我国银行体系和股票市场的经济增长效应分析

湖南大学硕士学位论文我国银行体系和股票市场的经济增长效应分析姓名：李菁申请学位级别：硕士专业：金融学指导教师：贺学会20070416I1990VARWoldIIAbstractAmongmanyfactorsaffectingeconomicgrowth,financialdevelopmentisthefocusofacademicsinrecentyears.Economistshavemadenumeroustheoreticalinsightsintothecomparativeadvantagesofdifferentfinancialsystems.Now,fourcompetingtheoriesoffinancialstructurehavebeenproposed:abank-basedview,amarket-basedview,afinancialservicesview,andalawandfinanceview.Firstly,thisthesisstartingateconomicgrowth,usesforreferencestothereturnsofendogenousgrowththeoryandfinancialdevelopmenttheoryinrecentyears,andanalyzesindetailthatbanksystemandstockmarkethowtoexertitselffunctionstoinfluenteconomicgrowth,examplesforaccumulatingsavings,sharingrisk,allocatinginformation,managingcompaniesandsoon.Atthesametime,thisthesisalsointroducesthetheorythatthesimilarfunctionsofbanksystemandstockmarketcanresultinthesubstitutionofthetwo,andthestrategicchoicestothedifferentfinancialcontractscanresultinthecomplementationofthetwo.Intermsofacademicanalysis,Iapplythedataofeconomicgrowth,bankdevelopmentandstockmarketdevelopmenttotheempiricalstudy.Fromthestudy,wefindsince1990,followingthedeepeningofmarket,thestockmarkethasnotplayedanimportantroleoneconomicgrowth,butthebankingsystemhasbeenasourceofeconomicgrowth.Andtherelationshipbetweenbankandstockmarketdomainsthesubstitution,whichshowsthedevelopmentofbankandstockmarketisduetothesubstitution,notthecollaborativedevelopment.Fromtheempiricalresults,wefindthatthestockmarketexsitseriousproblemsinsystem.Wenotonlycarryoutefficientpoliciesonthoseproblems,butalsoemphasizethecooperationofbothbanksystemandstockmarket,makingthebothfunctioncomplementaryandpromotemutually.KeywordsBankSystem;StockMarket;EconomicGrowth;VARModel;WoldDecomposition3.12005....................................................183.2........................................................................193.31994-2005BANKGRSTOCKGR.......................................293.1................................................................................193.2....................................................................................213.3....................................................................................233.4VARLM.......................................................................233.5Johansen................................................................................243.6VEC.......................................................................243.7....................................................................................253.8STOCKGRBANKGR..........................................................253.9............................................................................................291□______2□“√”111.11.1.1Schumpeter1912[1]Hicks1969[2]Levine1997[3]Robinson1952[4]Lucas1988[5]AresticDemetriades1997[6]GoldSmith1969[7]bank-orientedmarket-oriented19Levine2002[8]MertonBodie1995Levine1997[9][3]LLSV1997[10]BoydSmith19961998[11]-[12]LLSVLaportaLopez-de-silanesShleiferVishny2RajanZingales1998[13]AllenGale2000[14]Levine1997[3]1.1.21978——SchumpeterianHypothesis1.21.2.11.2.1.1Gerschenkron1962[15]Goldsmith1969[7]3AllenGale2000[14]——BootThakor1997[16]Diamond1984[17]Stulz2000[18]AllenGale2000BencivengaSmith1991[14][19]RajanZingalesl1998[13]Stiglitz1985[20]Bhide1993[21]Levine1991[22]JensenMurphy1990[23]RousseauWachtel2000[24]BootThakor1997AllenGale2000[16][14]HolmstromTirole1993[25]Hellwig1991[26]Rajan1992[27]Hellwig1998[28]MertoBodie1995[9]Levine1997[3]4LLSV1997[10]1.2.1.21Goldsmith1969[7]1860-196335GNPKingLevine1993[29]Goldsmith1960-198980196030AtjeJovanovic1993[30]OLSHarris1997[31]AtjeJovanovicHarrisGDPLevineZervos1998[32]AtjeJovanovic1993[30]491976-199318King&LevineLevine&Zervos25RousseauWachtel2000[24]VAR4719801995BeckLevnie2002[33]401976-1998GMMChristopouloTsionas2003[34]103GrangerVARJung1986[35]DemetriadesHussein1996[36]16RousseauWachtel1998[37]1870-1929VECMsGrangerCausalityArestis2001[38]RousseuaSylla2005[39]Rousseau1998[37]6“”RousseauVuthipadadorn2005[40]VARVECMs101950-20001.2.2“—”20062005[41]-[42]20062005[43]-[44]200520052004[45]-[47]2005[42]VECMsGDPGDP2006[43]1978-20022005[45]VAR1991-2004“”1.31.3.171.3.2(LGDP)(BANKRA)(STOCKRA)VARVectorAuto-regressionJohansenVECMVectorErrorCorrectionModelWold8220GurleyShaw1955[48]Goldsmith1969[7]McKinnon1973[49]209020LevineMcKinnon-Shaw2.1902.1.1BencivengaandSmith1991[19]BoydandSmith1992[50]SchreftandSmith1998[51]DuttaandKapur1998[52]92.1.2————BootandThakor1997[16]GreenwoodandSmith1997[53]BootandThakorGreenwoodandSmith“”2.22.2.1Romer1989[54]Lucas1988[5]——“AK”tkBtyNtYtKaAattBky=2.1atAkB−=12.22.12.210aa−1Pagano1993[55]ttAKY=2.3tttKaKI)1(1−−=+2.4,tSb−1ttIbS=2.52.31)(1)(11−=−=++ttttKKYYg2.62.42.52.6aAbsg−=2.7sYS2.71.2.3.2090MertonBodie2.2.22.2.2.111Allen1993[56]Diamond-Dybvig1984[17]“”Allen&Gale2000[14]2.2.2.2“”12“”Allen1993[56]2.2.2.3BerthelemyandVaroudakis1996[57]132.32.3.1[58]ABABBAABAllen1993[56]“”“”2.3.214Allen1998[59]1975-199420GDP197540%199475%1985-1990201.25%1966-199530616.724.67%Demirgüc-Kunt