摘 要
我国在 1990 年底分别成立上海证券交易所和深圳证券交易所，历经 20 多年的发展，中国股票证券市场取得了长足进步，成为世界第二大的股票市场。股票证券市场对中国的改革开放，帮助国内企业直接融资、企业间并购重组，活跃金融市场，优化配置市场资源，完善中国有特色的社会主义市场经济起到了重要作用。
我们通过研究货币政策与股票市场的联系，探索货币政策对股票市场的影响机制，股票市场影响经济的作用，以及股市可能对货币政策预期所产生的效应从而对货币政策的制定的影响，都有着非凡的意义。
本研究采用理实证研究的方法，通过分析2005-2014年间的10年的货币政策的与股票市场的变化，研究货币政策对股票市场的影响。利用趋势分析同时间序列方法采用向量自回归模型即 VAR 模型相结合的方法，通过这段时期内股票指数的变化，建立与货币政策相关变量的联系模型。这些变量包括利率、货币量 M1增长率与 M2 增长率差值、信贷增量。利用 VAR 模型找出其相关性的程度，发现我国股票市场在 2005 年-2014 年的发展中，上证指数与利率存在一定的正向相关性，尤其是在 2005-2008 年的股票市场一轮大幅上升与下降期间，趋向相关性较强。货币量的供给对股票市场有着正向相关性，M 增长率，M1 增长率与 M2 增长率之差均同股票上证指数有一定的正向相关性，趋势同步性较强。信贷新增累积量对股票市场有着正向相关性，一个季度的信贷新增累积量与上证指数的季度收益呈正向相关性，趋势同步性较强。
本文还分析总结我国货币政策与股票市场的关系时，就多种因素做了较为全面的分析，包括同国外市场的多方面对比以及中国特殊国情等各种因素的多种多层次的差异，试图找出导致不同学者的各种分析结果的差异性原因。国体、政体、市场化程度、金融体系的不同、一国的发展阶段不同、一国的货币当局构成不同、股票市场的发展程度不同、宏观经济政策的影响力，货币政策的目的性不同、金融创新、资本市场投资工具手段的发展、资产配置在不同时期的需求不同等都对货币政策和股票市场的关系产生不同影响。本文还分析了我国特殊国情导致货币政策与股票市场的关系的不同的情况包括：1、经济发展政治性周期。2、股票市场在我国经济中发展中的作用的不同。3、国家信用为金融机构、国有企业、政府平台背书。4、我国的股票市场仅成立了 20 多年，成熟度远远不够。
关键词：货币政策，股票市场，VAR
Abstract
At the end of 1990 in China set up the Shanghai Stock Exchange and Shenzhenstock exchanges respectively, after more than 20 years of development, China's stockmarket has gained great progress and become the world's second - largest stockmarket.Stock market of China's reform and opening up, and help domestic enterprises'
direct financing, merger and reorganization among enterprises, active in financialmarkets, optimize the allocation of market resources, perfecting Chinese characteristicsocialist market economy has played an important role.
By studying monetary policy and stock market linkages and explore monetarypolicy impact on the stock market mechanism, the role of the stock market affect theeconomy, and thus may affect the stock market produced the expected effects ofmonetary policy on the formulation of monetary policy, have a extraordinarysignificance.
In this study, treatment of empirical research methods, through the analysis of2005 - and stock market changes in 10 years between 2014, monetary policy, researchthe impact of monetary policy on the stock market. Analysis with Time SeriesMethods vector regression model that is VAR model, through changes in stock indexover the period, to establish contact model variables associated with the use ofmonetary policy trends. These variables include interest rate, money supply growthrate of M1 and M2 growth rate difference, credit increments. Use VAR model to findout the degree of correlation found in China's stock market in 2005 --2014 years ofdevelopment, the Shanghai index and interest rates there are some positive correlation,especially in 2005--2008 years, a sharp stock market during the rise and fall tendstrong correlation. The supply amount of money on the stock market has a positivecorrelation, M growth, M1 and M2 growth rate of the poor are the same stock on theShanghai index has some positive correlation, strong trend synchronization. Thecumulative amount of new credit on the stock market has a positive correlationbetween credit a quarter of the new quarterly earnings and the cumulative amount ofthe Shanghai index showed a positive correlation between the strong trendsynchronization.
Tthe paper also analyzes and summarizes the relationship between monetarypolicy and stock market, it is a variety of factors to do a more comprehensive analysis,including comparison with many foreign markets as well as a variety of factors suchas differences in national conditions and China's special variety of multi-level, tryingto find out what caused the difference between the results of various analyzesdifferent reasons scholars. Different state system, political system, market-orientedfinancial system, different stages of development of a country, a country's monetaryauthorities constitute different, different levels of development of the stock market,the influence of macroeconomic policies, the purpose of the different monetary policy,financial innovation, development of capital markets means investment vehicles, assetallocation at different needs at different times and so have different effects on therelationship between monetary policy and stock market. This paper also analyzes thespecial conditions lead to different circumstances monetary policy and therelationship between the stock market include: 1. economic development politicalcycle. 2, different stock market development in our country's role in the economy. 3,the state credit for financial institutions, state-owned enterprises, governmentendorsement platform. 4, China's stock market is only set up 20 years, maturity is notenough.
Keywords:Monetary policy, stock market, VAR
目录
第 1 章 导论
1.1 研究背景和意义
1.2 国内外的研究文献综述
1.2.1 国外文献综述
1.2.2 国内文献综述
1.3 本文的研究思路和方法
1.3.1 本文研究的思路
1.3.2 本文研究的方法
1.4 本文的创新与不足
第 2 章 我国货币政策对股票市场的影响的理论分析
2.1 我国的货币政策
2.1.1 货币政策概述
2.1.2 我国货币政策概述
2.2 货币政策对股票市场的影响机理
2.2.1 货币政策对股票市场的影响理论
2.2.2 货币政策对股票市场影响的传导机制
第 3 章 我国主要货币政策与股票市场关系趋势与实证分析
3.1 我国主要货币政策与股票市场关系的趋势分析
3.1.1 利率与股票市场
3.1.2 货币供应量与股票市场
3.1.3 信贷增量与股票市场
3.2 我国主要货币政策与股票市场关系基于 VAR 模型的实证分析
3.2.1 货币供应量与股票市场的 VAR 模型的建立与实证
3.2.2 脉冲响应函数
3.3 实证结论及分析
第 4 章 我国货币政策与股票市场关系的分析总结
4.1 我国主要货币政策与股票市场关系的国外的横向比较
4. 我国特殊国情导致货币政策与股票市场关系的不同
第 5 章 结论与建议
5.1 研究结论
5 政策建议
参考文献
致谢
