股票市场、货币政策和宏观经济的动态传导效应研究——基于TVP-VAR模型

Research on the Dynamic Transmission Effects of Stock Market,Monetary Policy and Macro Economy——Based on TVP-VAR model

股票市场、货币政策和中国经济之间的相互传导机制一直以来都是研究的热点,但较少文献系统地考虑它们之间的影响机制在不同时期下的差异性。在已有参考文献的基础上,选出2008年、2015年和2020年三个关键时点,运用TVP-VAR模型深入具体地分析在货币政策介入的条件下股市对宏观经济的传导机制。研究发现短期内股价的变动对中国经济增长的时变响应是显著的,宽松的货币政策会对中国股市和宏观经济产生较大影响,但随着时间推移这种影响逐渐减弱;股票市场景气度不高时对中国经济的影响是小于股市景气度高时的影响强度。这一研究发现有助于决策者和投资者更为深入的了解三者之间的内在联系,进而促进资本市场、货币市场和宏观经济的共同发展和货币政策的灵活运用。

The mutual transmission mechanism between stock market,monetary policy and China’s economy has always been a research hotspot,but few literatures systematically consider the differences of their influence mechanisms in different periods.Based on the existing references,this paper selects three key time points in 2008,2015 and 2020,and uses TVP-VAR model to deeply and concretely analyze the transmission mechanism of stock market to macro-economy under the condition of monetary policy intervention.It is found that the change of stock price has a significant time-varying response to China’s economic growth in the short term.Loose monetary policy will have a great impact on China’s stock market and macro-economy,but this impact will gradually weaken with the passage of time;The impact of low stock market prosperity on China’s economy is less than that of high stock market prosperity.The findings of this study will help decision makers and investors better understand the internal relationship between the three,so as to promote the common development of capital market,money market and macro-economy and the flexible application of monetary policy.