【作者】 张则辉；

【导师】 刘春旭；

【作者基本信息】 中国石油大学 ， 管理科学与工程， 2009， 硕士

【摘要】 在中国股票史上,政府一直承担着股票市场健康成长的温床和保护伞的角色。在中国股市成长的复杂经济背景下,货币政策的有效性一直面临严峻的考验。尤其是在当前全球性金融危机的特殊时期,政府在频繁动荡的局势面前显得有些应接不暇。从保证证券市场,特别是股市的健康发展角度来看,中国政府一直致力于创造一个比较稳定的金融环境。为了保证我国金融市场的健康发展和对金融危机的抵御能力,我国学术界一直在为货币政策调控力度的稳中适度而进行尝试性的探索。鉴于当前货币政策缺乏有效性的现状,在证券市场环境日新月异的今天,具有时效性和指导性的学术研究意义尤为重大。本文将采用最新的数据和比较成熟的计量模型,从货币供应量对股票价格指数影响的角度进行深入的研究。无论从宏观货币政策视角和微观的个人理财角度,本文的研究都将将具有理论借鉴意义和现实应用意义。这也是本文的研究价值的所在。本文将货币供应量与沪深股指作为代表变量纳入金融系统,应用ADF单位根检验、Johansen协整检验、向量白回归(VAR)模型及向量误差修正模型(VECM)等金融计量方法对货币供应量与沪深股票价格指数之间的相互影响进行实证分析,并在此基础上分析了各层次货币供应量作为货币政策中介工具的可控性和可测性,从而得出它们对于股票市场各种影响的综合效应。本文主要采取理论研究与实证研究相结合的方式研究货币供应量与股票价格指数有关的理论体系、长短期互动关系、因果关系和相互影响能力,最后对实证研究结果进行总结和经济意义分析,阐述未来政策趋势以及对股票市场可能的影响,提出针对性的建议。更多还原

【Abstract】 In the history of China stock, the Chinese government has always been playing a role as a nursery and protective umbrella in the process of the stock market growing healthily. Against the complex economic backdrop of the growth of China stock market, the effectiveness of monetary policy was subjected to a tough test. Our government seemed to be somewhat overwhelmed in front of such a volatile and frequent-changing situation, particularly in the current global financial crisis. In order to keep the securities market, especially keep the stock market developing healthily, the Chinese government has always been committing itself to create a stable monetary and financial environment.In order to keep the health of the monetary and financial market and strengthen the risk-resisting ability against the financial crisis, Chinese academic community has always been trying to search for some moderate monetary policies which were stable and could be controlled effectively. In view of the current monetary policies may be short of effectiveness and the environment of the securities market is changing all the time, so it is meaningful and significant to have a research which is timetabled and helpful in such a changing time. Therefore, the latest data and widely used econometric model are used in this thesis, and we will study the relationship between stock market index and money supply. The thesis will be useful in both macro and micro perspective, and it will also be remarkable significance in theoretical and practical application. That is the value the research searching for.In this thesis, money supply and Shanghai and Shenzhen stock price index are used as representative variables of the monetary and financial system, financial measures such as ADF unit root test, Johansen cointegration test, vector autoregressive (VAR) and Vector Error Correction Model (VECM) are applied to study the interrelationship between money supply and stock price index, the measurability and testability of all levels of money supply which can be regard as controllable intermediary instruments of monetary policy are analyzed to get the integrated effects of impact. The research combines theory with practice in this thesis to study the relevant theoretical system, interaction in short and long-term, causality and mutual influence ability. The results of positive analysis and the economic significance are summarized in the last part, then the trend of future policy as well as the possible impact on the stock market and specific proposals are put forward更多还原