effect on the change of interest rate, that is, the adjustment of monetary policy can influence the stock price through intermediary target. In the second link, although rising stock prices can lead to price increases, there is a negative correlation between stock prices and investment and consumption. There is also no stable positive impact on economic growth. This shows that the transmission of stock prices to the real economy is due to the Tobin Q effect, the balance sheet effect, The wealth effect and the liquidity effect are not significant and the variables chosen in the empirical study, such as interest rate and economic growth, can only be replaced by the seven-day interbank offered rate and industrial added value because of many factors, which to some extent affect the empirical results. On the basis of theoretical and empirical research, this paper puts forward a series of policy suggestions, including enlarging the scale of stock market and perfecting the structure of investors, speeding up the reform of state-owned enterprises. We should increase credit support for small and medium-sized enterprises, adjust the income distribution structure, perfect the social security system, strengthen financial supervision, standardize the operation of the stock market, and establish a linkage mechanism between the money market and the stock market.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F822.0;F832.51

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本文編號：1665294