我国货币政策与股票价格的即期双向作用

The Contemporaneous Bilateral Effects between Monetary Policy and Stock Price in China

本文在VAR模型基础上放松Cholesky分解对研究变量单向即期作用的内含假定,引入货币政策在长期对实际股价不存在影响的长期约束,从而研究我国货币政策与股票价格的即期作用关系。研究发现,我国货币政策与股票价格在即期存在双向作用,但两者相互作用的显著性有所区别,股票价格冲击对货币政策的即期作用显著,而货币政策冲击对股票价格的即期作用非常有限;此外,市场利率不仅与实际股价指数双向即期作用显著,而且作用关系为稳定的反馈机制,明显优于各层次货币供应量和法定利率。

Due to the inherent assumption in Cholesky decomposition of unilateral contemporaneous effect when using VAR model to study the relationships between monetary policy and stock price, this paper introduces long-run constraint that the monetary policy has no effect on real stock price in a long run, relaxing the assumption in Cholesky decomposition, and investigates the contemporaneous effects between monetary policy and stock price in China. We find that there indeed exists the bilateral contemporaneous effects between monetary policy and stock price, and the contemporaneous effect of stock price on monetary policy is significant, while the reverse is limited. Further, we also find that the market-oriented interest rate has significant contemporaneous bilateral effects with the real stock price. Such effect is deemed as a stable feedback, and is superior to the effect between monetary supply or controlled interest rate and real stock price.