【作者】 江军霞；

【导师】 王祖祥；

【作者基本信息】 武汉大学 ， 数量经济学， 2005， 硕士

【摘要】 中国股市与经济到底存在什么关系,如果考虑货币市场在二者之间的调节作用,这种关系是否会出现新的特点呢?本文从一般均衡理论出发,把局部均衡和一般均衡的分析结合起来,在IS-LM模型中引入股市这个因素,利用向量误差修正模型来解释股市、商品市场和货币市场三者长期和短期的相互作用。 通过一般均衡分析知:“理性的经济与感性的股市……二者之间‘分久必合,合久必分’”。在短期股市与经济是背离的,但在长期这三个市场存在相互制衡机制,使三个市场相互作用形成的系统收敛于一个平面。股市与经济在短期背离的原因主要有两个:一是:中国股市对经济没有发挥相应的作用,另一个在于中国的政策市,政府的干预短期可以对股市起到支撑作用,但长期加大了股市的波动,危害了股市的发展。但三个市场的相互作用会让它们向均衡的位置收敛,这是股市与经济自身周期性运行规律决定,股市和经济的波动本身就是不断矫正向均衡位置靠拢的结果。 结合局部均衡来分析一般均衡的结果发现,股市的财富效应小于股市的挤占效应,从而对经济产生了负向的作用。在股市对消费的作用上,虽然中国股市的财富效应在一定范围内是存在的,但是股市的财富效应对于消费的影响在目前的阶段十分有限,与此同时,居民从股市获得的收益通常用于股市的再投资,使得股市对消费产生的财富效应小于股市对消费产生的挤占效应。另外在股市对投资的影响上,我们不能否认股市在筹资方面的作用,但企业从股市筹集的资金没有得到充分有效的运用,从而股市对投资的影响为负的,这加重了股市的挤占效应。 在股市对货币市场的作用上,股市的发展产生了一定的交易性货币需求,同时在股市行情持续阴跌时,股市对货币总需求的替代效应也突显出来,这使得股市对M2的作用力度小于对M1的作用力度。 在经济和货币市场对股市的作用上,分析结果显示:货币供给量增加在短期会对股市都起到了推动作用,但在长期的作用为负;利率下调通过资本增值效应的作用,可以起到刺激股价上扬的作用;经济对股市在短期起到相应的支撑作用,在长期决定着股市的走势,但“经济增长只是股市上扬的必要条件,而非充分条件”。更多还原

【Abstract】 What’s the relationship between stock-market and economy? If money market involved , what the special features occur? In this dissertation , basing on the general equilibrium approach, we combine the partial equilibrium analysis approach with the general equilibrium analysis and take the stock-market into IS-LM model, so as to illustrate the long and short interaction among the stock-market、 product market and money market with Vector Error Correction Model.The general equilibrium results show us that the rational economy and perceptualstock-market......merge if dispersing longer, and disperse if merging longer" .In theshort term, stock-market and economy run in the opposition directions ,while in the long run the interaction mechanism make the three markets converge into a plane .The reasons that the stock-market and economy run counter to each other lie in two factors: one is that the stock-market doesn’t do what it should do, the other lies in the "Policy Market" ,and the government’ interference can support the stock-market in the short term ,but accelerates the stock-market’s fluctuation in the long run ,which undermines the stock-market’s development. But the interaction of the three markets make them converge to their equilibrium position, which is determined by the cyclical operation law of the stock-market and product market, and the fluctuation of stock-market and product market is the result of their adjusting to the equilibrium position.Integrating the partial equilibrium into the general equilibrium analysis, we know that the "wealth effect" is less than the "substitute effect" in the stock-market, so that it have the negative effect on the economy. Take the effect that the stock-market have on consume into account, the "wealth effect" exists in some extent in China, but remains very limited at present. At the same time, the profit the stockholders gain from the stock-market often invests again in the stock-market, so the "wealth effect" is subtracted. In addition , when we focus on the effect the stock-market have on the investment, we can see that the fund that raise from the stock-market haven’t been used efficiently, so the stock-market has the negative effect on the investment, which aggravates the "substitute effect".On the money market, the development of stock-market produces the transaction demand in some extent, and the "substitute effect" occurs when the stock continues drop.When the effect the economy and monetary market take into consideration, we know that: increasing on money supply will impel the stock price in the short term, but in the long run it has the negative on the stock-market, lowering the rate will increase the stock price either, and the economy supports the stock-market in the short time and determines the development of stock-market in the long term.更多还原