【作者】 吴红；

【导师】 康宇虹；

【作者基本信息】 哈尔滨工业大学 ， 金融学， 2014， 硕士

【摘要】 近年来，资产价格与我国实体经济相偏离，这给我国货币政策的制定带来了新的挑战。资本市场的各类资产的价格波动是否会影响货币政策的实施效果，而货币政策的制定是否会给资本市场的各类资产价格的波动造成影响，央行在制定货币政策时是否应该考虑资本市场，这些问题已成为学者与国家政策制定者十分关注的问题。国内外学者对货币政策与资产价格间的相互影响关系展开了一系列研究，然而，并未取得一致性的结论，争论仍广泛存在，在这当中，传统的线性模型开始受到质疑，非线性的假设被提出，基于这一背景，本文研究货币政策与资产价格之间的相互影响，通过实证研究以验证二者之间的相互影响是否是非线性的。本文总结回顾了国内外学者对相关问题的研究现状，详尽介绍了应用于非线性研究中的STR（Smooth Transition Regression）模型，并分析了其在研究货币政策与资产价格相互关系中的适用性。在此基础上，以1999-2013年股票价格、房地产价格为研究样本，选取不同的转换变量，利用STR模型进行了货币政策与资产价格之间的非线性影响研究，实证结果显示：非线性模型较线性模型能更好的解释货币政策与资产价格之间的相互作用，货币政策在股票市场与房地产市场低迷期和繁荣期对股票价格与房地产价格具有非线性影响，股票价格与房地产价格在货币政策的扩张期和紧缩期对货币政策具有非线性影响。最后根据实证研究结果提出要规范资本市场的管理，推进我国利率市场化建设的进程，并在货币政策制定的框架中纳入资产价格波动的因素。更多还原

【Abstract】 Asset price volatility deviates from the real economy of our country significantly inrecent years and has brought some new challenges to our economic policy formulation.Is there a mutual influences between asset prices and monetary policy and do centralbank needs to consider fluctuations of capital market when formulate monetary policyto stabilize financial system and promote economic development, which have becomeone of the hot issues of economics and central bank focuse on. There are disputes aboutresearch results of relations between monetary policy and asset prices from domesticand foreign scholars and nonlinear assumption has been proposed after traditional linearmodel began to be quedtioned in recent years. Base on such premise, this paperestablishes a non-linear interaction model to verify whether the mutual influencesbetween monetary policy and asset price is nonlinear.In the theoretical analysis part, this paper firstly summarizes current state ofresearch on monetraty policy and asset prices, then analysis and compare the researchmodel and method in existing literature; In the empirical research part, this researchselects stock prices, real estate prices, interest rate and money supply from1999to2013as samples, using STR (Smooth Transition Regression) model that widely used innonlinear studies to find mutual influences between monetary policy and asset prices.The empirical results reveal that non-linear models can explain the interaction impactsof monetary policy and asset prices better; Monetary policy have nonlinear influences indownturns and upturns period of srock market and real estate market; Stock prices andreal estate prices have nonlinear impacts on monetary policy in monetary expansion andtightening periods. Finally, this paper puts forward policy suggestions based onnonlinear empirical research results including standard management of the capitalmarket, speed up the construction of market-oriented interest rate and consider the assetprice volatility to make monetary policy.更多还原