e货币政策对股票市场影响的实证研究

华中科技大学硕士学位论文货币政策对股票市场影响的实证研究姓名：张云飞申请学位级别：硕士专业：金融指导教师：周云20090501IVARARCHARCHVARGranger2IIAbstractFordetectingtheinfluenceofthestockmarketgivenbythemonetarypollicy,thepaperusesthecasestudyandVARmodelrespectivelytofindouthowitinfluencesthesharemarketinlongtermandshortterm.Bystudyingthevolatilityofthestockmarket,wecanfindoutthatthestockyeildobeystheARCHmodelwhichfitsitandresultstheexcessprofitratefromthepracticalandfittingfigure.Astheexcessprofitrateshowsthegradualnormaldistrubution,wecanfindthattheinterestingratedoesnotrealizetheeffortwepredictedbeforewhenthecomparingtheaveragefigureandmethordafterpublizingtheinterestingrate.Viewinginlongterm,becausetheshortcomingsofthecacestudy,wechoosetheVARmethordinthepaper.Aftermodelingtheinterestingindexandstockmarket,wecandiscovertheinterbankofferrateeffctingthestockmarketgreatlywhiletheentreprise’smiddleandlongtermloadmakingweakinfluenceonthechangeofthestockindex.Moreover,theGrangercausalitytestalsosupportstheconclusionabove.Inoneword,themonetarypolicydomaketheeffortsonthestockmarketbuthavingalongtermlag.Takinginterbankofferrateasexample,itmakestheeffortafterlaunching2monthsKeywords:StockMarketMonetaryPolicyCaseStudyVAR_____“√”111.1200710600020701991202001614200521447%200722007200713.0%4.8%2008ARCH10VAR21.21.2.1Blanchard1981IS-LM3Campbell19901927~1988Campbell19911VARWillemThorbecke1997FFNBRVARFFNBRAPTPatelis1997VARPearsandRoley1982604Bernanke2006CampbellPatelisPatelisBernankeBoydJagannathanHu2001Feldstein19801.2.220012002,2007CAPM020072000358101530502003520012004Granger2003VARVAR20051994~200020041.3VARGrangerGARCH6VARVARVARGrangerGrangerGranger1.41996199820001996~1999GARCH200472199419942007~20082.11212121(1)(1)(1)(1)(1)tttFFFPVrrrrrr=+++++++++LL2-1PVPresentValue12,,,trrrL1r12,,,tFFFL18200820052007VARVECMGDPGDP16.87GDPGDP2006GDPGDPGDP920082006ABH2002ARDL1023CAPM112004552008CAPM/4200456122.21mvpy=2-220041M213141533.10M1M2M1MBernanke200600,,1()umdmdDiffDd−∆=−−3-1ui∆0,mdfDeuiii∆=∆−∆3-2i∆ei∆BernanketHttttHabiδ=+∆+3-3eeuuttttHabibiδ=+∆+∆+3-4163-1.1999.6.102.073.243.783.693.512.162001.9.102.972002.2.211.893.243.152.972003.12.211.627.022004.3.253.873.63.333.242005.3.170.992008.1.14.686.594.414.322008.11.121.620.723.63.513.332.972008.12.233.333.243.061.8199993.21tttDPP−=−3-511ttttPPRP−−−=3-61711ln(1)ln()ttttttPrRppP−−=+==−3-7lnttpP=tPt-1+∞3.3181tttYYuρ−=+11ρ−≤≤3-8ρ=13-81ρtY11(1)ttttYYYuρ−−−=−+3-91tttYYuδ−∆=+3-101δρ=−3-100δ=1tY−ttDickeyFuller(1979)3-101tY−tτADF1211mttititiYtYYββδαε−−=∆=+++∆+∑3-111999142009115240001000200030004000500060007000500100015002000SHDAYLYINDEX01002003004005006007001000200030004000500060003-119-.06-.04-.02.00.02.04.06500100015002000SHDAYLYREVENUE0100200300400500600-0.0250.0000.0253-23-13-22007~20081000~20003-2JB33-2JBp1976.91032.52.0776.6642988.80.00000.000090.007290.04547.5522019.90.00003-3ADFt5%-48.4614-2.86-1.3603-2.86-21.6728-2.863.4ARCH3.4.1ARCH20ARCH{}tytttyXuζ′=+3-121(0,)tttuNh−Ω:3-131(,,)tttqhhuu−−=L3-14X1t−Ω3-130th3-14thARCHARCHqqqqBollerselev(1986)GARCHARCHGARCHpqtttuhε=3-152011qptitiitiiihuhααβ−−===++∑∑3-16GARCHARCHARCHGARCHGARCH211GARCHGARCH11211ttthuhωαβ−−=++0ω0α≥0β≥3-17αββαARCHGARCH123411223344ttttttrrrrrββββε−−−−=++++3-18trt3-44p10.00910.65512-0.02930.151330.06120.002740.05810.0045121324ttttrrrββε−−=++3-193-5341β2β0.0605*0.0030.0596*0.0035p*1%223.4.2WhiteWhite12233iiiiYXXuβββ=+++3-20White13-20ˆiu2222122334253623ˆiiiiiiiiuXXXXXXvαααααα=++++++3-213-203-2132Rn2χ22dfnRχg:3-2243-222χEviews5.1WhiteWhite3-19WhiteWhitep03.4.3ARCHLMARCHARCHLM23ARCHOLSARCHARCHEngle(1982)ARCHARCHLM10ARCHLM3-5ARCHp10.09960.000020.03260.113630.11320.000040.04370.034550.03860.062260.03010.145870.03850.062980.05960.00379-0.00650.9975100.07620.000210ARCHLMF0ARCHGARCH111324ttttrrruββ−−=++3-24GARCH1121121ttthuhωλλ−−=++3-253-6GARCH1β2βω1λ2λ0.0501**0.0110.2470.22490.0008*0.00000.1118*0.00000.8816*0.0000p*1%**5%40(3-25)GARCH2λ1λ24ARCHLMARCHGARCHGARCHˆtrtR=ˆttrr−(3-26)3-710101010101999.6.100.003470.007860.0000630.0001232001.9.10-0.00168-0.001370.0000530.0000182002.2.210.001270.003620.0002330.0000352003.12.21-0.000220.003430.0000120.0000452004.3.250.001430.000810.0000250.0000072005.3.17-0.00103-0.001990.0000290.0000172008.1.10.002120.001330.0000530.0000062008.11.27-0.000480.002270.0002510.0001122008.12.23-0.0023-0.00010-0.0000770.0000682001983.5101999610101010JBP0.782510JBP0.69121,,,nζζζL211(,)Nuζσ:121,,,nηηηL11111niiunζ==∑12211111()niiSunζ==−∑22121niiunη==∑22222121()niiSunη==−∑10H2212σσ=1H2212σσ≠21112222/(1)/(1)nSnFnSn−=−12(1,1)Fnn−−αF20H12µµ=1H12µµ≠112121222121122(2)()nnnnuuTnnnSnS+−−=++gT12(2)tnn+−112nn12111221211nniiikkkknZnnnnζηηη===−+−∑∑12nn21211111211nniiikkkknZnnnnηζζζ===−+−∑∑min1min1nkkZZn==∑min221min1()nkkSZZn==−∑0Hmin1ZTnS=−gmin1n−t261012minnnn==iiiZζη=−3-8FT1999.6.100.5158-0.71922001.9.102.95640.39392002.2.216.69511.30082003.12.210.2704-1.07492004.3.253.6644-1.05882005.3.171.68550.31822008.1.18.5349-1.18672008.11.272.24700.85702008.12.231.1759-0.38435%α=0.025(9,9)3.18F=0.025(18)2.101t=0.025t=2.2622002220043200812008113.6ARCHARCHGARCHGARCHGARCH19999274VARVARVAR4.14.