【作者】 汪卢俊；

【导师】 黄永兴；

【作者基本信息】 安徽工业大学 ， 数量经济学， 2010， 硕士

【摘要】 作为股票市场长期争论的一个经久不息的焦点话题,股票市场泡沫问题一直是理论界和实务界关注的重点。历史的经验告诉我们,过度膨胀的股市泡沫会给金融安全以及经济系统带来灾难性的后果。但迄今为止,我国政府主要针对通货膨胀而调控货币政策,并未明确提出控制股市泡沫。故而对于货币政策的调控效果,自然引起许多疑问。因此对于股市泡沫与货币政策问题的研究无疑具有非常重要的现实意义。本文首先对前人的研究作出总结,对股市泡沫的定义进行了界定。之后借助协整方程对我国股市泡沫进行度量,并对度量结果进行相应的统计分析。随后分析了股市泡沫与货币政策的理论关系。而由于我国股市历史较短,通过总结观察不能得出明晰的结论,故借助于计量研究对我国股市泡沫与货币政策的关系进行检验。计量研究结果表明:我国股市泡沫处于缩小阶段的状态相对较长,在增大阶段,股市泡沫趋近于较大的正值,在缩小阶段,则趋近于较小的负值,并且股市泡沫具备一定的正反馈性。这解释了我国股市存在的追涨杀跌行为。进一步对我国股市泡沫与货币政策的关系进行计量检验的结果显示:我国货币政策并不针对股市泡沫进行调整,但股市泡沫变动是货币政策调整的良好信号。表明我国央行实施相关货币政策时确实关注到股市泡沫的变动,支持了央行实施货币政策的定位。由于货币政策直接以股票泡沫作为目标或将股票价格置于货币政策目标体系都是难以操作的,具备操作性的是股市泡沫的变动只有影响到通货膨胀时才受到货币当局的关注。检验支持了我国货币政策是以长期稳定的通货膨胀率为目标。更多还原

【Abstract】 As a hot topic in the stock market, the stock market bubble has been the theoretical circle and practitioners focus. Historical experience tells us that over-inflated stock market bubble will bring disastrous consequences to financial security and economic systems. But so far, our government’s monetary policy aimed at inflation control, did not control the stock market bubble in targeted. So there are lots of questions about the effect of the monetary policy while in the progress of regulation and control,the study about the stock market bubble and monetary policy issues is undoubtedly to have very important practical significance. First ,the article makes a conclusion of the previous studies, defines the definition of the stock market bubble. Then measures the stock market bubble in China by the co-integration equation and takes the corresponding statistical analysis. After that,the article get the theoretical relationship about the stock market bubble and monetary policy,while in china,for the history of the stock market is not very long,the clear conclusions can’t draw by observation,so the econometric research should be used to test the relationship between the stock market bubble and monetary policy.Measurement results show that: China stock market bubble has a relatively long period while in the reduced state,In the increasing stage, the stock market bubble is closer to a larger positive , in the decreasing phase, tends to a smaller negative, and the stock market bubble has a certain degree of positive feedback nature, which explains the existence of Herding in China’s stock market; Further econometric research on China’s stock market bubble and monetary policy, we can see: monetary policy is not adjusted for the stock market bubble, but the change in the stock market bubble is a good signal to adjust monetary policy.which indicates that our implementation of the relevant central bank monetary policy are genuinely concerned about changes in the stock market bubble, which is in support of the central bank’acting when conduct monetary policy position. Because it’s difficult to operate monetary policy when varys directly to the stock bubble .it can get the monetary authority’s attention when inflation is only affected by the stock market bubble. The test supports that China’s monetary policy is target to keep the long-term stability of the inflation rate.更多还原