我国货币政策对股票市场影响的实证研究

论文总字数：17439字

目 录

摘要·······················································1

Abstract····················································2

1.绪论·····················································3

1.1背景及意义················································································3

1.2国内外文献综述及研究内容·····························································3

1.3主要研究方法···············································································4

1.3.1文献研究法········································································4

1.3.2实证分析法········································································4

2.货币政策的股票价格传导机制··················4

2.1利率传导到股票价格······························································4

2.2存款准备金率传导到股票价格·····················································5

2.3货币供应量传导到股票价格······························································5

2.4货币政策经由股市传导到实体经济······················································6

3. 我国货币政策与股票价格关系的实证分析····················6

3.1数据的选取及来源········································································6

3.2 描述性统计分析···········································································7

3.2.1我国货币供应量与股票价格的关系分析······································7

3.2.2存款准备金率、存贷款基准利率与股票价格关系分析·······················7

3.2.3GDP与股票价格关系分析··························································8

3.3实证分析····················································································8

3.3.1单位根检验·········································································8

3.3.2Johansen协整检验································································9

3.3.3向量自回归（VAR）模型·························································9

3.3.4脉冲响应分析·····································································10

3.3.5格兰杰因果关系检验····························································11

3.4结论与分析················································································12

4.对策建议················································12

参考文献··················································14

致谢······················································15

我国货币政策对股票市场影响的实证研究

刘蕾

Abstract ：The stock market is an important component of China's capital market. Its operation does not seem to find any rules, but it has undergone several ups and downs. These crisis can all confirm that there is a close relationship between the money market and the stock market. We only have a full grasp of the causes and directions of the macroeconomic policies affecting the stock market, so that the entire movement of the stock market can be discovered and grasped by us. At the same time, the stock market is challenging the traditional and traditional monetary policy. When making decisions, the monetary authorities will also include the stock market in the research scope. This paper uses the time series data from 2008 to 2018, and empirically the study of the whether money supply, the deposit reserve ratio, the interest rate affects and how to affect the stock price. After research and analysis can be found, there is a certain degree of cointegration between the money supply, deposit reserve ratio, interest rates and stock prices and Granger Causality, in which money supply has a positive effect on stock prices, interest rates, savings The reserve ratio of the funds and the stock price have a reverse effect. Finally, based on the empirical results, some corresponding countermeasures are proposed.

keyword: monetary policy; stock price; VAR model

1.绪论

1.1选题背景和意义

从上世纪九十年代初开始，随着股票市场不断发展壮大，我国股票市场在许多方面都取得了巨大的成就，已发展成为亚洲乃至全球最为重要的股市之一。刚出现股市的时候，上市公司数量特别少，投资目标也不多，然而截至到2018年3月，上市公司数量已经达到3500多家，显然股票市场已成为资本市场中的一个重要组成部分，对国民经济的发展有着举足轻重的影响。众所周知的是央行调节控制宏观经济的一个重要手段就是货币政策，这同时也表明了货币供应量、存款准备金率、利率与股票价格的变化一定存在着相当紧密的关系。1984-1991年，反通货膨胀是我国货币政策的主要目标；1992年后，越来越多人发现投资获益很大，投资需求扩大，从而让资本需求激增，与此同时，国际收支失衡，政府财政赤字加剧，所以该期货币政策的最终目标就是保证收支平衡并反通货膨胀，在1998-2002年期间，通货膨胀依然很严重，所以这个依然是货币政策的目标，而到了2003年，央行一直采用着稳健的货币政策直至2006年，后来由于银行体系流动性太大，信贷扩张的压力也很大，所以07年开始采取紧缩的货币政策，2008年，全球性经济危机爆发，为促使经济被刺激增长，并为了稳定资本市场，央行开始实行积极宽松的货币政策，2010年，经济情况得到了很大的改善，宽松的货币政策又转变为稳健状态，而我国目前的货币政策依然是稳健状态。

通过对货币政策与股票价格关系的分析研究，能让我们对资本市场发展情况有一个更详细的认识，让我们在作出决策时有个可靠的依据，让我们在投资的时候可以更加理性，获得更高的收益，最后能正确地引导经济的发展，在这个过程中，我们可以发现问题，不断完善货币政策传导机制，最后能正确地引导经济的发展，维持资本市场的和谐稳定。

1.2国内外文献综述及研究内容

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