SVAR模型框架下的货币政策操作与股票价格波动——基于1998～2010年月度数据的实证分析

Monetary Policy Operation and Stock Prices Volatility under the SVAR Model——Empirical Analysis Based on Monthly Data from 1998 to 2010

基于标准VAR模型,通过构建更加符合经济理论的SVAR模型框架,实证探索了中国货币政策与股票价格波动的关系。结果表明,货币政策对股票价格冲击反应显著,而股票价格对货币政策的冲击在当期表现也很明显,但随着期数的增加,前者增幅依然明显,而后者呈现衰减态势,即货币政策对股票价格的调控能力有限。

This paper empirically analyzes the relationship between monetary policy and stock price volatility based on the evidence from Chinese A-share market by constructing the SVAR（Structural Vector Auto Regression） model based on the standard VAR（Vector Auto Regression） model.Compared with previous study,this analytical framework not only fully takes into account the gradient recursion among money policy,macro economy variables and stock prices,but also gives a special consideration of the biasness produced by chain price or year-based price characteristics on sample data sets.Empirical results show a significant response of monetary policy to the stock price shock,and the response is more significant in the current period.However,with the increase of periods,the former increase significantly while the latter presents attenuation posture.This finding suggests that the regulation of monetary policy to stock price is limited.So the central bank must pay close attention to the asset price volatility obeying the market rules in monetary policy making and operation,which helps play a greater degree of control function on stock market by monetary policy adjustment.