财政货币政策和我国股市关联性：基于脉冲响应函数和方差分解的对比检验

The Relationship of Policies and China's Stock Market: An Comparable Study Based on the Impulse and Response Function and the Variance Decomposition

财政货币政策和股市关联性模型表明,宏观经济政策和股市可能存在强相关性。基于我国时序数据的脉冲响应函数检验结果显示,财政货币政策对股市作用存在阶段性并有着非中性和非对称性特征,即无论个体对政策冲击是否存在有效预期,政策变化对股市都将存在冲击效应。但二者对股市冲击持续时间有较大差异,财政政策冲击往往只存在短期效应,而货币政策冲击对股市长期波动却有显著影响。其中方差检验得出,财政政策对我国股市影响力相对更小。

The model of the stock market and the fiscal and monetary policies points out that stock market and the policies has the positive effect. Based on China＇s data, the policy on the stock market not only has the phase cause relationship, but also has the character of non-neutral and asymmetry relationship. Namely, whether the individual can form the efficient expectation of the impact of the fiscal and monetary policies or not, the policies will cause the fluctuation of the stock market, and that the impulse of the monetary policies makes the stock market grow or fall longer than i he fiscal policies. The variance decomposition test shows that the fiscal policy has less effective power to the stock market than the monetary policy.