我国货币市场与资本市场的联结研究

华中科技大学博士学位论文我国货币市场与资本市场的联结研究姓名：喻鑫申请学位级别：博士专业：西方经济学指导教师：徐长生20050509I2001610II/AAIIIAbstractAlthoughChina’sfinancialmarketsaremanagedrespectively,toattractfundsofmonetarymarkettoflowintocapitalmarkethasbeenoneofthefocusestheoreticallyandpractically.China’seconomyhasjumpedoutofdeflationandrunsoundlysinceJun.2001,yetsecuritymarkethassufferedthebiggestadjustmentandhasstillbeengloomy.Theindirectfinancinghasbeentakingtheleadingroleinourcountryandtheviewof“capitalmarketfirst,monetarymarketsecond”existedsincethebeginningofdevelopmentofcapitalmarket.Sotheappealtoattractfundsofmonetarymarkettodevelopcapitalmarkethasbeenthemainstreamview.Wemustbegintoconsidertheproblemsofmarketdevelopmentandmanagementfromtheangleofcoordinationbetweentwomarketsafterthepastfinancialsystemreform.Becauseofthedifferencesofcommencementandreformemphasisaswellaspolicies,theextentofupgrowthofthetwomarketsissodifferentandthereisnoeffectiveconnectionbetweenthem.Thecharacteristicsofonenessandlinkageinfinancialmarketsrequirekindofconnectionbetweensubmarkets.Itissohardforustodiscussthematurationofonemarketdisregardoftheconnection.Sotheproblemoflaggeddevelopmentofthemonetarymarketinnatureliesinitsnoneffectiveconnectionwithcapitalmarket,whichisthekeypointofthisdissertation.Relationshipbetweencapitalmarketandmonetarymarketismuchcomplicated.Sothisdissertationchoosesthescalableandstructuralangles.Thescalableangleincludes:thescaleofstock,namelysumofmonetaryvalueofvariousfinancialtoolsinacertaintime;scaleofflow,meansscaleofexchange,namelymonetaryvalueoftotalexchangeincertaintime.Sincetheformeristhebaseofthelatterandtheformerisrelativelysteady,thisdissertationtakesmoreattentiononitandtriestofindrulesofmarketevolutionaswellasbreakthroughthoughtinternationalcomparison.Thereiscloseconnectionbetweencapitalmarketandmonetarymarketwhichisreflectedbymanyfactorsincludingthefinancialagents,tool,institutionandfundsflowunderthem.Thisdissertationarguesasfollows:thecombinationoffinancialagentsandtoolsforthetwomarketsdecidesmicro-foundationofconnectionanddynamicmechanismoffundsflowstatically,onwhichwesetupatheoreticalmodelforfinancialmarket.Thechangesofgovernmentsupervisionsystem,financialsystemdevelopmentIVandfinancialinnovationcanleadtostructuralchangesthefinancialagentsandtools,andinfluencetheconnectionbetweentwomarketsdynamically.Sothesurveyontheabovefactorsformsthetheoreticalframeofthisdissertation.Onthebasisofcollecting,trimmingandanalysinglotsofdata,thisdissertationhastwocharacteristicsasfollows:FirstlyitappliesthemethodtodisassemblestockandflowoffinancialmarketonthestandardofthefinancialdepartmentsassetscreatedbyGoldsmithtotheanalysisofcapitalmarketandmonetarymarket,thenitprovestherulesthattheratioofthescaleofcapitalmarkettothescaleofmonetarymarketkeepsfallingindevelopedcountrieswhileitgoesuptoatopandthenfallswithfinancialdeepeningindevelopingcountries.ThisdissertationraisesadifferentviewthatthelaggeddevelopmentdoesnotlieinmonetarymarketbutincapitalmarketafteranalysingthechangesoftheratioinChinaandcomparingitwithothercountries.Secondly,thisdissertationgivesdynamicanalysisonpresentconnectionbetweencapitalmarketandmonetarymarketinourcourtry.Selectedvariablesofmonetarymarketarelendingmarketrate,Reporate,moneysupply,reflowofcurrency,loanbalance,short-termloans,whereasincapitalmarketareSSEComp.Index,SZSEComp.sub-Index,inter-bankbondsmarketComp.Index.Throughcorrelationanalysis,cointegrationtest,GrangerCausalitytestontheconnectionoffundsandpricesoftwomarkets,thisdissertationreveals:theextentofconnectionoftheinter-bankmarketandRepomarkettothestockmarketisverylow,yetthatoffinancialinstitutesofferingtothestockmarketiscomparativelyhigh,whichprovesthat“grey”channelisevenhigherthanthelegalchannel;monetarypolicyaffectssecuritymarketalittleandtheyieldofbondmarkettotheoneofstockmarketisnotrelative.Thereisaseveregapbothintheinterestratestructureofthetwobondmarketsandthetwosubmarketsofcapitalmarket.Keywords:MonetaryMarket,CapitalMarket,M/C,Linkage111.12001720043705511688.64200022.9527.34%2004610[1]2021.21.2.11[2]therealworldthemonetaryworld[3][4][5]11[6]32M1[7]Peter.Ross[8][9]200342000[10]3653641.2.22060Gurley&Shaw195519601973[11]8090Romer,1986[12]Lucas,1988[13]BencivengaandSmith1991[14]Pagano,1993[15]KingandLevine,1993[16]LevineandZervos,1998[17][18]1969FIR580[19]1995[20]1996[21]1998[22]1.0[23]1995[24]1.2.361[27]12Tobin1969[28]Modigliani1971[29]3.......PhysicalNon-humanGoods..--.Brunner-MeltzerModel..ColinRoGers.,Money,InterestandCapital,CambridgeUniversityPress,1989.118.qq.Tobin,AGeneralEquilibriumApproachtoMonetaryTheory,JournalofMoney,CreditandBanking,1969,Feb,.15-29.Franco,Modigliani.,MonetaryPolicyandConsumptioninConsumerSpendingandMoneyPolicy,theLinkages,FederalReserveBankofBoston1971.9-847Mishkin1998[30]Bernanke1995[31]3[32]2080Cramer1986[33]Roll1989[34]Schwartz1992Huang1999[35]MookerjeeYu1999[36]Rigobon2001[37]Cassola2002[38]111980120001998[39]2000[40]20002000[41]2001[42]2001[43]2004[44]2003[45]2004[46]20042Fleming1998[47]Mishkin...1998P475478BernankeBenandMarkGertler:Insi