摘要
文章以2010年1月至2014年4月的月度数据为研究样本,选用SVAR模型的脉冲响应分析美联储量化宽松政策对中国资本市场的影响。研究结果表明,美联储量化宽松政策的正向冲击对中国股票市场产生"L型"冲击效应,而且分别给债券市场和信贷市场带来了正响应和负响应。同时,结构性方差分解表明,相比国债收益率,美国基础货币量的变动对中国资本市场的影响更大。在此基础上,文章进一步预测:一旦美联储逐步退出量化宽松政策,中国股票市场将出现上涨趋势,而债券市场和信贷市场则会表现得很平淡;相反,倘若继续实施这一政策,中国股票市场将不会有太多表现,而债券市场和信贷市场的前景则看好,资金将从金融市场转移到实体经济。
Using SVAR Model,the paper analyzes the impacts of QE by Federal Reserve on the Chinese capital market during the period from Jan 2010 to Apr 2014. The empirical results indicate that such impact of QE on stock market in China appears to be ' L' shape. With regard to bond market and credit market,the impacts have been respectively positive and negative,. At the same time,it shows compared with the interest rate of public bonds,the fluctuation on the basic currency imposed more impacts on Chinese capital market. Based on this,stock market in China will dramatically increase its value and both the bond and credit markets will remain calm if U. S. withdrew QE However,if QE is maintained,then the opposite will come true,that is,the fund will flow from financial market into real economy continuously.
出处
《世界经济研究》
CSSCI
北大核心
2015年第6期12-23,127,共12页
World Economy Studies
基金
上海财经大学研究生科研创新基金项目(项目编号:CXJJ-2012-400)的资助
