基于SVAR模型的货币政策对股价波动影响性分析

Influence of Monetary Policy Based on SVAR Model on Stock Price Volatility

利用"理性价格泡沫"模型,探讨了货币政策、股票价格和实体经济之间的关系。在此基础上,采用结构向量自回归(SVAR)模型的框架在货币政策、股价之间建立多变量关系。实证研究了中国货币政策对股票价格波动的影响。运用脉冲响应函数,发现我国股价的基本部分和泡沫部分对货币政策反应的不同是由紧缩的货币政策导致的。结果表明:货币政策对股票的影响是不确定的,采取紧缩的货币政策不一定会导致股价的下降。

This paper explored the relationship between the monetary policy, stock price and real e- conomy by using the “rational price bubble” model. On this basis, multivariate relationship between monetary policy and stock price was established with the structural vector auto regressive （SVAR） model framework. An empirical study on the effect of monetary policy on stock price volatility in Chi- na was carried. With the impulse response function, we find that the different reactions of basic part and foam part of our stock price to monetary policy are caused by the tight monetary policy. This study shows that, the influence of monetary policy on the stock is uncertain, and tighten monetary policy does not necessarily lead to lower stock prices.