The influence of the adjustment of deposit reserve ratio on China securities market
I. Introduction
At present, the national economy is growing rapidly, consumer demand is growing steadily, the income of urban and rural residents is increasing steadily, foreign trade is growing strongly, and fiscal revenue is increasing substantially. The improvement of the market system environment in the post-share reform era is gradually showing results, and the depth and breadth of the securities market are further increased. In addition, there are also problems in economic operation, such as further expansion of investment demand, rapid growth of money and credit, and increasing inflationary pressure. In order to prevent the economy from overheating, prevent the stock price from soaring and maintain the balance of China's national economy, the central bank raised the deposit reserve ratio ten times in 2007, and the securities market is one of the most active markets in the modern market. Therefore, it is necessary to study the influence of the adjustment of the deposit reserve ratio on the China securities market and analyze the adjustment effect of the ten-time increase of the deposit reserve ratio in 2007 on the overheating of the securities market. Based on the theoretical study of the impact of the deposit reserve ratio on the securities market, this paper discusses whether the continuous increase of the deposit reserve ratio by the central bank in 2007 has an impact on the securities market and what kind of impact it has had, including the impact of the increase of the deposit reserve ratio on the comprehensive index of the broader market and the impact of the increase of the deposit reserve ratio on the representative stocks of various sectors of the stock market.
This paper analyzes the impact of the continuous increase of the deposit reserve ratio on the securities market in 2007, which has certain practical significance. The main differences between this paper and the previous related research in China are as follows: First, in the research content, the previous research on the influence of deposit reserve ratio adjustment on the securities market was only a simple discussion in theory, and only the comprehensive index and stock price were selected as the observation indicators of the securities market, but the stocks of various sectors were not studied. This paper theoretically studies the influence of the deposit reserve ratio on the securities market, and by analyzing the comprehensive index of the stock market and the main indicators of individual stocks in each sector, it studies whether the central bank raised the deposit reserve ratio for ten consecutive times in 2007 has an impact on the securities market. Secondly, in terms of research methods, domestic research basically only explains the changes of observation indicators, and does not adopt scientific methods for research. This paper will use regression model to analyze the impact of the People's Bank of China's repeated increase in the deposit reserve ratio on the comprehensive index of the securities market and the main indicators of representative stocks in various sectors.
Second, literature review
(A) Research on the deposit reserve ratio
The research on the deposit reserve ratio initially focused on the impact of the adjustment of the deposit reserve ratio on the financial market. Richard T. Froyen and Kenneth J. Kopecky (1983) studied the influence of the change of the deposit reserve ratio on the total amount of money in a short period of time, and pointed out that the adjustment of the deposit reserve ratio will affect the expected value of money and the total amount of money, thus affecting the financial market (including the securities market). James D.Hamilton( 1998) discussed the factors affecting the deposit reserve ratio, studied the influence of the adjustment of the deposit reserve ratio, and pointed out that raising the deposit reserve ratio would increase the interest rate, thus affecting the financial market. In recent years, there are more and more researches on deposit reserve in China. In view of the fact that the People's Bank of China announced in 2003 that the deposit reserve ratio of major financial institutions would be raised from 6% to 7%, Qinling (2003) studied the influence of raising the deposit reserve ratio on the whole financial operation, different types of commercial banks, capital markets, insurance markets, bond markets, fund markets and financing costs, and put forward that the statutory deposit reserve ratio is strong, and a small change in the statutory deposit reserve ratio will cause huge fluctuations in the money supply, which has a strong announcement effect. Since 2003, the People's Bank of China has raised the deposit reserve ratio several times, so many scholars have studied the effectiveness of the adjustment of the deposit reserve ratio. Xu (2004) pointed out through the study of the central bank's three increases in the deposit reserve ratio in 2003-2004 that the increase in the deposit reserve ratio is conducive to hedging some foreign exchange holdings and regulating the overheating tendency of investment in some industries and regions, indicating that the central bank attaches importance to the "signal" role of monetary policy and emphasizes market-oriented regulation. In addition, the implementation of the differential deposit reserve policy provides a positive incentive mechanism for financial institutions in China. In 2007, the central bank adjusted the deposit reserve ratio more frequently. Wu Ying (2007) pointed out that the adjustment of the deposit reserve ratio, as the preferred liquidity management tool of the central bank at present, has become a measure to normalize monetary policy. Li Yang (2007) pointed out that the central bank tried to control the liquidity of funds by raising the deposit reserve ratio to solve the overall overheating trend of domestic macro-economy, but the effect was not very satisfactory. It is necessary to implement a combination of various monetary policies and cooperate with various macro policies of other departments, especially to raise the income level of low-income groups and increase investment in social security departments in order to better control funds.
Liquidity of gold.
(B) the impact of the adjustment of the deposit reserve ratio on the securities market
There are not many papers that study the influence of deposit reserve ratio on securities market alone. Tong (1997) studied whether the deposit reserve would affect the stock market. Then from 2003, due to the rapid economic growth, the People's Bank of China raised the deposit reserve ratio several times, so the research on the impact of the deposit reserve ratio on the securities market gradually increased. Chen Zhixing (2004) pointed out that the impact of the deposit reserve policy on the stock market is mainly manifested in the impact on the money supply in the stock market, thus affecting the market interest rate, stock price index and stock market structure. He Qiang (2006) analyzed the impact of the central bank's six-time increase in the reserve ratio on the securities market since 2003, and pointed out that in the short term, due to the continuous introduction of the policy of increasing the reserve ratio, policy makers need to have a stage to observe the effect, so it is unlikely to further adjust monetary policy in the near future, and the impact of negative policies on the securities market will be alleviated at this stage when monetary policy is relatively stable; In the long run, due to the continuous tightening of monetary policy and the real-time regulation of macroeconomic operation, various economic indicators will be transformed to a controllable range to a great extent under the effect of policy accumulation. Once the macro-economy runs smoothly, the possibility of further tightening of monetary policy will be greatly reduced, and China's securities market will also get a good opportunity for sustained and stable development.
In view of the continuous increase of the deposit reserve ratio by the central bank in 2007, foreign experts have commented one after another. David Ball Vosa
(2007) pointed out that the central bank raised the deposit reserve ratio several times to show its determination to recover excess liquidity in the market. The goal of Bank of China is to control commercial banks to provide new loans to newly started construction projects. Raising the deposit reserve ratio reduces the ability of commercial banks to issue loans. At the same time, the increase in the deposit reserve ratio also has the intention of regulating the China mainland stock market. However, the liquidity freeze caused by raising the deposit reserve ratio is still a drop in the bucket compared with the trillions of yuan of excess liquidity. Judging from the current situation, the effect of relying solely on tightening monetary policy has weakened. In order to effectively regulate the economy and curb the bubble, we must implement the combination strategy from the following aspects: first, we must guide the investment to maturity; Second, we should strengthen the legislative supervision of the securities market; Third, we should actively cultivate the concept of value investment; Fourth, we should scientifically plan and adjust the flow of funds.
Third, research and design.
(A) research hypothesis
1. deposit reserve ratio and stock market composite index.
The adjustment of the deposit reserve ratio affects the stock price index by affecting the supply of funds in the stock market. If the deposit reserve ratio is lowered, it will increase the supply of funds in the stock market and lead to an increase in the stock price index. If the deposit reserve ratio is raised, it will reduce the supply of funds in the stock market, leading to a decline in the stock price index (Chen Zhixing, 2004). Therefore, this paper puts forward the following assumptions:
H 1: the change of deposit reserve ratio is negatively correlated with the change rate of market composite index.
2. Deposit reserve ratio and share prices of representative stocks in various industries.
The increase of deposit reserve ratio directly affects the supply of funds in the market, while capital-intensive enterprises are more dependent on funds and bear the brunt of the impact, while labor-intensive enterprises are less dependent on funds and will be less affected. Therefore, the improvement of deposit reserve ratio has a great impact on capital-intensive enterprises such as heavy industries (automobiles, steel, etc.). ), chemical industry, medicine, real estate, telecommunications, information industry, aviation, finance, etc. , and has a great impact on light industry (home appliance manufacturing, textile industry, clothing, shoes and hats, toys, food processing, etc.). ), electricity, construction, commerce, trade, catering, hotels, maintenance, housekeeping. The reduction of deposit reserve ratio promotes the increase of money supply, social consumption and investment, greatly improves the production and operation environment of listed companies, has a positive impact on the operating performance of listed companies, and is conducive to laying a solid foundation for the sustained and stable operation of the securities market. Similarly, the increase of the deposit reserve ratio may have a negative impact on the operating performance of listed companies (Li Yang, 2007). Therefore, this paper puts forward the following assumptions:
H2: The change of deposit reserve ratio is negatively related to the change rate of stock prices of representative stocks in the sector.
(2) Sample selection
This paper selects the stock market composite index on the first trading day since the deposit reserve ratio was raised and the stock price change rate of representative stocks in each sector for research. The Shanghai Composite Index is selected as the comprehensive index of the stock market, and the representative stocks of industrial sector, commercial sector, real estate sector and public sector are selected as Hangang, Yili, Tianhongbaoye and Industrial and Commercial Bank of China respectively. The data mainly come from Sina Finance Network and Xinhua Finance Network.
Fourth, empirical analysis.
(A) the impact of reserve ratio adjustment on the market composite index
Firstly, the variance analysis of the adjustment of the deposit reserve ratio and the change rate of the market composite index in different periods is carried out to determine the influence of the adjustment of the deposit reserve ratio in different periods on the market composite index and whether there is a significant difference between the change rate and the average value of the market index. The statistical analysis results show that f = 0.65877: α = 0.05, and the same conclusion can be drawn. Then, the change rate of the Shanghai Composite Index on the first trading day after the 10 increase of the deposit reserve ratio in 2007 was analyzed by a unitary regression. The analysis results show that the correlation coefficient r =-0.8440577, and the change of the Shanghai Composite Index on the first trading day after the upward adjustment is highly correlated with the change of the deposit reserve ratio, and has a negative linear relationship. The decision coefficient rsquare = 0.7 124334, and the regression straight line has a good fitting degree to each data. Importance f = 0 00213383 <; α = 0.05, which shows that there is a significant linear relationship between the change rate of Shanghai Composite Index and the change of deposit reserve ratio. The analysis results are consistent with the research hypothesis.
(B) The impact of the adjustment of the deposit reserve ratio on the representative stocks of each sector
1 Industrial plate-Handan Iron and Steel.
Through regression analysis, the following results can be obtained: the correlation coefficient r = 0.0 10 157, the judgment coefficient rsquare = 0.000 103, and the regression straight line has poor fitting degree to each data. P value = 0.977783 > α = 0.05, which shows that the change of deposit reserve ratio has no significant influence on Hangang in the industrial field.
2. Commercial sector-Yili shares.
In the study of commercial sector, Yili shares are selected, and the influence of the adjustment of deposit reserve ratio on commercial sector is tested by regression analysis. The analysis results show that the correlation coefficient r = 0.2092 1729, the judgment coefficient rsquare = 0.04377 1874, and the regression straight line has poor fitting degree to all data. P value = 0 561849299 > α = 0.05, which shows that the change of deposit reserve ratio has no significant impact on Yili shares in the commercial sector.
3. Real estate sector-Tian Hong Bao Ye.
Tian Hongbaoye is selected as the research object of the real estate sector, and the influence of the adjustment of deposit reserve ratio on the real estate sector is tested through regression analysis. The analysis results show that the correlation coefficient r = 0. 17362668, the judgment coefficient rsquare = 0.030 146224, and the regression straight line has poor fitting degree to all data. P value = 0 631435812 > α = 0.05, it can be seen that the change of deposit reserve ratio has no significant impact on Tian Hongbao Metallurgical of real estate sector.
4. China Industrial and Commercial Bank.
China Industrial and Commercial Bank was chosen as the research object of the public sector. Through the results of univariate regression analysis, the correlation coefficient r = 0.08993 1667 and the judgment coefficient r square = 0.008087705 were obtained, and the regression straight line had poor fitting degree to each data. P value = 0 804857831> α = 0.05, which shows that the change of deposit reserve ratio has no significant impact on ICBC in the public sector. Through unitary regression analysis, it is found that the central bank raised the deposit reserve ratio ten times in 2007, which had no significant impact on the stock prices of Hangang, Yili, Tianhong Baoye and Industrial and Commercial Bank of China on the first trading day after the increase date, and some stocks still showed an upward trend after the increase of the deposit reserve ratio. The main reasons are as follows: First, it takes a long time from raising the deposit reserve ratio to having an impact on macroeconomic activities and achieving results. Generally speaking, after the central bank takes measures, it is impossible to change the ultimate goal immediately. It needs to slowly influence the economic behavior of each unit through the transmission mechanism of monetary policy, thus affecting the ultimate goal of the policy. Secondly, social and economic units and individuals may predict the future economic situation and the continuous adjustment of monetary policy according to the changes of central bank's monetary policy, and respond to the changes of this situation, which may invalidate monetary policy. Thirdly, the central bank raises the deposit reserve ratio, and through the currency multiplier effect, the absorbed funds can reach hundreds of billions or more. However, for the first half of 2007, when the stock market is at the starting point of bull market, raising the deposit reserve ratio will adjust the structure of the stock market to a certain extent, without fundamentally affecting the stock market. At the same time, China's bank credit market is separated from the stock market, so it is difficult for bank funds to directly enter the stock market. However, in the second half of 2007, the influence of the adjustment of deposit reserve ratio on the securities market gradually appeared, and various stocks showed a downward trend. The seventh, eighth and ninth increases in the deposit reserve ratio had a great impact on the representative stocks of various sectors, and the stock prices of all stocks fell. It can be seen that the adjustment of the deposit reserve ratio still has a certain impact on various sectors. Fourthly, at present, the income and profit and loss of Chinese securities companies mainly come from the secondary market. Therefore, raising the deposit reserve ratio is very unfavorable to listed securities companies. It can be seen that the adjustment of the deposit reserve ratio is negatively correlated with the stock prices of representative stocks in each sector, but the degree of correlation is different, and it has a certain time lag, and it will also be affected by other factors such as economy and politics, so hypothesis 2 is established.
Verb (abbreviation of verb) conclusion and suggestion
In 2007, the People's Bank of China raised the deposit reserve ratio ten times, which had a significant overall impact on the securities market and showed a significant negative linear correlation. Due to the lag of the influence of the deposit reserve ratio on the securities market, its adjustment ability is limited, and it is influenced by many aspects such as economy and politics. In the first half of 2007, the increase of the deposit reserve ratio did not have a significant impact on the representative stocks of various sectors of the securities market, but in the second half of 2007, the adjustment of the deposit reserve ratio had a greater impact on various sectors of the securities market, and the effect of the adjustment of the deposit reserve ratio was gradually reflected in the securities market. The adjustment of the deposit reserve ratio has different impacts on different industries, especially on financial listed companies and less on labor-intensive industries. In order to better control the liquidity of funds, make the macro economy develop continuously, rapidly and healthily, and get rid of the current overheating situation, the following suggestions are put forward:
(A) the implementation of a variety of monetary policy combinations
At present, the deposit reserve policy is not widely used in other countries. It is difficult to fundamentally solve macroeconomic problems and contradictions simply by raising or lowering the deposit reserve ratio. It must be supplemented by open market operations to tighten the money supply and curb excessive investment demand. The central bank can sell securities in a timely and appropriate manner. Buyers, whether commercial banks or other social departments or individuals, can reduce the scale of lending in the banking system and the money supply after clearing bills. At the same time, in this process, the price of securities will fall, which will lead to the increase of market interest rate and credit cost, thus effectively restraining the overheating of investment and consumption in China's national economy.
(2) Closely cooperate with other macro-control policies.
Simple monetary policy is still difficult to fundamentally achieve macro-control of the economy, and it needs to cooperate with other policies and fully cooperate and coordinate with other government departments, such as the financial sector, in order to achieve the greatest effect. Under the current situation, it is necessary to cooperate with the tight fiscal policy, and the relevant departments should reduce fiscal expenditure, increase central bank deposits and reduce the total amount of social money. In terms of taxation, strengthening the collection and management and raising the effective tax rate can restrain the investment desire of enterprises to a certain extent.
(3) Raise the wage level of low-income groups.
Raising the wages of low-income groups, especially industrial workers, can turn the profits of enterprises into dividends to a certain extent, weaken the impulse to continue investment, and play a certain role in alleviating the current situation of overheated investment and excessive liquidity of funds. At the same time, simply restraining investment may lead to excessive economic contraction and affect the operation of the national economy on another level.