中国货币政策传导到资本市场有效性的实证分析

An Empirical Analysis on the Effectiveness of the Transmission Channels through Which Chinese Monetary Policy Makes an Impact on Chinese Capital Market

运用时间序列分析的方法,研究在中国人民银行间接调控货币政策的新时期,在中国资本市场规范成长的新阶段,中国货币政策传导到中国资本市场的有效性。实证分析表明:中国货币政策能够通过利率渠道、通货膨胀率渠道和货币供应量渠道有效地传导到中国资本市场。

In this paper, we make an empirical research on the effectiveness of the transmission channels through which Chinese monetary policy makes an impact on Chinese capital market since May in 1999, when the People's Bank of China has started to implement monetary policy through an indirect way and Chinese capital market has entered a regulatory stage, by the econometric modeling of financial time series. As the empirical analysis demonstrates, Chinese monetary policy makes an effective impact on Chinese capital market through interest rate channel, inflation channel and money supply channel.