美国量化宽松货币政策影响中国股价的实证分析

发布时间：2018-04-23 07:26

本文选题：影响渠道 + 量化宽松货币政策　；参考：《广东财经大学》2013年硕士论文

【摘要】：2008年席卷全球的金融危机是自上个世纪30年代以来最为严重的一次危机，美国次贷危机对此次金融危机负有直接责任，全世界经济因此遭到重创而陷入衰退。为应对金融危机，时至2008年9月，美联储宣布推出第一轮量化宽松货币政策QE1，替代扭曲操作。与此同时美联储把利率降低到0—0.25%的极低水平，并宣称将持续保持零利率政策。美联储将经济状况与货币政策直接挂钩，这是有史以来美国货币政策的第一次。在国际市场上美元有着作为国际储备货币的重要地位，美国启动量化宽松货币政策必然将会对全球经济造成重大的影响，特别是对于新兴经济体国家，由于量化宽松货币政策所释放的大量流动性涌入新兴经济体国家，，造成这些国家的资产泡沫和通货膨胀。于此同时我国为世界上最大的新兴国家，在美国释放的大量流动性必然使我国成为“热钱”栖息的最佳场所，因此我国资本市场必然遭受美国量化宽松货币政策所释放的流动性的冲击，从而造成股价的非预期波动。所以探讨美国货币政策对中国股票价格的影响，能起到金融市场预警作用，能过充分认识和把握潜在的风险，对我国金融市场的稳定与繁荣起到至关重要的作用。本文先从定性的角度分析了美国量化宽松货币政策形成的背景、原因、操作工具、及对我国经济的具体影响，并通过国际传导机制，从理论上分析美国量化宽松货币政策对我国股票价格的影响渠道。在实证方面，为量化美国量化宽松货币政策对我国股票价格的影响，本文就该政策对我国股票价格的影响渠道、方式、程度及进行了VAR模型检验。实证结果表明：美国量化宽松货币政策所释放的大量流动性在国内股票市场通过短期国际资本、我国货币供给、汇率、人民币利率等渠道的传导在造成了我国股价的波动，对我国股票价格造成了一定程度上的影响。最后，针对美联储近来推行的QE3和QE4，本文提出了中国降低QE3、QE4对我国股票市场价格不利冲击的对策建议，并对美国货币政策对我国股票价格的影响这一研究方向上进行了展望。
[Abstract]:The financial crisis that engulfed the world in 2008 was the worst since the 1930s. The U.S. subprime crisis was directly responsible for the financial crisis, and the world economy was hit hard and plunged into recession. In response to the financial crisis, until September 2008, the Fed announced its first round of quantitative easing, QE1, as an alternative to distorting operations. At the same time, the Fed cut interest rates to extremely low levels of 0-0.25 percent and declared that it would continue to maintain zero interest rates. For the first time in history, the Fed has linked the state of the economy directly to monetary policy. As the US dollar plays an important role as an international reserve currency in the international market, the launching of quantitative easing monetary policy by the United States will inevitably have a significant impact on the global economy, especially for emerging economies. Asset bubbles and inflation in emerging economies have been caused by the flood of liquidity unleashed by quantitative easing. At the same time, China is the largest emerging country in the world, and the large amount of liquidity released in the United States is bound to make our country the best place for "hot money" to perch. Therefore, China's capital market is bound to suffer the impact of the liquidity released by the quantitative easing monetary policy of the United States, resulting in unexpected volatility of stock prices. Therefore, discussing the influence of American monetary policy on Chinese stock price can play an early warning role in the financial market, can fully understand and grasp the potential risks, and play a vital role in the stability and prosperity of our financial market. This paper first analyzes the background, reasons, operational tools, and the specific impact on China's economy of the monetary policy of quantitative easing in the United States from a qualitative point of view, and through the international transmission mechanism, This paper theoretically analyzes the influence of quantitative easing monetary policy on China's stock price. In order to quantify the influence of the monetary policy of quantitative easing on the stock price of our country, this paper examines the influence channel, mode, degree and degree of the policy on the stock price of our country by VAR model. The empirical results show that the large amount of liquidity released by the quantitative easing monetary policy of the United States in the domestic stock market through short-term international capital, China's money supply, exchange rate, RMB interest rate and other channels of transmission caused the volatility of China's stock price. To a certain extent, the stock price of China has been affected. Finally, in view of the QE3 and QE4 carried out recently by the Federal Reserve, this paper puts forward the countermeasures and suggestions for China to reduce the adverse impact of QE3QE4 on the stock market price of our country, and looks forward to the research direction of the influence of American monetary policy on the stock price of our country.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F827.12;F832.51

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