摘要
对VAR同时施加短期约束与长期约束,以识别价格型货币政策与股票价格之间的同步冲击响应关系。结果表明,股票价格对利率的即刻冲击响应为负,长期冲击响应收敛于零,这解决了乔斯基分解的长期正向效应之谜。股票价格对利率具有即刻正向冲击,且这种冲击不具有长记忆性。产出和通货膨胀对股票价格的冲击均具有正向滞后响应。实证结果可为基准利率的确定、货币政策的制定执行、股票市场的稳定发展、宏观调控的有效实施、货币政策由数量型向价格型的过渡提供一定的经验支持。
In this paper, short-term constraint and long-term constraint are applied on the VAR simultaneously to identify the simultaneous impact response relationship between monetary policy and stock prices, the results show that the immediate response of stock price to the impact of interest rates is negative, long-term impact response converges to zero and solve the puzzle of Chomsky decomposition long-term positive effect. Stock prices have im- mediate positive impact on interest rates, and this impact does not have long memory. Output and inflation have lagged positive response to the impact from stock price. The empirical results of this paper may provide some em- pirical support for forming the benchmark interest rate, the formulation and the implementation of monetary poli- cy, stable development of the stock market, the effective implementation of macro-control, transition of monetary policy from quantitative style to price-based style.
出处
《税务与经济》
CSSCI
北大核心
2014年第3期17-23,共7页
Taxation and Economy
