金融危机背景下中国货币政策的股票市场传导机制研究
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摘要
改革开放以来,伴随着中国国民经济的迅猛发展和市场经济体制改革的逐步推进,中国股票市场从最初建立到快速发展,再到股权分置改革,它深刻地影响着中国的国民经济,而与此同时,央行货币政策的传统传导机制也受到了挑战。尤其2007年美国次贷危机以来,世界范围内引发了一场金融海啸,中国的股票市场也经历了大涨大跌的过程,这对中国的经济发展和改革的影响重大。因此,本文基于金融危机影响下中国人民银行货币政策股票市场的传导机制进行研究。
本文的创作思路是:中央银行通过货币政策工具对实体经济进行调控的过程不是一步到位的直接调控。它是先通过货币政策工具作用到中间变量,再由中间变量影响到宏观经济。因此,本文研究货币政策的股票市场传导机制时,也分为两个部分进行研究。首先对货币政策变量对股票市场的影响机制,再是股票市场对宏观经济的传导机制。中国的货币政策的股票市场传导是否顺畅,本文试图利用次贷危机以来中国最新的数据进行实证研究,并对此做出尝试性回答。国内外大量学者的研究为本文提供了丰富的研究基础。
全文主体部分从第一章开始,主要论述了货币政策股票市场传导机制的具体内容。文章先理清中央银行货币政策具体是如何作用到股票市场以及股票市场是如何作用到实体经济的,揭示基于股票市场的货币政策的传导机制的内涵,为文章第二部分的实证模型分析打下坚实的理论基础。
第二章是本文的核心所在,运用中国2007年1月—2010年12月的月度数据,对中国货币政策传导机制的股票市场渠道做实证分析。本文选用代表货币供应量、利率、股票市场以及代表实际经济的消费和投资变量进行实证分析,并得出结论:中国货币政策到股票市场的传导是基本畅通的,而股票市场对实体经济中的消费和投资的影响却并不显著。并结合中国的现实问题,探讨影响中国货币政策股票市场传导机制的因素。
第三章是结论与政策建议。借鉴美国和日本两个发达国家中央银行在金融危机背景下调控股票市场的经验和教训,结合中国股票市场发展的实际情况,对金融危机背景下中国货币政策股票市场传导机制存在的问题提出针对性的政策建议。
Since the 1990s, Stock market of our country has rapidly developed with the high development of economy and the market economic system reform, influenced our national economy profoundly day by day. The monetary transmission mechanism receives serious challenge. Many countries in the world have experienced the harmful consequences which severe fluctuation of the stock price brings. Therefore, it’s urgent and meaningful to do research with our country’s monetary transmission mechanism of stock market based on our own reality.
In this paper, whether the China's monetary policy transmission mechanism of stock market is unblocked is our core: if unblocked, how to use this new efficient conduction mechanism for economic development better, if not unblocked, how to play that conduction mechanism for economic development function. How to learn the transmission mechanism is divided into reform monetary policy to stock market and from the stock market to economic entity, this is helpful for analyze this conduction mechanism. This paper attempts to make use of Chinese data about tentative answer, a great deal of research at home and abroad for this paper to provide the research foundation.
Full body part of the paper begins from the first chapter, which mainly discusses the monetary policy transmission mechanism of stock market research theory. Mainly clear how the central bank monetary policy affects the real economy, reveals the connotation of monetary policy transmission mechanism, Because of monetary policy transmission mechanism of stock market actually experienced scratch one stage, in order to better understand the related theory of evolution and development history, in a brief introduction and analysis of the traditional related to monetary policy transmission mechanism based on the theory of monetary policy transmission mechanism is divided into stock market monetary policy to stock market the conduction and stock market to economic entity of conduction in two stages, and detailed analysis of the monetary policy transmission mechanism of stock market related theory and empirical studies the status quo, both at home and abroad for the empirical analysis after we provided theoretical basis.
The second chapter is about the monetary policy and the analysis of Chinese stock market development present situation. We analysis the China's monetary policy transmission mechanism of stock market ,using monthly data during January 2007 and December 2010, of the monetary policy transmission mechanism into stock market from monetary policy to stock market and from the stock market to the entity economy, and the monetary policy of China stock market conduction mechanism of phases of empirical analysis. The conclusion is China's monetary policy to stock market of conduction is basic unimpeded, and stock market for consumption and investment effect is not significant.
The last chapter is the conclusions and Suggestions. For reference foreign central bank regulation of stock market experiences and lessons, and combining with China's stock market development reality, monetary policy of China stock market conduction mechanism existence the question put forward pertinence policy Suggestions.
本文的创作思路是:中央银行通过货币政策工具对实体经济进行调控的过程不是一步到位的直接调控。它是先通过货币政策工具作用到中间变量,再由中间变量影响到宏观经济。因此,本文研究货币政策的股票市场传导机制时,也分为两个部分进行研究。首先对货币政策变量对股票市场的影响机制,再是股票市场对宏观经济的传导机制。中国的货币政策的股票市场传导是否顺畅,本文试图利用次贷危机以来中国最新的数据进行实证研究,并对此做出尝试性回答。国内外大量学者的研究为本文提供了丰富的研究基础。
全文主体部分从第一章开始,主要论述了货币政策股票市场传导机制的具体内容。文章先理清中央银行货币政策具体是如何作用到股票市场以及股票市场是如何作用到实体经济的,揭示基于股票市场的货币政策的传导机制的内涵,为文章第二部分的实证模型分析打下坚实的理论基础。
第二章是本文的核心所在,运用中国2007年1月—2010年12月的月度数据,对中国货币政策传导机制的股票市场渠道做实证分析。本文选用代表货币供应量、利率、股票市场以及代表实际经济的消费和投资变量进行实证分析,并得出结论:中国货币政策到股票市场的传导是基本畅通的,而股票市场对实体经济中的消费和投资的影响却并不显著。并结合中国的现实问题,探讨影响中国货币政策股票市场传导机制的因素。
第三章是结论与政策建议。借鉴美国和日本两个发达国家中央银行在金融危机背景下调控股票市场的经验和教训,结合中国股票市场发展的实际情况,对金融危机背景下中国货币政策股票市场传导机制存在的问题提出针对性的政策建议。
Since the 1990s, Stock market of our country has rapidly developed with the high development of economy and the market economic system reform, influenced our national economy profoundly day by day. The monetary transmission mechanism receives serious challenge. Many countries in the world have experienced the harmful consequences which severe fluctuation of the stock price brings. Therefore, it’s urgent and meaningful to do research with our country’s monetary transmission mechanism of stock market based on our own reality.
In this paper, whether the China's monetary policy transmission mechanism of stock market is unblocked is our core: if unblocked, how to use this new efficient conduction mechanism for economic development better, if not unblocked, how to play that conduction mechanism for economic development function. How to learn the transmission mechanism is divided into reform monetary policy to stock market and from the stock market to economic entity, this is helpful for analyze this conduction mechanism. This paper attempts to make use of Chinese data about tentative answer, a great deal of research at home and abroad for this paper to provide the research foundation.
Full body part of the paper begins from the first chapter, which mainly discusses the monetary policy transmission mechanism of stock market research theory. Mainly clear how the central bank monetary policy affects the real economy, reveals the connotation of monetary policy transmission mechanism, Because of monetary policy transmission mechanism of stock market actually experienced scratch one stage, in order to better understand the related theory of evolution and development history, in a brief introduction and analysis of the traditional related to monetary policy transmission mechanism based on the theory of monetary policy transmission mechanism is divided into stock market monetary policy to stock market the conduction and stock market to economic entity of conduction in two stages, and detailed analysis of the monetary policy transmission mechanism of stock market related theory and empirical studies the status quo, both at home and abroad for the empirical analysis after we provided theoretical basis.
The second chapter is about the monetary policy and the analysis of Chinese stock market development present situation. We analysis the China's monetary policy transmission mechanism of stock market ,using monthly data during January 2007 and December 2010, of the monetary policy transmission mechanism into stock market from monetary policy to stock market and from the stock market to the entity economy, and the monetary policy of China stock market conduction mechanism of phases of empirical analysis. The conclusion is China's monetary policy to stock market of conduction is basic unimpeded, and stock market for consumption and investment effect is not significant.
The last chapter is the conclusions and Suggestions. For reference foreign central bank regulation of stock market experiences and lessons, and combining with China's stock market development reality, monetary policy of China stock market conduction mechanism existence the question put forward pertinence policy Suggestions.
引文
①王倩.我国股票市场与货币政策依存关系的再检验.东北财经大学2007年11月硕士论文
[1]Anna J.Schartz. Asset Price Inflation and Monetary Policy[J].NBER Working Paper 9321,2002.
[2]Bernanke Ben and Gentler Mark. Should central bank respond to movement in Asset Price?[J].American Economic Review,2001.
[3]Simon Gil Christ and John V.Leahy. Monetary policy and asset prices[J].Journal of Monetary Economics.2002(49):81.
[4]Berkman,Nell G.,On the significance of weekly changes in M1,Ne England economic review,1978,May-June:5-22
[5]Fridman,M.and Schwartz,A.J.,Money and business cycles,Review of Economics and Statistics,Supplement,1963:32-64
[6]Fama,E.F.,Efficient capital markets:a review of theory and empirical work.Journal of Finance,1970,25:383-417
[7]Brunner,K.,Some major problems in monetary theory.American Economic Review Proceedings,1961,47-56
[8]Sprinkel,B.W.,Money and stock prices.Homwood,IL:Richard D.Irwin
[9]Keran,M.W.,Expectations,money and the stock market.Federal Reserve Bank of St.Louis Review,1971,1:16-31
[10]Homa,K.E.and Jaffee,D.M.,The supply of money and common stock prices,Journal of Finance,1971,26:1056-1066
[11]Hamburger,M.J.and Kochin,L.A.,Money and stock prices:the channels of influence,Journal of Finance,1972,27:231-249
[12]Cooper,R.V.L.,Efficient capital markets and the quantity theory of money,Journal of Finance,1974,29:115-146
[13]Pesando,J.M.and Samwick,A.,Stock ownership patterns,stock market fluctuationsand consumption,Brookings papers on Economic Activity,1995:295-357
[14]谢平,新世纪中国货币政策的挑战,金融研究,2000,1:1-10
[15]钱小安,股市价格变化对货币政策的影响,经济研究,1998,1:70-76
[16]钱小安,货币市场与资本市场之间的联结机制及其疏导,金融研究,2001,67-73
[17]刘澜飚、范小云,股票价格膨胀与中央银行政策反应,南开经济研究,2001,6:65-69
[18]高莉、樊卫东,中国股票市场与货币政策新挑战,金融研究,2001,12:29-42
[19]易纲、王召,货币政策与金融资产价格,经济研究,2002,3:13-20
[20]瞿强,资产价格与货币政策,经济研究,2001,7:60-67
[21]胡援成、程建伟,中国资本市场货币政策传导机制的实证研究,数量经济技术经济研究,2003,5:15-18
[22]余明桂、夏新平、汪宜霞,我国股票市场与货币政策互动关系的实证分析,金融与经济,2003,9:22-25
[23]陆蓉.股票市场的货币政策效应的度量[J].统计研究,2003,(08):54-59.
[24]薛瑞鑫.论股票市场与货币政策调控[J].学术论坛,2007,(07):103-105.
[25]张林武,吴育华,孙明录.资本市场对中国货币政策传导机制影响的实证分析[J].电子科技大学学报(社科版),2007,(03):13-17.
[26]彭武珍,袁毅贤.中国货币政策的股票市场传导路径分析[J].浙江统计,2007,(08):8-10.
[27]张雪莹,金德环.金融计量学教程四].上海财经大学出版社,2005(7):183一224
[28]夏正宏.我国货币供应量与股价波动关系的实证分析[J].东方企业文化,2007(2)
[29]郭超.货币供应量和经济增长对股票价格影响的实证研究[J].黄河科技大学学报, 2005(9)
[30]于春红,李冬梅.股票市场对货币需求影响的实证分析[J].经济研究导刊,2006(2)
[31]段进,曾令华,朱静平.货币政策应对股票价格波动的策略研究[J].财经理论与实践, 2007(3)
[1]Anna J.Schartz. Asset Price Inflation and Monetary Policy[J].NBER Working Paper 9321,2002.
[2]Bernanke Ben and Gentler Mark. Should central bank respond to movement in Asset Price?[J].American Economic Review,2001.
[3]Simon Gil Christ and John V.Leahy. Monetary policy and asset prices[J].Journal of Monetary Economics.2002(49):81.
[4]Berkman,Nell G.,On the significance of weekly changes in M1,Ne England economic review,1978,May-June:5-22
[5]Fridman,M.and Schwartz,A.J.,Money and business cycles,Review of Economics and Statistics,Supplement,1963:32-64
[6]Fama,E.F.,Efficient capital markets:a review of theory and empirical work.Journal of Finance,1970,25:383-417
[7]Brunner,K.,Some major problems in monetary theory.American Economic Review Proceedings,1961,47-56
[8]Sprinkel,B.W.,Money and stock prices.Homwood,IL:Richard D.Irwin
[9]Keran,M.W.,Expectations,money and the stock market.Federal Reserve Bank of St.Louis Review,1971,1:16-31
[10]Homa,K.E.and Jaffee,D.M.,The supply of money and common stock prices,Journal of Finance,1971,26:1056-1066
[11]Hamburger,M.J.and Kochin,L.A.,Money and stock prices:the channels of influence,Journal of Finance,1972,27:231-249
[12]Cooper,R.V.L.,Efficient capital markets and the quantity theory of money,Journal of Finance,1974,29:115-146
[13]Pesando,J.M.and Samwick,A.,Stock ownership patterns,stock market fluctuationsand consumption,Brookings papers on Economic Activity,1995:295-357
[14]谢平,新世纪中国货币政策的挑战,金融研究,2000,1:1-10
[15]钱小安,股市价格变化对货币政策的影响,经济研究,1998,1:70-76
[16]钱小安,货币市场与资本市场之间的联结机制及其疏导,金融研究,2001,67-73
[17]刘澜飚、范小云,股票价格膨胀与中央银行政策反应,南开经济研究,2001,6:65-69
[18]高莉、樊卫东,中国股票市场与货币政策新挑战,金融研究,2001,12:29-42
[19]易纲、王召,货币政策与金融资产价格,经济研究,2002,3:13-20
[20]瞿强,资产价格与货币政策,经济研究,2001,7:60-67
[21]胡援成、程建伟,中国资本市场货币政策传导机制的实证研究,数量经济技术经济研究,2003,5:15-18
[22]余明桂、夏新平、汪宜霞,我国股票市场与货币政策互动关系的实证分析,金融与经济,2003,9:22-25
[23]陆蓉.股票市场的货币政策效应的度量[J].统计研究,2003,(08):54-59.
[24]薛瑞鑫.论股票市场与货币政策调控[J].学术论坛,2007,(07):103-105.
[25]张林武,吴育华,孙明录.资本市场对中国货币政策传导机制影响的实证分析[J].电子科技大学学报(社科版),2007,(03):13-17.
[26]彭武珍,袁毅贤.中国货币政策的股票市场传导路径分析[J].浙江统计,2007,(08):8-10.
[27]张雪莹,金德环.金融计量学教程四].上海财经大学出版社,2005(7):183一224
[28]夏正宏.我国货币供应量与股价波动关系的实证分析[J].东方企业文化,2007(2)
[29]郭超.货币供应量和经济增长对股票价格影响的实证研究[J].黄河科技大学学报, 2005(9)
[30]于春红,李冬梅.股票市场对货币需求影响的实证分析[J].经济研究导刊,2006(2)
[31]段进,曾令华,朱静平.货币政策应对股票价格波动的策略研究[J].财经理论与实践, 2007(3)
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