中国货币政策对股票市场影响的再考察

Reexamination of the Effects of Monetary Policy on Stock Market

本文运用DAG方法、VAR模型和马尔科夫转换模型考察了货币政策对股市价格水平的影响,结果表明中短期内货币政策对股票市场价格水平存在影响显著,并表现出较强的非对称效应。股市低迷期的紧缩性货币政策会进一步降低股市收益率,减小股市从熊市转入牛市的概率;相反,股市繁荣期的紧缩性货币政策将增加股市从牛市转入熊市的概率。

Using technique of DAG and VAR model,this paper study the effects of Chinese monetary policy on stock market. The analysis results indicate monetary shocks have negative effects on stock market price in short-term and medium-term.We also apply Markov-switching model to investigate whether Chinese monetary policy have asymmetric effects on stock market.The analysis results show that contractionary monetary policy will decrease stock returns more in bear markets than in bull markets and lead to a higher probability of switching from the bull markets regime to the bear markets regime.