我国货币政策对股票市场非对称影响的实证研究——基于马尔可夫区制转换VAR模型

The Empirical Study of the Asymmetry Effect of China’s Monetary Policy on Stock Market:Based on MS-VAR

本文基于1997年1月至2012年4月的数据,使用三区制滞后两阶的MS(3)-VAR(2)模型,对三种区制下货币政策对股票市场的影响进行分析。研究发现,在不同状态下,货币政策变量的变动对上证综指收益的影响在时间、方向和效果上是非对称的。在高收益、低波动状态与低亏损、低波动状态下,利率的变动对股票市场并不存在显著的影响;在高亏损、高波动状态下,利率的变动滞后一期对股票市场有较小的正向影响,但滞后二期时存在较大的负向影响。货币供应量变动对股票市场的影响在高亏损、高波动行情时比在高收益、低波动和低亏损、低波动行情时更加显著。总体来看,利率和货币供应量对股票市场的影响在高亏损、高波动行情下是显著的。

This paper employs data dated from January 1997 to April 2012 and uses M S （ 3 ）-VAR （2） model to analyze the effect of the monetary policy on the stock market under three regimes. It is found that the effect of changes in monetary policy variables on the yield of SSE Composite Index in terms of time, direction and effect is asymmetric under different regimes. As for the interest rate, in the market featured by high yield and low volatility, and that by low loss and low volatility, changes in interest rate do not exert a significant influence on the stock market. And in the market featured by high loss, high volatility, changes in interest rate have a small positive impact during the lag one period, but there is a big negative impact in the lag two period. As for the supply of money, changes in money supply do have greater effects on the stock market in the high-loss and high-volatility market than in high- yield, low-volatility and low-loss, low-volatility market. Generally speaking, the influence of the interest rate and money supply on stock market is significant in high-loss and high-fluctuation market.