(毕业论文)我国货币政策对股票市场影响的实证研究.doc

(毕业论文)我国货币政策对股票市场影响的实证研究 摘 要 我国股票市场在经历了2001年至2005年的四年熊市之后随后两年出现空前的大牛市股票市值增加近六倍然而2008年半年间股票市值又跌去大半面对这跌宕起伏的股票市场投资者不知所措与此同时许多学者也从各个角度对我国股票市场大幅波动异常的原因进行了分析随着我国股票市场的迅速发展和不断完善股票市场已经成为重要的融资渠道越来越多的居民将资金投向股市股票在居民资产结构中的比例持续增加股票价格与实际经济活动之间的联系日益紧密我国学者和货币政策当局已经在密切关注货币政策与股票市场的相互影响问题研究我国货币政策对股票市场的影响具有重要的现实意义 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运动采用最新的数据和比较成熟的计量模型将不同层次货币供应量与上证综合股指作为代表变量纳入金融系统应用ADF单位根检验协整检验及向量误差修正模型 VECM 等金融计量方法对不同层次货币供应量与上证综合股票价格指数之间的相互影响进行实证分析最后对实证研究结果进行总结提出针对性的建议 关键词 货币供应量股价指数货币政策股票市场 Abstract From 2001 to 2005 Chinas stock market experienced a four-year bear market But from 2005 to 2007 an unprecedented bull market had arose The stock market capitalization increased by nearly six-fold After that in the first six months of 2008 the stock market has fallen more than half Faced with such ups and downs of the stock market people didn抰 know how to deal with it Based on various angles Scholarsconclu sions are different by analyzing the stock market In this thesiswe mainly study the effect of ChinaS monetary policy on stock market in the theoretical and empirical way．With the rapid development of Chinastock marketthe stock market has become all important channel for financing．Moreand more people are involved in the stock market and the relation between the stock prices and real economic activity become more and more close．Chinese government and policies makers have pay close attention to the relationship between the monetary policy and the stock market． The research combines theory with practice in this thesis to study the relevant theoretical systeminteraction in short and long-termcausality and mutual influence ability The latest data and widely used econometric model are used in this thesis different levels of money supply and the Shanghai Composite index are used as representative variables of the monetary and financial system financial measures such as ADF unit root test cointegration test and Vector Error Correcti