国际金融中心建设中的中国货币政策资产价格传导机制研究.pdf

华东师范大学硕士学位论文 摘要 货币政策传导渠道主要包括利率、信贷、汇率以及资产价格。随着经济发展 和金融创新，资产价格的波动直接影响经济的运行情况，因此货币政策的资产价 格传导机制受到各方关注，中央银行是否对资产价格的波动做出反应，引起了政 府和学术界的广泛讨论。 本文应用理论和实证结合的方法，通过建立理论模型，分析一般均衡情况以 及中央银行对商业银行贷款数量进行限制的情况下，货币政策的资产价格传导机 制。并分析国际金融中心建设过程中，货币政策资产价格传导机制的变化。通过 建立SVAR 模型，基于2002-2019 年的月度数据，对货币政策资产价格传导机制 进行实证研究。结果表明，我国股市还不具有资产价格传导效力，但是债券市场 和房地产市场已经具有一定程度上的传导效力。我国国际金融中心建设并未疏通 货币政策的资产价格传导途径。 本文特色在于建立理论模型，分析一般均衡条件以及商业银行贷款数量受到 限制时货币政策资产价格传导机制，并考虑在我国建立国际金融中心的背景下， 货币政策资产价格传导机制的变化。 关键词：国际金融中心；货币政策；资产价格传导途径；一般均衡模型 I 华东师范大学硕士学位论文 Abstract Monetary policy transmission channels mainly include interest rates, credit, exchange rates, and asset prices. With economic development and financial innovation, the fluctuation of asset prices directly affects the operation of the economy. Therefore, the asset price transmission mechanism of monetary policy has attracted the attention of various parties, whether the central bank reacts to the fluctuation of asset prices has caused extensive discussions between the government and academia. This article applies a combination of theory and empirical methods, and establishes a theoretical model to analyze the general equilibrium situation and the central banks restrictions on the amount of commercial bank loans, the asset price transmission mechanism of monetary policy. It also analyzes the changes in the monetary policy asset price transmission mechanism during the construction of the international financial center. Through the establishment of the SVAR model, based on monthly data from 2002 to 2019, an empirical study of the monetary policy asset price transmission mechanism is conducted. The results show that Chinas stock market does not yet have a transmission effect, but the bo