中國貨幣市場和資本市場聯(lián)結(jié)機理實證研究.pdf

1、西北大學碩士學位論文中國貨幣市場和資本市場聯(lián)結(jié)機理實證研究姓名：郭銳申請學位級別：碩士專業(yè)：金融學指導教師：陳希敏20090615AbstractTheeconomicoperatingpracticeofallcountriesacrosstheworldshowsthatahigheroperatingefficiencyoffinancialmarketisnotonlyconducivetealizefastergrowthof

2、aneconomy’butalsoconducivetopromotewelfarelevelofitsresidentsToenhanceoperatingefficiencyoffinancialmarket，weneedtapidlyenlargethescaleofitononeside，andcontinuallyoptimizethestructureofitontheothersideFollowtheideaenhanc

3、ingtheoperatingefficiencyofitbywayofoptimizingstructureofit，aresearchonitssegmentationproblembecauseofimperfectcouplingmechanismbetweenmoneymarketandcapitalmarketisverynecessaryConsidering2000asathreshold，aseriesofpolici

4、esandregulationshasbeenissuedinordertobroadenthelinkagechannelsbetweenthem，andalsoteinforcecouplingcapabilitybetweenthemThisindicatesthatourgovernmentbeginstopayaRentiontoperfectthecouplingmechanismbetweenthemTherefore，a

5、researchwhichdiscussesthecouplingmechanismbetweenChina’SmoneymarketandcapitalmarketisofgreattheoreticalandpracticalsignificanceBasedontheoryoffinancialdevelopmentandrelevantresearchesofdomesticandforeign，thispaperanalyse

6、sthecouplingmechanismbetweenthemandestablishesacouplingmechanismtheoreticalmodel，addedintotransactioncost，anditalsoprobesintoinherentforcewhichbringscapitalflowageinordertodemonstratenecessityofestablishingcouplingmechan

7、isminChinaInempiricalpart，wechoosedailypriceandtradingamountofinter—bankbondrepomarket，lendingmarketandstockmarketasanalyzingvariables，andalsouseeconometricmethodsofGrangerCausalitytest，ExpandedVectorAutoregressivemodel，

8、GeneralizedImpulseResponseFunctiontotestpricecouplingmechanismbetweenmoneymarketandcapitalmarketinChinaThetestingresultsshowthatcloselycouplingmechanismbetweenmoneymarketandcapitalmarketinChinahasn’tyetbeenestablishedIna

9、shorttime，thedeclineofmoneymarketinterestrateswillbringtheriseofstockmarketpriceTherealsoexistslinkagerelationshipthattheriseofstockmarketpriceaccompanyswiththeriseofmoneymarketinterestrates，butitsGrangerCasualtyrelation

10、shipis’tsignificantIntheend，basedonabovementionedstudy，wegivepolicyrecommendationssuchasperfectingrelevantfinancialregulatorylawsSOastotimelyproposemixedmanageoffinancialindustry，continuallydevelopingandperfectingbondmar

11、ketSOastobroadenlinkingchannelsbetweenmoneymarketandcapitalmarket，developmentofbondmarket，reducingtheentranceconstraintsbetweenmoneymarketandcapitalSOastostrengthentheconnectivityofinvestorsbetweenmoneymarketandcapitalma