股票市场对货币政策传导机制影响的实证研究——基于脉冲响应函数和方差分解的技术分析

Empirical Study on the Impact of the Stock Market over Monetary Policy: Based on Impulse Response Function and Variance Decomposition Technique

随着股票市场的蓬勃发展及其与国民经济的联系日益密切,货币政策的传导机制和效应必然受到股票市场发展的影响,同时股票市场也逐渐成为货币政策传导的重要渠道之一。本文首先对货币政策的传导机制与股票市场的关联机制进行分析,然后运用协整分析、向量自回归模型(VAR)、向量误差修正模型(VECM)、脉冲响应函数、方差分解技术等计量方法对我国股票市场对货币政策传导机制的影响进行了实证分析。结果显示股票市场已经成为传导货币政策的一个主要渠道,中央银行制定货币政策时必须要考虑股票市场。

Coupled with the flourish of stock market and its closer relations with the economy, the development of stock market unavoidably has an impact on the transmission mechanism and the effects of monetary policy, while simultaneously the stock market becomes one of the important channels for monetary policy iransmission mechanism gradually. This paper firstly studies the correlation between monetary policy transmission mechanism and the stock market, and makes an empirical study on the impact of stock market over monetary policy transmission mechanism using econometrics tools such as co- integration analysis, VAR, VECM, Impulse Response Function and Variance Decomposition Technique. The result shows that the stock market has been a main channel for monetary policy transmission mechanism and the central bank has to take into consideration of the stock market while formulating monetary policy.