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华中科技大学硕士学位论文我国股票市场的货币政策效应研究姓名：康海媛申请学位级别：硕士专业：金融学指导教师：吴可20041103III,,,;;,;;,IVAbstractAsanimportantmeansofgovernmentmacrocosmicadjustmentsinchina,nowasaresultofmanyproblems,monetarypolicyisobviouslyrestrictedinthecourseofadjustingandcontrollingeconomy.Withtheflourishingdevelopmentofthestockmarketandincreasinglycloseconnectionwithnationaleconomy,theimplementationofthemonetarypolicymustinfluencethetendencyanddevelopmentofthestockmarket,meanwhile,astheinfluenceofstockmarketonourcountry'seconomybeinggreater,thedevelopmentofthestockmarkethasputforwardthenewdemandfortheapplicationofthemonetarypolicy.Therefore,furtherinvestigatingthemonetarypolicyeffectofthestockmarketandexploringwhetherstockmarketcouldplayaroleofthetransmissioneffecttothemonetarypolicy,realizingeffectiveregulationofmonetarypolicytomacroeconomy,havealreadybecomeveryurgentproblemsfacedinthedevelopmentofourcountryeconomy.Atfirst,thistextintroducestheresearchbackgroundofthistopic,Makingreadershaveassurancegenerally,andthenexplainstheresearchpurposeandmethodofthistextconcretely;Secondly,ontheprinciple,toanalyzetheinteractivemechanismofthemonetarypolicyandstockmarket;Inthethirdpart,ICombinetheconcreteconditionsofourcountrytoanalyzecurrentsituationofconductingthemonetarypolicyonthestockmarketandpoorefficiencyreasoninrecentyears;Thefourthpartisarealexamplepart,includingtwosmallparts:Firstly,IAnalyzetherelationbetweenthestockmarketandmonetarydemandthroughsettingupmonetarydemandfunction;Secondly,Adoptingcorrelationanalysis,stationarytestandcointegrationanalysisresearchapproachoftimeseriesvariableineconometrics,Iexaminetherelationbetweenthemoneysupplyofourcountryandpriceofstockmarketespecially;Inthefifthpart,aimingatthesituationabove,Iputforwardthesuggestion.KeyWords:StockMarketMonetaryPolicyConductMoneySupply111.11.1.120,:;:,,,,,,,,Tseng,kuo-cheng((1986.3)1967-1983[1]AntulioN.Bomfim(2001.5)[2]AngelaJ.Black(2002.9)171975-2000ARCH2[3]ODavidGulleyJahangirSultan(2003.3)30[4]RobertoRiqobonBrianSack(2003.5)5%25[5]NunoCassolaClaudioMorana(2004.4)[6]AdrienneA.KearneyRaymondE.Lombra(2004.7)3[7]1.1.2,(1998)[8];(2001)[9];(2001),[10](2002),[11]2000.1,,,,,,,,,GDP;()(,),[12]2002.1,,,,,,,,[13]2002.24,,,[14]2002.5,,,,;,,,,:,;,;,[15]2003.4,,,,[16]2003.8,(VECM),,,1,2,345,[17](2003.9)1993-20025[18]1.21.2.1,,,,2001,,,,,,,,,;,,,,.,,,,.1.2.2,6722.12.1.1,,2080,,,,1205060,,,,1,,,;1,,,,,,,,,,,:2,Modigliani,,,8,,,,,,,,,,,:3,,,,,,(),,,,,,,,,:4()RalphChami(1999),,,,,,,,,,,,:,,,,,9,[16]2.1.22.1.2.1,,,,,;,,,,;,,:(1):,,;(2):,,,10,,,,,,;,,,,,Rigobonandsack(2002),,25,50019%(2001)(012),15[19],,,199620028199658521.378351247140%1997102310271998199719995199961364173920022211506321168511.9%112.1.2.2,,,;,,,,,(1998)012,,,[8],(2000),,,;,,,[20]200319932002[18]1232001Granger121997120006,M014M112.M212519911996M1M2[21]M0M1M2M0M1M22.22.2.11992-2003,(2-1)GDP19923.93200053.7850%2003,42457,,36%,,;,,:(1),,;(2),;(3),,,;(4),,13,2-1GDPGDP19921048266513.93199335313456010.219943691466707.8919953474574943.94199698426685014.31997175297314223.961998195067696724.571999264718042232.922000480908940453.782001435229593345.3720023832910239837.4320034245711669436.38200311M/PiiICY;M/PW/PCY80M/PIYM/PiNXY142,1qJ.q,.q,.,(V)(=Pq=V/P,,,,,V,q.,q1.q1,,.,q1,.:M/PVqIY2,.,,,,,.,,.,.(M)(P)/Y3.,\,..,,,,,,.:15M/PPW/PCY4,,,.:M/PPY.2.2.22.2.2.1(1),,(2),,,,,(3)2,2000212.3%,,214%,16(4),,,,[22],,,,,,,,;,,,,,[22][23]172.2.2.21,,,,2002M216.5%M214.7%[24]18[15]2,,[15],,,,,,,,,,,,,,,,,,,,19,,,,,,,,,,,2033.13.1.1,,,20025,,,100%,,,,,,,,,,,,,,,,,,,,,21,,,,,,,,q,,3.1.2,,1992120019q,,,2000,44.5,60q,,20001999181%2000,2000100,57,51[13],,,,,,,,7,10,,,,22,99%,,,,,,,,,,,3.2,?3.2.12002122438329GDP37.43%,12485GDP12.191201381807592[25]233.2.2,,,,,,,;,,,,,,,,,,,,,,3.2.3,,24,,,,,,,,,,,,,,,,,,[25]3.2.4:,,,,,,,,,,,,,,25,,,,[26]2644.14.1.1,,;,,FriedmanFriedman(1988)McCornac(1991),:;Choudhry(1996),12;John.Thornton(1998):1960-1989,1[27],,,1959-1984,,1985,90,Jamesp.Dow(1998),909.34,1984-19881.23;,2000199411999222[29]20011993120003[31]20011992200092000274.1.2,,:,()1,()2,,GDP,X,,,4-1199620034-1:obsM2GDPM1X1996:164512.1013249.8023909.303598.8301996:268132.8015885.3024620.105969.5501996:372042.6016995.6026336.007835.3301996:476094.9021753.9028514.809842.3701997:179591.2014838.7029629.0014072.221997:282811.5017723.3031074.7016664.701997:385892.4018220.8032244.6014922.141997:490995.3023679.8034826.3017529.231998:192037.8015674.3033110.7018679.331998:294657.6018437.7033775.7021412.131998:399794.5019093.5036501.4020452.641998:4104498.525139.7038953.7019505.651999:1108438.216570.4038053.6020180.131999:2111363.519186.0038821.8030099.901999:3115079.320244.2041913.9029126.301999:4119897.926066.9045837.3026611.002000:1122606.817882.0045158.5036717.002000:2126605.321047.2048024.4040690.002000:3130473.822231.9050616.9041849.002000:4134610.428307.0053147.2048090.002001:1138744.519828.9053033.3050908.002001:2147809.723043.9055187.4053630.00282001:3151642.724179.3056644.0045831.002001:4158301.930262.7059871.6043522.002002:1164064.621020.2059474.8043050.002002:2169601.224515.606314