中国货币政策与股票市场溢出效应研究——基于VAR-GARCH-BEKK模型

Research on Spillover Effect between Monetary Policy and Stock Markets—Based on VAR-GARCH-BEKK Model

在对中国货币市场利率、汇率和股票市场进行总体经验分解的基础上,运用VAR-GARCH-BEKK模型对实证分析货币政策与股票市场的联动性进行实证研究。研究表明:利率与股市间存在双向溢出效应,汇率和股市、利率和汇率间存在非对称的溢出效应,市场间存在显著的传导性,影响的方向和力度有所差异,从长周期趋势来看,汇率相较利率对股票市场波动溢出影响更具持久性。应密切关注市场波动,避免金融市场风险影响宏观经济运行,在有效监管框架下货币政策应着眼长期趋势,甄别市场波动力度与持久性,适时适度地完成货币政策调控。

This paper discusses the short-period volatility, long-period volatility and the long-term trend of structural features of China's interest rate, exchange rate and stock market. The results show that mutual mean and volatility spillover have significant effect between interest rate and stock market; the asymmetric influence of interest rate and stock market on exchange rate is obvious and significant. There are significantly conductivity in these markets, and the impact on the direction and intensity are different, in the long-period trend, spillover effects of exchange rate to the stock market volatility is more persistent. In order to avoid the risk of financial markets affecting macroeconomic performance, we should pay close attention to market volatility, and the monetary policy should focus on the long-term trend under effective regulatory framework, identify the market volatility efforts and persistence appropriate regulation, then regulate and control appropriately.