货币政策对股市收益率的影响:非对称效应解析

An Empirical Research on the Asymmetric Effect of Monetary Policy on Stock Yield in China

使用MS-VAR模型将我国股票市场划分为三个区制状态,分析不同区制下货币政策对收益率影响的非对称性及二者间的动态相关关系走势。结果表明:货币供给增速对股票收益率有正向影响,但在高亏损行情中则正好相反且货币政策效果最为显著;在低亏损行情中货币政策影响效果相对微弱,但二者间的相关关系最为稳定;在高收益行情中货币政策影响效果相对适中,且效果持续期较长。利率方面,在低亏损行情中,利率的变化对收益率产生负向影响,且二者间相关性波动较小,当行情发生变化时,这种相关关系迅速转变为正向影响;利率冲击在低亏损行情中效果最弱,在高收益行情中效果最明显。

This paper makes an empirical research on the asymmetric effect of monetary policy on stock yield and their dynamic correlation coefficient in three regimes by MS-VAR model. It is found that money supply growth and stock market returns are positively correlated,but in the high loss market,they are opposite and the policy effect is most significant; in the low loss market,the policy effect is relatively weak,and the relationship between policy and yield is stable; in the high-yield market,the policy effect is modest and long-term. As to the interest rate,in the low loss market it has a negative influence on the stock return rate,but in a different market condition their relationship may go rapidly into a positive one. Like the money supply,the interest rate effect is the weakest in the low loss market,and is most obvious in the high-yield market.