货币政策在不同时期对资产价格的EMD分析

The Impact of the Monetary Policy on the Asset Price in Different Periods——Based on EMD

研究致力于将一种新的信号分解方法,即经验模态分解(EMD)方法,运用于分析央行货币政策对资产价格波动的影响,对资产价格进行分解,对所得到的各个本征模函数进行平均周期计算和统计学分析,分析了剔除短期市场因素对分析信号的影响,找出其中反应货币政策影响关系的分量部分.认为货币政策确实对我国的资产市场产生影响,并且在不同时期的影响效果是不同的,政府应该充分发挥货币政策的调节作用促进我国经济的健康发展.

By using a new method of signal analysis called Empirical Mode Decomposition（EMD）,the impact of the monetary policy on the asset price is analysed.First we break down the signs of the asset price to get several IMFs.Then we calculate the mean periods of the IMFs and do some statistical analysis about these IMFs.We try to remove the short-term elements which affect the asset price,and distinguish the parts which present the impact of the monetary policy.After the study,it is shown that the impact of the monetary policy on the asset price exists and the result changes in different periods.It is believed that the government should make full use of the monetary policy to promote the healthy development of the economy.