货币政策与股票收益率的非线性影响机制研究

Studies on the Nonlinear Relationships between Stock Returns and Monetary Policy

本文对股票收益率、货币政策以及产出之间的动态关系进行了线性检验,结果发现三者之间的动态调整过程存在明显的非线性特征。在此基础上构建了平滑迁移结构向量自回归模型(ST-SVAR)刻画三者之间的非线性关系,并计算了ST-SVAR模型的广义脉冲响应函数。结果发现货币政策对股票市场具有显著影响,并存在非对称性,即扩张性的货币政策对股票市场的拉动效应大于紧缩性的货币政策对股票市场的抑制效应。而产出与股票收益率之间的关系并不明显,股票收益率并不能完全反应经济基本面,存在一定程度的两分性。

In this paper, we test the linearity among stock returns, monetary policy and output, and find that the relationship of them is significantly nonlinear. So we construct a smooth transition structural vector auto - re- gression model （ ST - SVAR） of stock returns, monetary policy and output. Based on the estimation of the ST - SVAR model, generalized impulse response functions are computed, and it is found that monetary policy has a significant asymmetric impact on the stock market, that is, positive effect on the stock market of expansionary monetary policy is greater than the reverse effect of tight monetary policy. However, the relationship between stock returns and output is not obvious, stock returns can＇t fully reflect economic fundamentals.