【作者】 高明；

【导师】 邢天才；

【作者基本信息】 东北财经大学 ， 金融学， 2010， 硕士

【摘要】 资产价格,广义上是指公众所持有的股票、债券、房地产、外汇等资产的价格。由于股票价格和房地产价格的波动相对比较频繁,而且对宏观经济形势的影响较大,狭义的资产价格通常是指股票价格和房地产价格。在资本市场发育不完全的年代,以银行为中介的传导渠道,即信贷渠道是货币政策传导的主要渠道,货币政策主要通过调节银行信贷来调控宏观经济。随着资本市场的发展,货币政策资产价格传导渠道的作用越来越引起人们的关注。资产价格对货币政策有着高度的敏感性,货币政策的微小变化都会引起资产价格的波动,并且资产价格会迅速对货币政策的变动做出反应,时滞很短。同时,资产价格与实体经济之间有着天然的联系,资产价格的波动会通过托宾的Q效应、财富效应等影响企业的投资行为和居民的消费行为,进而影响实体经济。因此,对货币政策传导的资产价格渠道进行研究,了解该渠道各种传导效应的传导机理和影响,论证和检验我国货币政策通过该渠道对实体经济进行影响的效果,并积极借鉴国外已有的理论与成功经验,、构筑资本市场传导货币政策的基础条件,对提高我国货币政策的有效性具有重要的理论与现实意义。本文主要针对现阶段我国资本市场的发展状况,研究货币政策资产价格传导渠道的有效性,分析资产价格传导渠道发挥作用的前提条件和存在障碍的原因,并寻求解决问题的方法。从理论层面上看,货币政策通过资产价格传导到实体经济分为两个阶段。首先,货币政策的变化要顺利传导到资本市场,影响资产价格；其次,资产价格的波动要通过影响投资和消费传导到实体经济。要使资产价格传导货币政策的两个阶段顺利进行必须具备一定的前提条件。首先,资本市场应该是完善的。资本市场的完善性要求其具有一定的规模,同时提供足够多的交易工具和交易手段并保证市场的高效率。其次,成熟的市场参与者。理性的投资者和高质量的上市公司是资本市场正确传导货币政策的必要条件。再次,资源配置应该通过市场进行。只有通过市场配置社会资源,资产价格才能反映市场的供求关系,引导资源的流向,进而影响实体经济。最后,货币市场和资本市场应该具有高度的一致性。货币市场和资本市场是金融体系中两个不可分割的部分,只有二者之间具有高度的一致性,两个市场间才能达到收益的均衡,资源才能在两个市场中进行合理的配置。只有满足以上四点,资本市场才能够顺利传导货币政策。在理论分析的基础上,本文就我国货币政策资产价格传导渠道的有效性进行了实证分析。通过格兰杰因果分析,分别检验资产价格传导货币政策两个阶段的有效性。实证研究表明,利率和货币供应量的变化是资产价格变化的格兰杰原因,资产价格传导的第一阶段有效。然而,资产价格波动对投资和消费的影响很小,第二阶段传导存在障碍。分析传导不畅的原因,笔者认为,主要有四个方面的影响。首先,由于我国资本市场发展的不完善,难以形成长期稳定的收益使得财富效应的发挥受到阻碍；其次,企业过度依赖银行贷款筹资使得托宾Q效应不明显；再次,资本市场货币政策传导机制未能引起足够的重视；最后,资本市场和货币市场分割,两个市场之间一体化程度低。针对货币政策资产价格传导渠道在传导中存在的问题,本文提出了六点建议。首先,引导国内消费,疏通财富效应渠道；第二,持续推进利率市场化进程,加强资源配置的有效性;第三,加强资本市场监管,保证市场健康运行；第四,建立货币市场与资本市场的协调机制；第五,稳妥推进金融市场创新,保证市场快速发展;最后,加强信息披露,提高资本市场效率。更多还原

【Abstract】 Asset price refers to the price of stocks, bonds,real estates,foreign exchange and other assets. Due to stock price and real estate price fluctuate more often, so sometimes asset price refers to stock price and real estate price. In 1990s, the capital market has not well developed, bank is in the center of monetary transmission channels. At this time, central bank adjusted macroeconomics mainly by controlling money that is provided by commercial banks. Along with the development of capital market, asset price became more and more important. Asset price channel has become a very important channel of monetary policy transmission channel. For asset price is highly sensitive on monetary policy, minor changes of monetary policy would cause asset price fluctuate, delay is very short. Meanwhile, asset price and entity economy is highly relative, by tobin’s Q effect and wealth effect, asset price fluctuation affect investment and consumption, then the whole economics. So it is important to study the mechanism of the monetary policy transmission channel of asset prices, understand the importance of it and inspect whether the channel is smooth or not.This paper study the condition of today’s capital market of china, research the affection of the development of capital market to our monetary policy transmission channel, find obstacles of monetary policy transmission channel of asset prices and then seek the methods to solve the problems. In recent years, China’s capital market has developed a lot, the development of capital markets has profound effects on monetary policy transmission channel. Before the development of capital market,there is only one channel of monetary policy transmission channel, that is the credit channel. As the development of capital market, a new channel is brought in, that is the asset price channel.Now the time of two channels has come. This new change in one hand make the transmission mechanism more flexible, but on the other hand,the transmission mechanism is more complex as well.The transmission of monetary policy by asset price can be divided by two phases. First, the changes of monetary policy are transmitted to the capital market and make asset price change. Second, the change of asset price affect the action of investment and consumption, entity economy changed. To make the channel work,we need some prerequisites. First of all, the capital market should be perfect. Second, investor should be rational and third monetary market and capital market should be highly consistent. Only with these prerequisites, monetary policies can be transmitted successfully. Reinspecte to China’s capital market situation, the author discovered that our country’s monetary policy transmission channel of asset prices has some obstacles. The main reasons are:first, China’s capital market structure imbalance. Such imbalances embodied in equity structure, product structure, investor structure and capital market exit mechanism and so on. Secondly, even now, China’s monetary policy relies mainly on the banking system, capital market monetary policy transmission mechanism has not be given enough attention. Finally, China’s capital market and money market lacks consistency,too much money stays in capital market resulting in asset prices unreasonably tall.In the part of theoretical analysis, this paper studies the effectiveness of asset price channel empirically. And in the part of empirical research, the paper tests the effectiveness of the two transmission stages by granger causality test. The empirical research shows that, interest rates and changes of M1 is asset price changes’granger reason, the first phase is effective. But the second stage is not effective, the change of asset price has little affection on investments and consumption. Through empirical analysis, the author thinks that, at present, China’s monetary policy transmission channel of asset prices has many obstacles, we should deepen the development of capital markets, prove the construction of capital market system and integrate the capital market and monetary market. Finally the author thinks, at present, we should not take asset price into the ultimate goal of monetary policy, but we should make highly concern of it.更多还原