22我国货币政策与股票市场互动效应的实证研究

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20041001IIADFVARVECMIIIAbstractThemonetarypo1icy,asoneofthesignificantmeansformacroeconomicreadjustmentinourcountry,hasbeenfoundapparentlyrestrictedinitsroleinrecentyears,duetotraditionalchannelsfadingandtransmissionmechanismimpedimentWithvigorousdevelopmentofthestockmarket,whichislinkedmorecloselywiththenationaleconomy,theimplementationofmonetarypolicyinevitablyinfluencesitstrend,whilethestockmarketproducespositiveimpactontheeffectofthemonetarypo1icy.Tomakeanin-depthstudyontheirrelatedeffecttoconfirmwhetherthestockmarketcanbecomeanewtransmissionchannelformonetarypo1icy,andtomakemonetarypolicydisplayamoreeffectiveroleinmacroeconomicreadjustmenthasnowbecomeanewtaskconfrontedintheeconomicfieldofourcountry.Thistextdoesthebriefsummarytothemonetarypolicyandstockpolicyatfirst,analyseabouttherelatedmechanismonthemonetarypolicyandstockmarket,isitactasthetheoryexplaintoinfluenceeachothertoofourcountrymonetarypolicyandstockmarket.Then,useADFteststatistic,thecointtegrationtest,thevectorautoregressionmodel(VAR),thevectorerrorcorrectionmodels(VECM),theimpulseresponsesthefunction,variancedecompositionmethodofeconometrictechnologyetc.analysestherealexampletothemonetarypolicyofourcountryandinteractioneffectinthestockmarket,therealexampleisanalysedtoincludetheimpactonspeedofmoneyflowofthestockmarket,influencetomonetarydemandofstockpricechange,theimpactonthecontributiondegreeanalysisoftheeconomicgrowth,stockmarketcorrectlyofinterestrateofstockmarketandimpactonstockmarketofthemoneysupply.Finally,accordingtotheresultofstudyofabove-mentionedrealexamples,Ithinkthattherearecertainrelatedeffectsinthestockmarketofourcountryandmonetarypolicy,butsuchrelatedeffectisfaintandunstable,reasonlieinthatmonetaryauthoritiesatthemonetarypolicyofmakingisnottoenoughconcernonstockmarket,itisverynonstandardthatthestockmarketofourcountryisdeveloped,andthefunctionofconductingthemonetarypolicyisobstructed.Thelastpart,thenewopinionsandsuggestionsforchangedirectioninmonetarypolicyandstockmarketre-recognitionoffunctionchangedirectioninmonetarypolicyhaveputforward.KeyWords:MonetarypolicyStockmarketInteractioneffectVARmodel111.190GDP19923.93%200336.38%200053.79%19921420031287GDP1-1GDP20031994789368338.84%1-119992003/GDP/19943691326.787.899.11199926475944.5632.2624.342000480912103.0853.7538.842001435241252.0844.7230.31200238328961.7436.5822.422003424531357.836.3820.402003(1969)q(1971)()[1](1)(2)()(3)M.Friedman(1988)4:(1)(2)4(3)(4)()4M.Friedman(1988)1961-1986:M2M1M0M21886--1985M2M2[2]Fieldman(1984)1919--19291925M117%Palley(1995)1976--1991[3]S.B.Carpenter&J.Lange(2002)1995--2002M2M2[4]Huangr.R.D.&W.A.KracawNews[5]Dayananda.D.&Wen-YaoKo[6]Mooker.R.&QiaoYu[7]Fama(1990)1953-1987[8]DomianLonton(1997)194711992125(asymmetry):[9](Harrison,1997)HarrisonGDP1.2.22090(1998)[10](2002)(2002)[11]()(2000)1994--1999Ml,M2[12](2000)6(2001)1993-2000M1,M2[13](2003)[14]2000[15]2000[16]1.31.3.171.3.2Sprinkel(1964)15212.55.8[17]Sprinkel2070HomaJaffee(1971)[18]Keran(1971)HomaJaffeeHamburgerKochin(1972)Keran()[19]:()1.(LittermanWeiss,1985Eichenbaum,1992Strongin,1992)[20-22]2070(VAR)(2001)[23]VARVARVECVectorErrorCorrectionModel)VECM2.VECM8(1%)922.12.1.1[24]121032.1.2111()22.22.2.1[25]126-810122.2.2132.2.32.32.3.11)142)1998[26]15“”3)Q[27]98981620021224200210590%2.3.21)172)12()20026·242430183=/=/193-11992-2003GDPM1M2SJZZM2/GDP(K)V1V2INF199226651.911731254021046.880.952.271.055.4199334560.516280348793532.711.012.130.9913.2199446670.120540469233689.321.002.281.0021.7199557494.923978607503473.601.042.440.9614.8199666850.528514760949843.271.122.380.896.1199773142.7348269099517454.031.222.140.820.8199876967.23895310449819210.241.332.010.75-2.6199980579.44583711989726474.941.461.790.68-3200088228.15314713461048090.201.511.680.66-1.5200194346.459871.6158302.943524.941.651.600.61-0.82002105172.07088218500738327.571.811.440.55-1.32003116898.084118.6221223.842453.131.901.390.531.23-2Lags:1NullHypothesis:ObsF-StatisticProbabilityLNSJZZdoesnotGrangerCauseLNV1107.037860.03517LNV1doesnotGrangerCauseLNSJZZ0.837710.48554Lags:2NullHypothesis:ObsF-StatisticProbabilityLNV2doesnotGrangerCauseLNSJZZ101.107150.39989LNSJZZdoesnotGrangerCauseLNV25.113510.06179FPV1V2V1V2:LnV1,V2=c+b×INF+d×LN(SJZZ)20M1,M2V1V2INFSJZZEviews:3-3V1V2DependentVariable:LNV1VariableCoefficientStd.Errort-StatisticProb.C2.0291560.4871824.1650910.0024INF-0.0092020.007737-1.1893480.2647LNSJZZ-0.1447840.048694-2.9733490.0156R-squared0.550509AdjustedR-squared0.450622Durbin-Watsonstat1.093903F-statistic5.511313Prob(F-statistic)0.027368DependentVariable:LNV2VariableCoefficientStd.Errort-StatisticProb.C1.2092030.3258713.7106810.0048INF0.0036130.0051750.6980560.5028LNSJZZ-0.1583240.032571-4.8609340.0009R-squared0.875970AdjustedR-squared0.848408Durbin-Watsonstat0.753484F-statisti