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  本文關鍵詞：股票價格波動對貨幣政策的影響　出處：《南京財經大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 股票價格波動 貨幣政策 中央銀行 利率規(guī)則

【摘要】：本文主要研究股票價格波動對貨幣政策的影響，央行在制定貨幣政策時應該考慮股價的變化，并在必要時干預股市。如今我國的股票市場發(fā)展很快，已經具備了相當?shù)囊?guī)模，與經濟生活的聯(lián)系越來越密切。而且從世界各國的歷史來看，股票價格的巨大波動往往伴隨著嚴重的經濟危機。這時候股票價格波動對消費、投資和產出所造成嚴重的影響。貨幣政策的目標在于穩(wěn)定物價，那么只要是物價的大幅度波動，都需要貨幣政策進行調控。雖然當前央行名義上的中介目標是貨幣供應量，但是從我國的基礎貨幣、貨幣乘數(shù)以及貨幣流通速度來看，這些變量都不穩(wěn)定，而且不受央行控制。因此我國不應將貨幣供應量作為中介目標。我國當前正在進行利率市場化改革，可以考慮實行利率規(guī)則。在借鑒前人模型的基礎上，本文對其進行了細節(jié)上的修改，建立了一個封閉經濟模型，并推導出最優(yōu)利率規(guī)則。這就從理論上證明了貨幣政策應該對股價波動做出反應。但是現(xiàn)實中我國貨幣政策具有特殊性，比如央行制定政策時會考慮到經濟增長的目標，以及將存款準備金率作為常用貨幣政策工具。同時，我國的股票市場還不完善，比如沒有賣空機制，效率比較低。這些都會導致嚴重的問題，那就是股市自身的糾正能力遠遠不夠，過熱的股票市場終會形成越來越大的泡沫。不但危急自身，而且會消耗實體經濟的大量資源，嚴重影響實體經濟的穩(wěn)定。中央銀行應該在必要時對股票價格進行調控，防止虛擬經濟過熱對實體經濟的擠壓。并且從歷史上來看，，我國的中央銀行也是這么做的。在2006-2008年期間，央行的存款準備金政策和存貸款利率政策的變化與股市漲跌有密切關系，央行在股價瘋漲時調高準備金率和存貸款利率，在股價一落千丈時降低準備金率和存貸款利率。然后，本文在最優(yōu)利率規(guī)則的基礎上，選取2002-2011年的月度數(shù)據(jù)，將7日內銀行同業(yè)拆借利率作為被解釋變量，將工業(yè)增加值、商品零售價格指數(shù)和上證綜指作為解釋變量，將第二產業(yè)固定資產投資、居民消費物價指數(shù)和深成指作為工具變量，采用GMM方法進行回歸分析。結果發(fā)現(xiàn)股價缺口前的系數(shù)為0.025，比較顯著。這說明中央在銀行的貨幣政策考慮到了股票價格波動。最后本文進行了總結，并提出了建議。首先是股票市場自身需要不斷發(fā)展和完善，其次中央銀行也要提高效率，全面地考慮經濟形勢，出臺相應的貨幣政策。
[Abstract]:This paper mainly studies the influence of stock price fluctuation on monetary policy. When making monetary policy, the central bank should consider the change of stock price and intervene in stock market when necessary. Already have a considerable scale, and economic life is increasingly closely linked, and from the history of countries around the world. Stock price volatility is often accompanied by a severe economic crisis. At this time, stock price fluctuations have a serious impact on consumption, investment and output. The goal of monetary policy is to stabilize prices. So long as the price of large fluctuations, we need monetary policy to control. Although the current nominal central bank intermediary target is the money supply, but from the base money of our country. The monetary multiplier and the velocity of money circulation, these variables are unstable and not under the control of the central bank. Therefore, China should not take the money supply as the intermediate target. At present, China is carrying out the reform of interest rate marketization. We can consider implementing interest rate rules. On the basis of the previous models, we modify them in detail and set up a closed economic model. The optimal interest rate rule is deduced, which proves theoretically that monetary policy should react to stock price fluctuation. But in reality, China's monetary policy has its particularity. For example, the central bank will take into account the economic growth targets when formulating policies, and the reserve requirement ratio as a common monetary policy tool. At the same time, China's stock market is not perfect, for example, there is no short selling mechanism. Inefficient. These will lead to serious problems, that is, the stock market itself is far from rectifying capacity, overheated stock market will eventually form a bigger and bigger bubble. Not only crisis itself. Moreover, it will consume a large amount of resources of the real economy and seriously affect the stability of the real economy. The central bank should regulate the stock price when necessary. To prevent the virtual economy from overheating squeezing the real economy. And historically, the central bank of our country did the same. During the period 2006-2008. The changes in the central bank's deposit reserve policy and deposit and loan interest rate policies are closely related to the rise and fall of the stock market. The central bank raised the reserve ratio and deposit and loan interest rates when the stock price soared. When the stock price plummeted, the reserve ratio and deposit and loan rates were reduced. Then, based on the optimal interest rate rule, this paper selects the monthly data from 2002 to 2011. In 7th, the interbank offered rate is taken as the explanatory variable, the industrial added value, the retail price index and the Shanghai Composite Index are taken as the explanatory variables, and the second industry fixed assets investment is taken as the explanatory variable. The index of consumer price index (CPI) and deep index are used as tool variables, and the regression analysis is carried out by GMM method. The results show that the coefficient before the gap of stock price is 0.025. This shows that the monetary policy of the central bank takes stock price fluctuation into account. Finally, this paper summarizes and puts forward some suggestions. Firstly, the stock market needs to be developed and improved continuously. Second, the central bank should also improve efficiency, comprehensive consideration of the economic situation, the introduction of corresponding monetary policy.
【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F822.0

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本文編號：1361425