金融市场条件与货币政策关系的解析——基于四元VAR-GARCH(1，1)-BEKK模型的分析

Explanation on the Relationship between Financial Market Condition and Monetary Policy:Analysis on the Basis of VAR-GARCH(1,1)-BEKK Model

本文基于我国股票市场、债券市场、外汇市场以及货币市场的日数据,选取四变量VAR(6)-GARCH(1,1)-BEKK模型,分析了汇率改革以来股票市场、债券市场、外汇市场与货币政策的互动关系。研究显示,上述三个主要金融市场与货币市场间存在显著的一阶矩和二阶矩关联性,说明中央银行的货币政策可能关注了金融市场条件的变化。基于脉冲响应函数的分析表明,中央银行的货币政策意图能够在金融市场间较为有效传导,同时,金融市场条件的变化对货币政策传导构成一定程度的冲击。为此,中央银行需要提高对金融市场变化的关注程度,增强货币政策的透明度,并强化货币政策与汇率政策的协调搭配,以减小外部冲击对宏观经济稳定的影响。

In this paper, we introduce VAR- GARCH （1,1） -BEKK model to analyze the interaction between monetary market and three major financial markets- -stock market, bond market and exchange market- -since the reform of exchange rate system in 2005. The results show that there are significant correlations in first moment and seeond moment between these three major financial markets and monetary market, which implies that the central bank＇ s monetary policy may be concerned about the changes in financial markets. Our study based impulse - response function shows that the intention of central bank＇ s monetary policy can efficiently be transmitted in financial markets, but changes in financial markets may give some impacts on the transmission of monetary policy. So, in order to minimize shocks to macroeconomy, the central bank is supposed to further attend to the changes in financial markets, improve the transparency of monetary policy, and coordinate the relation of exchange policy and monetary policy.