公开市场业务对股票市场价格的影响

The Impact of Open Market Operation on Stock Market

公开市场业务作为近年来货币政策的主要调控工具对股市价格波动有着重要的影响作用。该文通过运用2005年1月至2013年6月的月度数据,在分析公开市场业务对股市影响的传导机制基础上建立结构向量自回归模型,并且使用脉冲效应和方差分解的方法来分析了我国公开市场业务对股票市场的影响。结果如下:第一,公开市场业务操作短期对股市影响显著,而从长远来看却是无效的;第二,利率对股市的影响正在加深,但仍小于资金对股市的推动;第三,公开市场业务对于沪市的影响较深市来说更大;第四,相比较于沪市,货币供应量、通货膨胀水平对深市的影响更大。

Open market operations as the main control tools of monetary policy, has an important impact on the stock market price in recent years. Empirically analyzes the effects of open market operation on China＇ s stock market using the monthly data between January 2005 and June 2005 by Impulse response function and Variance decomposition in SVAR model. The analysis results are as follows： first, open market operations can only be a short - term impact on the stock market, and in the long term is invalid ; Second, The influence of interest rate on the stock market is deepened, but still less than the money on the stock market; Third, the influence of open market operations on Shanghai stock exchange larger than on Shenzhen stock exchange; fourth, Compared with Shanghai stock exchange, the money supply and inflation have greater effects on Shenzhen stock exchange.