我国货币政策与股票市场互动效应的实证研究.pdf

1、华中科技大学 硕士学位论文 我国货币政策与股票市场互动效应的实证研究 姓名：陈平 申请学位级别：硕士 专业：金融学 指导教师：张宗成 20041001 II ADF VAR VECM III Abstract The monetary po1icy, as one of the significant means for macroeconomic readjustment in our country, has been found apparently restricted in its role in recent years, due to traditional channels f

2、ading and transmission mechanism impediment With vigorous development of the stock market, which is linked more closely with the national economy, the implementation of monetary policy inevitably influences its trend, while the stock market produces positive impact on the effect of the monetary po1i

3、cy. To make an in-depth study on their related effect to confirm whether the stock market can become a new transmission channel for monetary po1icy, and to make monetary policy display a more effective role in macroeconomic readjustment has now become a new task confronted in the economic field of o

4、ur country. This text does the brief summary to the monetary policy and stock policy at first, analyse about the related mechanism on the monetary policy and stock market, is it act as the theory explain to influence each other to of our country monetary policy and stock market. Then, use ADF test s

5、tatistic, the cointtegration test, the vector autoregression model (VAR), the vector error correction models (VECM), the impulse responses the function, variance decomposition method of econometric technology etc. analyses the real example to the monetary policy of our country and interaction effect

6、 in the stock market, the real example is analysed to include the impact on speed of money flow of the stock market , influence to monetary demand of stock price change, the impact on the contribution degree analysis of the economic growth, stock market correctly of interest rate of stock market and

7、 impact on stock market of the money supply. Finally, according to the result of study of above-mentioned real examples, I think that there are certain related effects in the stock market of our country and monetary policy, but such related effect is faint and unstable, reason lie in that monetary a

8、uthorities at the monetary policy of making is not to enough concern on stock market, it is very nonstandard that the stock market of our country is developed, and the function of conducting the monetary policy is obstructed. The last part, the new opinions and suggestions for change direction in mo

9、netary policy and stock market re-recognition of function change direction in monetary policy have put forward. Key Words: Monetary policy Stock market Interaction effect VAR model 1 1 1.1 90 GDP 1992 3.93% 2003 36.38% 2000 53.79% 1992 14 2003 1287 GDP 1-1 GDP 2003 1994 7 89 36 83 38.84% 1-1 1999 20

10、03 /GDP / 1994 3691 326.78 7.89 9.11 1999 26475 944.56 32.26 24.34 2000 48091 2103.08 53.75 38.84 2001 43524 1252.08 44.72 30.31 2002 38328 961.74 36.58 22.42 2003 42453 1357.8 36.38 20.40 2003 2 1999 8 27 Jackson Hole 1.2 1.2.1 3 Q (1969) q (1971) ( ) 1 (1) (2) ( ) (3) M.Friedman (1988) 4 :(1) (2)

11、 4 (3) (4) ( ) 4 M.Friedman (1988) 1961-1986 : M2 M1 M0 M2 1886-1985 M2 M2 2 Fieldman(1984) 1919-1929 1925 M1 17% Palley(1995) 1976-1991 3 S.B.Carpenter & J.Lange(2002) 1995-2002 M2 M2 4 Huangr.R.D. & W.A.Kracaw News 5 Dayananda.D. & Wen-Yao Ko 6 Mooker.R. & Qiao Yu 7 Fama(1990) 1953-1987 8 Domian Lonton (1997) 1947 1 1992 12 5 (asymmetry) : 9 (Harrison ,1997) Harrison GDP 1.2.2 20 90 (1998) 10 (2002) (2002) 11 ( ) (2000) 1994-1999 Ml,M2 12 (2000) 6 (2001) 1993-2000 M1,M2 13 (2003) 14 2000 15 2000 161.3 1.3.1