Dissertation > Excellent graduate degree dissertation topics show

The Empirical Analysis of the Shanghai Composite Index’s Reaction to Our Country’s Monetary Policy

Author: ZhaoTengTeng
Tutor: DanFei
School: Dongbei University of Finance
Course: Quantitative Economics
Keywords: monetary policy stock market vector error correction model event study announcement effect
CLC: F822.0;F832.51
Type: Master's thesis
Year: 2011
Downloads: 84
Quote: 1
Read: Download Dissertation

Abstract


As the increasingly deep of economic globalization and fast development of financial innovation, the role of the stock market in many countries get gradually strengthened in national economic entity. Our countries’ stock market started late, and get rapidly development in recent years, but have surged into extreme phenomenon, which brings adverse effects on the stable of China’s financial industry and healthy development of the real economy. Although the stock market produced the positive role to monetary policy transmission effect, it brings challenge to the policy implementation effect, monetary authorities need to carefully consider the influence of the stock market and formulate the reasonable policy when set monetary policy. The central bank use monetary policy aim to the stock market for many times, but the effect often less ideal, and took suspicious of the effectiveness of the policy.Today, the study of the relationship between monetary policy and the stock market is the relatively inattentive by the scholars at home and abroad, for involves two area of research of monetary economics and finance economics. it often limited the width and depth of the study when focus too much on research in one field of method. And they often focused on whether the transmission channel is obstructed in research of monetary policy transmission mechanism and so on. and it is rarely for research on new financial environment.Based on the summarization of the former research foundation, this paper proof the relationship between our countries’ monetary policy changes and the stock market fluctuation for both theoretical and empirical method in detailed, and proceed deep analysis. First of all. this paper review and summarize the related literature research methods at home and abroad. Then, expound on some of the classic theory of monetary policy, analyze transmission mechanism to the stock market by monetary policy briefly.In the empirical part of the article, this paper mainly divided into two ways:(1) to use the quantitative research methods of vector error correction model (VECM) first, analyze the stock market effect by expectational monetary policy changes, the result shows that the explanatory of policy indicator including M2 and bank lending rate to the change of the stock market index is not significant, generally lower than the consumer price index CPI and social total retail sales of consumer goods; (2) use of the basic thinking of event study, and the GARCH-M model for the tool, research the announcement effects on the stock market of the adjustment of the legal deposit reserve rate and the one-year benchmark deposit interest rate. Research found that compared to expectational monetary policy, the announcement effects to the stock market by the change of discrete monetary policy is relatively significant and more explanation. And adjust the rate of deposit reserve rate is more effective than to adjust benchmark deposit interest rate.Finally, according to the empirical research results and combined with the actual situation in our country, I put forward some specific policy recommendations.

Related Dissertations

  1. The Study on Exchange Rate Exposure of Chinese Listed Company of Textile and Garment Industries,F832.6
  2. Research on Asymmetric Effects of China’s Monetary Policy,F224
  3. Governance of Japan's bubble economy,F131.3
  4. Study on the Relativity between the Fluctuation of International Oil Price and Chinese Stock Market,F832.51;F224
  5. Research on the Factors of the Private Placement Announcement Effect,F224
  6. Theoretical and Empirical Analysis of Chinese Stock Market Affecting Monetary Policy Transmission Mechanism,F822.0;F224
  7. Effect of Non-tradable Share Reform on Chinese Stock Market,F832.51
  8. The Research of Sector Rotation of Stock Market,F832.51
  9. The Influence of Increasing Foreign Exchange Reserves to Monetary Policy in China,F822.0;F224
  10. The Empirical Research of the Relationship of China’s Stock Market and Real Estate Markets,F293.3;F224
  11. The Monetary Policy and Its Functions of the New Deal,K712.52
  12. To Promote the Healthy Development of the Stock Market Stability Tax System Conception,F812.42
  13. Research on the Effect of Chinese Interest Rate Adjustment to the Stock Price,F224
  14. Contrastive Analysis on American and Chinese Stock Market,F837.12
  15. The Research of the Asymmetries of the Monetary Policy Effect Based on STR,F224
  16. An Empirical Research on the Relationship between the Development of China’s Stock Market and Money Demand,F832.51;F822
  17. Research on the Correlation between Chinese Stock Market and Monetary Policy,F832.51;F822.0
  18. The Comparison Study of Direct Financing and Indirect Financing Efficiency,F272
  19. The Early Warning Study of Our Country’s Stock Market Bubble,F832.51
  20. The Applied Research of GARCH Family Model Based on the VaR Method in China’s Stock Market Risk Measure,F224
  21. Empirical Study on Determinants of Capital Structure of Chinese LC. in Different Industries,F224

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile