我国股市对货币政策反应效率的实证研究

Empirical Study on the Reaction Efficiency of the Stock Market to Monetary Policy

基于粘性信息假说,通过拓展货币资产组合理论,并运用含有自变量滞后项的ARMA模型进行实证检验发现:中国股市对货币政策中广义货币供应量M2的变动率与利率r变动率的反应分别有3个月、6个月的滞后期,表明中国股市对货币政策的反应较滞后,因而中国股市对货币政策反应的有效性有待提高。

Based on the sticky information hypothesis, an empirical study is made by expanding monetary portfolio theory and using ARMA model with lagged independent variable. The authors find out that the reactions of China＇s stock market to the change rates of the broad money supply M2 and the interest rate r in the monetary policy have lagged periods of three months and six months respectively. This proves that China＇s stock market react slowly to the monetary policy, so the reaction efficiency needs to be improved.