【作者】 杨龙光；

【导师】 王擎；

【作者基本信息】 西南财经大学 ， 金融学， 2013， 博士

【摘要】 资产价格与货币政策的关系一直是学术界的研究热点。从微观层面来看,已有的研究大多集中于资产价格对货币政策传导的作用以及资产价格是否能够准确地反应宏观经济等问题；从宏观层面来看,已有的研究大多集中于货币政策是否应该干预资产价格以及能否干预资产价格等问题。已有研究的视角往往较为独立,但实际上,金融应该是一个整体,并且对于整个金融行业来说,其也不是孤立的,而是与社会、经济、政治等方方面面的因素紧密相关的,因此对金融学的研究不仅应该将宏观领域和微观领域联合起来研究,更应该将视野扩展到金融行业以外的领域。正是基于这个原因,现代金融学的研究前沿便是将宏观金融研究与微观金融研究联系起来。本文的研究正是以这个思路为基础而展开的。首先,本文根据研究中涉及到的问题,对相关文献进行了回顾,包括货币政策通过何种渠道影响实体经济以及资产价格与货币政策之间的关系。从理论的角度来看,前者主要是分析货币政策与实体经济之间的相关关系；而后者则主要是分析资产价格对货币政策实施的影响,其又分为两方面的内容,即货币政策是否应该干预资产价格和货币政策能否干预资产价格。然后,本文对我国的货币政策和股票市场进行了一些相关性分析,考察了价格型的利率调控和数量型的货币供应量调控与国内生产总值、居民消费价格指数的相关关系、股票价格与股票交易量之间的相关关系和股票价格是否能够准确反应实体经济的问题。对于货币政策来说,本章主要是考察我国的货币政策如何对实体经济做出反应,即依据现实数据考察二者是否有较为明显的相关关系,如果有,那么货币政策是先于实体经济而变动,还是同步变动,亦或是滞后变动；对于股票市场来说,交易量对实体经济有直接影响,而交易量又与股价有着必然联系,不过,到底是交易量先于股价变动,还是同步变动,亦或是滞后变动,以及股票价格在多大程度上体现了实体经济的发展,这些问题都是本文研究所需要考虑的问题,因此第二章的研究为后续章节模型的提出以及得出本文的最终结论提供了初步的现实依据。在第三章中,本文对影响我国股票市场价格的相关变量进行了分析,目的是为了对问题“货币政策是否能够干预资产价格”提供一种可能的答案。本章在定量分析的基础上分别探讨了股票收益率和股票价格的宏观、中观和微观决定因素,以大盘指数收益率、上市公司股票收益率以及单一个股的价格作为被考察对象,采用了计量分析、主成分分析和神经网络模型等多种分析手段,全方位的考察了股票价格的决定因素,发现宏观层面对股票收益率的影响大多来自经济的生产方面,比如考察经济活跃程度的指标、考察生产成本的指标以及衡量经济发展周期的指标；中观层面对股票收益率的影响主要取决于上市公司的盈利能力和高管持股水平；从微观层面来说,大单交易对上市公司股价的影响则较为显著。这一章的结果对后续章节模型的建立提供了重要的现实依据,并对本文的最终结论给出了一种可能的回答。在第四章中,、本文以IS-LM模型的框架为基础,在紧紧把握市场流动性这一线索的思想指引下,将股票市场加入了IS-LM模型,通过模型,本文论述了股票市场对货币政策影响的作用机制在于股票市场作为人们一种重要的投资渠道,其与居民的消费或企业的生产投入一样,会吸收一部分的社会流动性,由于居民会受到消费约束,企业也会受到资金约束,因此股票市场与商品市场之间存在一定的替代效应,在这种情况下,试图调节商品市场的货币政策其最终实施效果便会受到这种替代效应的影响。同时,股票市场又具有体现实体经济的同步效应以及反作用于实体经济的财富效应,因此若货币政策改变了商品市场的相关指标,比如通货膨胀或产出缺口,那么其实际上也就改变了实体经济的发展水平,理论上股票市场也会相应地受到影响。因此,到底是同步效应和财富效应多一点,还是替代效应多一点,对这个问题的探讨可以回答股票价格对货币政策实行机制有何影响的问题。第五章是对第四章定性模型的数理化探讨,在第四章分析的基础上,本章建立了一个包含居民、企业、银行和中央银行四个部门的一般均衡模型,讨论了其各自的最优化行为,并通过建立商品市场的一般均衡模型,将上述四个经济主体的行为加入到同一个均衡方程中。同时,我们根据市场投资者投资情绪的不同,设定了两种关于股票定价的函数,分别讨论了当股票定价函数不同时,股票价格对货币政策实施效果的影响,得出了与第四章定性分析相同的结论。在文章结构上,第五章是对第四章分析的一个递进,并回答了第四章所关注的问题,指出影响股票市场同步效应和财富效应与替代效应的主要因素是股票市场投资者的情绪。当投资者的投资情绪偏理性时,股票市场的同步效应与财富效应更大；当投资者的投资情绪偏非理性时,股票市场与商品市场之间的替代效应更大。第六章是在对问题“股票价格对货币政策实行机制的影响”的定性分析和模型分析的基础上进行的对现实数据的考察,通过现实数据,我们首先通过计量模型找出了我国股票市场存在非理性行为的那些时间区间,然后分别对其进行考察,发现当股票市场投资情绪以理性为主时,货币政策对商品市场价格水平的调控效果较为明显,此时股票价格与物价水平之间具有较为明显的相关关系,货币政策不用关注股票价格,同时货币政策的调整会影响到股票价格的变动；当股票市场非理性情绪占主导时,货币政策对商品市场价格水平的调控效果需要更长的持续期和更大力度的调控才能起作用,此时股票价格与物价水平之间的相关关系较弱,货币政策对股票价格的调整与其对物价水平的调整一样,具有不确定性,为了达到调控效果,需要实施比市场理性情绪时更大力度的调控。本文所得出的主要结论是,在股票市场偏理性或投资的成分较多时,由股票价格的变动引起的商品市场价格的变动较为稳定,此时央行的货币政策不用关注股票市场的价格,其对通货膨胀和产出缺口的调控目标容易达到,但是对股票市场价格的调控具有一定的不确定性；在股票市场非理性或投机的成分较多时,由于股票市场引入了价格反馈的作用机制,因此由股票价格的变动引起的商品市场价格的变动会变得不太确定,此时央行的货币政策为了达到对通货膨胀和产出缺口的调控目标,其调控力度会大于市场偏理性时的调控力度,同时该调控对股票市场价格的影响仍然具有一定的不确定性。本文在研究过程中还发现,价格调控型的利率政策对国内生产总值和通货膨胀的双向调控作用较为明显,而数量调控型的货币供应量调节则对国内生产总值和通货膨胀的推动作用大于回拉作用；股票大盘回报率和大盘指数的波动领先交易量的波动大约一个月左右；央行的货币政策对股票市场价格指数的影响具有较大的不确定性,在不同的时期可能会有不同的效果。对股票价格的决定因素来说,股票价格的宏观影响因素主要来自于生产方面；中观影响因素主要是公司经营和高管持股；微观层面的大单交易对股票价格的波动具有较大的解释力。对于我国的货币政策来说,由于对我国股市的宏观影响多来自于生产层面,并且在不同时期货币政策对股票价格具有不同的影响,因此并不建议将股票价格作为货币政策关注的最终目标。由于当股票价格发生较为非理性的波动时,往往需要更大力度的货币政策才能达到对股票价格的干预效果,因此为了避免股市暴涨暴跌对实体经济的影响,采取一些货币政策之外的措施来干预股市也是十分必要的。本文的主要创新点在于：首先,本文将宏观模型和微观模型放在一个框架下进行研究,通过微观个体的最优化行为建立了一个具有多个部门的一般均衡模型；其次,在模型设定时,本文尽量做到让所有的变量都成为内生变量,这样可以有效的将不确定因素都放在模型内部讨论。并且本文从模型的建立到得出商品市场上的一般均衡模型,再到最后得出股票价格对货币政策实施机制的影响作用的结论,每一步的推导本文都有细致的描述,尽量做到从数学上和经济学上都具有合理性；最后,本文联系现实数据和本文模型,通过计量的方法定位了我国股票市场出现非理性投资情绪的时期。这不仅反应了本文模型设定思路的正确性,也使得联系市场实际数据对模型结论的说明显得更有说服力。然而本文仍有不足之处,具体来说主要有以下两点：第一,现实中的金融资产不只股票一种,而本文只考虑了股票一种情况,并且本文中也没有考虑政府因素和进出口因素,因此对现实问题的模型化还不够全面；第二、本文的模型中只对居民和企业部门的目标函数取了具体形式,银行和中央银行的相关函数采用的是一般形式,因此本文得出的最终结论是根据函数的边际性质对函数的一般形式进行讨论的基础上而得出的,并没有给出具体的解析解,因此若要应用计量模型还需要对本文模型中一般形式的函数进行进一步的假设,赋予其具体的形式。不过,以上不足也正是本文今后研究的重点。更多还原

【Abstract】 The relationship between asset prices and monetary policy has long been a hot issue discussed by the academic community. From the micro-level, previous studies have focused largely on the role of asset prices on monetary policy transmission, and whether asset prices accurately reflect the macro-economic and other issues. From the macro-level, the existing research focuses largely on whether monetary policy should intervene in asset prices and the ability to intervene in asset prices and other issues. The perspective of existing researches tend to be more independent, but in fact, this field of researches should be an entirety, so as the financial sector, and it should be closely related to all aspects of social, economic, political and other factors. Hence, the study of finance should not only be the joint of macro and micro researches, but extend the vision to areas outside the finance. For this reason, the frontier research of modern finance tries to contact the macro-financial researches with the micro-finance researches.Our study is based and expanded on this idea. Firstly, we summarize the relevant literature on the channels of monetary policy effect the real economy and the relationship between asset prices and monetary policy. From a theoretical point of view, the former literature is to analyze the relationship between monetary policy and the real economy, and the latter literature mainly analyze the impact of asset prices on the implementation of monetary policy. It is divided into two aspects, namely, should the monetary policy intervene in asset prices and whether the monetary policy can intervene in asse prices.Then, the article do some correlation analysis on China’s monetary policy and the stock market, investigate the interest rate regulation of the price and quantity oriented monetary supply regulation and the correlation between the gross domestic product (GDP), the relationship of the consumer price index, stock price and trading volume and stock prices accurately reflect the real economy problem. For monetary policy, this chapter study shows that how the monetary policy reflects on the real economy, our study is basing on real data to examine whether they are obvious. If so, then monetary policy is anterior to the real economy changes, or changes in synchronization, or lag changes. For the stock market, trading volume has a direct impact on the real economy and the trading volume and price intrinsically linked, however, whether it is trading volume before the price change, or simultaneous changes or lag changes, and the stock price reflects to what extent the development of the real economy. All these problems are considered in this article, the second chapter studies the proposed model of the subsequent chapters and draw the final conclusion of this paper provides a preliminary realistic basis.In the third chapter, I analysis the relevant variables affect China’s stock market price, the purpose is to provides a possible answer to the question "whether the monetary policy is able to intervene in asset prices". In the next chapter, I based on the framework of the IS-LM model, this article discusses the mechanism of action of the stock market on monetary policy is that the stock market as an important investment channels for people, and people’s consumption or corporate production inputs, will absorb part of social mobility. Chapter5translates the qualitative model in chapter4into the mathematical way. This chapter establishes a general equilibrium model of four departments:residents, businesses, banks and the central bank. Discussing their respective optimization behavior, and by the establishment of commodity markets general equilibrium model, the four behavior of economic agents to the same balanced equation.The main conclusions of the article is, when rational preference and investment take a larger proportion in the stock market, the change in the price of the commodity market caused by changes in the stock price is relatively stable, the central bank’s monetary policy need not take attention to the stock market price. It’s easy to achieve control objectives frr inflation and the output gap with a certain degree of uncertainty, but not the regulation of the stock market price; When the irrational or speculate in the stock market’s composition is large, as the stock market introduction of price feedback mechanism caused by the movements of the stock price changes in the market price of goods will become less certain, the central bank’s monetary policy on inflation and the output gap in order to achieve control objectives, it’s control efforts will be greater than the market when the rational side control efforts, while the regulation of the stock market prices still have a certain degree of uncertainty. This article also find out in the research process, price regulation-interest rate policy is more obvious, bi-directional regulation of the gross domestic product (GDP) and inflation adjustment pull back the role of the role of the gross domestic product (GDP) and inflation is greater than the number of regulation and control of the money supply. Fluctuations in the rate of return on the stock market and the market index of leading trading volume fluctuations around a month. The effects of central bank’s monetary policy on stock market price index are great uncertainty, and in different time may have different effects. From the determinants of stock price, the macro-economic impact of the stock price factors mainly from the production side; the main Medium influence factors are the company’s operations and executive stock ownership. Micro-level’s big deal on the volatility of the stock price has greater explanatory power. China’s monetary policy, macroeconomic impact on China’s stock market from the level of production, and have different effects at different times of monetary policy on the stock price, so I do not recommend the stock price as the ultimate goal of monetary policy. In order to avoid the stock market rises and falls on the real economy, monetary policy often requires greater efforts in order to achieve the effect of the intervention on the stock price when the stock price is more irrational fluctuations, take some outside monetary policy measures to intervention in the stock market is also very necessary.The article’s main innovations are:Firstly, in this paper, the macro model and micro model on a framework for research, through the microscopic individual behavior established a general equilibrium model with multiple departments;Secondly, when setting up the model, the article as far as possible to put all variables into endogenous variables. So, all uncertainties are placed inside the model discussed effectively. And from the model to derive the general equilibrium model on the commodity markets, to finally arrive at the conclusion of the stock price effects of monetary policy implementation mechanisms, every step of the derivation of this article has a detailed description, as far as possible from mathematics and economics are reasonable; Finally, contact the real data and the proposed model, the period of China’s stock market irrational sentiment is located by the method of measurement. This not only reflects the correctness of our model setting ideas, but also making contact actual market data model conclusions seem more convincing.This article also has inadequateness, specifically the following two main points:First, the reality of financial assets more than the stock, and this article only consider the stock, and this article did not consider government factors, import and export factors neither, so the modeling of real-world problems is not comprehensive enough.Second, this article only for residents in the model and objective function of the corporate sector to take the specific form, and the banks and the central bank takes the general form. Therefore, we draw the final conclusion is based on the marginal nature of the function of the general form of the function on the basis of the discussion arrived, we do not give specific analytical solution, to apply econometric model needs further assumptions on the function of the general form of the model in this article, need to give the concrete form.However, the shortcomings above are also the focus of future research in this article.更多还原