【作者】 黄勇；

【导师】 冉茂盛；

【作者基本信息】 重庆大学 ， 金融学， 2005， 硕士

【摘要】 上世纪九十年代以来,中国股票市场迅猛发展,居民、企业投资股票的意愿增强,中国股市的市值和交易量已经相当可观,因此对货币产生了不可忽视的增量需求。然而中央银行在制定货币供应规划时,尚未考虑股票市场对货币需求产生的影响。基于以上现实,就需要对中国的货币需求和股票市场之间的关系作理论和实践上的分析,为货币当局制定货币政策提供有益的参考和支持。本文系统全面地总结了学术界关于股票市场发展与货币需求关系的相关研究成果。在这些理论成果的基础上,归纳出股票市场发展与货币需求的相互影响机制。货币需求通过直接和间接方式对股票市场产生影响,而股票市场通过财富效应、交易效应、资产组合效应和替代效应的共同作用对货币需求产生影响。通过这种影响机制的分析并结合中国实际情况,笔者发现股票市场正是通过这些效用的综合作用,对中国的货币需求产生了影响。随着股票市场进一步的发展,中国的货币需求政策面临着新的挑战,中央银行不仅应当关注实体经济的货币需求,而且应当考虑股票市场的发展对货币的需求,从而更有效地制定货币供应规划,为中国经济的持续增长发挥重要作用。为了更加客观地评价中国股票市场与货币需求的关系,本文将在第四章展开实证分析,实证采用三种计量检验方法:协整关系检验表明,在控制其它相关因素后,中国股票市场发展的规模与货币需求之间存在着显著的长期协整关系;格兰杰因果检验表明,中国股票市场对货币需求存在着单向因果关系;误差修正模型表明来自股票市场规模的变动已经能对货币需求产生短期动态影响,但目前这种影响还较弱。实证结果还表明,中国股票市场对货币需求的短期影响比长期影响要微弱。更多还原

【Abstract】 Currently, with the flourish of China’s stock market, the willingness among citizens and firms to invest grows, which resulted in considerably high values of stocks and large amounts of the volumes of stock exchanges. Therefore, the demand in more money arose accordingly. In the mean time, however, the central bank has not taken account of the possible impacts of the stock market on the demand in money when framing the plan of currency supply. In this sense, it becomes advisable to conduct an empirical analysis of the relations between the demand in money and the stock market so as to provide constructive references and supports for the making of monetary policies. Based on a thorough survey on the researches concerned, this dissertation endeavors to come up with a generalization of the mechanism via which the development of the stock market influences the demand in money. Namely, including the direct demand in money, the stock market exerts influences on the money demand by the combined roles of effects of wealth, exchange, asset integration and substitution. Considering the reality of China, this dissertation finds that this mechanism is well applicable to illustrate the effects of the stock market on the demand of currency. In view of the continuous growth of China’s stock market, new challenges to the China’s monetary policies are being posed which requires the authorities not only to satisfy the need of money by the economic entities but as well to gear to the demand in money of stock market. In this way, favorable monetary policies are expected to be made and China’s economy is anticipated to be vigorously propelled. In order to put forward an objective evaluation of the impacts exerted by China’s stock market, this dissertation carries out an empirical analysis in Chapter Four, using three test methods. The Co-Integration Analysis reveals a remarkable long-term co-integration relation between the development of the stock market and the demand in money when other concerning factors are under control; The Granger Causality Test shows a one-way causal relation between the two mentioned parameters; and the Error-Correction Model demonstrates that the stock market has already been able to slightly affect the demand in money in a short term. The empirical analysis also illustrates that the influences of the stock market on the demand in money in short term is slighter than in long term.更多还原