股票市场对货币需求的影响的实证分析-金融学专业论文.docxVIP

华 中 科技 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Since 90s, there’s a big development in our capital market. Especially in 2005, the Reform of Non-tradable Shares has become a turning-point of our capital market. But nowadays, we don’t take the capital market into co nsideration when estimating the Money Demand so that the Money Supply can’t meet the real demand of the national economy. Through making review of the theory of Money Demand and Monetary Policy Conduct Mechanism, the paper has used methods of Theoretical Analysis and Empirical Analysis, Qualitative Analysis and Q uantitative Analysis. The paper analyzed the influence of Reform of Non-tradable Shares and the application of “Four Effects” in China. Then，the paper establish VECM model of money demand. And using ADF test, the cointegration test, the Granger Causality tests, VAR ， the vector error correction model(VECM)，the impulse response function, and variance decomposition method etc. of newest of Econometric technology, it tests the impact of Chinas money demand by the stock market. Finally，according to the result of empirical analysis，the paper thinks that in the long turn, the stock market has a stable positive effect with narrow money demand Ml. But in the long turn, the stock market has a stable negative effect with broad money demand M2. As Chinas immature capital market, the strength of increasing demand for money (wealth effects, portfolio effects, transaction effects) is still relatively weak, and the power of reducing demand for money is strong. Chinas capital market reflects the strong substitution effect. In the last part of this thesis, we give some policy implications and suggestions based on the empirical analysis in the previous parts. Key Word: Money Demand Reform of Non-tradable Shares VECM Stock Market PAGE IV PAGE IV 目 录 摘 要 I AbstractII 1 绪 论 1.1 研究背景(1) 1.2 研究意义(1) 1.3 国内外研究现状(2) 1.4 研究思路与方法(6) 1.5 本文的创新点(8) 2 资本市场对我国货币需求影响的制度分析 2.1 资本市场结构所受的影响(10) 2.2 股权分置改革对资本市场行为的影响分析 (11) 2.3 资本