利率影响中美股市的实证研究

【作者】 王强；

【导师】 刘振彪；

【作者基本信息】 中南大学 ， 金融学， 2009， 硕士

【摘要】 不同国家的利率对股市影响不同,美国金融市场发达,利率市场化程度高,利率调控也比较成熟,我国金融市场发展很不完善,利率受到管制,利率调控很不成熟,实证分析两者利率对股市影响的异同对认识两国间差异,进而完善我国股市发展与宏观利率政策调控具有重要现实意义。在总结和借鉴国外成熟的经济学实证方法基础上,本文研究了2000年1月到2009年6月间中美两国利率对股市影响,探究了利率对股市的短期影响和长期均衡关系,比较并分析了两国的差异及原因,并提出了我国金融市场发展以及利率调控的相关政策建议。首先,对已有文献进行了整理分析,详细分析了利率对股市影响机制；其次,在理论分析的基础上,文章针对中美两个经济体分别从定性和定量角度展开实证研究,运用事件研究法、协整分析、格兰杰检验及误差修正模型等方法得出利率对股市存在显著影响,格兰杰检验表明美国货币市场与资本市场具有高度关联性,而中国股市与货币市场存在“脱节”；再次,本文在实证基础上,将中美实证结果进行比较分析,结合前述理论分析进行对比,得出美国利率对股市影响更大,在此基础上,文章针对我国利率对股市影响较小以及货币市场与资本市场联动性不高的现状,提出发展我国金融市场,推进利率市场化等政策建议。更多还原

【Abstract】 The impacts of the interest rate on the stock market are varied in different countries. The United States has developed financial markets, interest rate liberalization has been realized. The adjustment of interest rate is relatively mature, the development of China’s financial market is faultiness, the interest rate is under control, the adjustment of interest rate is also very immature. Empirical analysis of both similarities and differences between the impact of the interest rate on the stock market in the two countries respectively is beneficial to the understanding of differences, thus improve China’s stock market development, macroeconomic regulation and control interest rate policy.Using the references of overseas relatively mature econometrics methods, this study investigates the impact of the interest rate on the stock market in China and US from Jan 2000 to Jun 2009, with the objectives of not only understanding the short-run impact and the long-run equilibrium relationship between these two variables, but also comparing the common aspects and differences between US and China, then propose some advice.First of all, we have analyzed the existing literature and analyzed the mechanism of the impact of interest rates on the stock market; Secondly, based on the theoretical analysis, we focused on China-US two economies, respectively, start our study from the perspective of both qualitative and quantitative empirical research, using event study, cointegration test, Granger test and error correction model methods, we have found that interest rates exert a significant influence on the stock market, Granger test showed that there is a high degree of relevance between money market and capital market in US, while a gap exists between China’s stock market and money market. Then, we conduct a comparative analysis of empirical results. We conclude that the stock market is less sensitive to interest rates policy in China, the link from China’s stock market to its money market is weak, thus we make some policy recommendations such as developing our financial market, accelerating the interest rate liberalization.更多还原