货币政策对股票市场影响的非对称效应研究综述

Research Review of Asymmetric Effect of Monetary Policy on Stock Market

关于货币政策对股票市场影响的非对称性研究已成为国内外金融领域的重要议题。纵观已有文献研究,本文以货币政策对股票市场影响的研究方法和研究方向作为两个切入点,详尽介绍了该非对称性问题的最新进展,并从主观预期、传导渠道及行业自身异质性的非对称性阐释了其形成机理。通过综述发现,从行业异质性视角出发,利用SFAVAR模型分析我国货币政策对股票市场影响的非对称效应,并基于微观角度深入剖析非对称效应的原因,以进一步检验影响效应的时间稳健性,将是未来研究的新趋势。

Research on the asymmetric effect of monetary policy on the stock market has become an im- portant issue in the field of finance at home and abroad. Based on the existing literature, and in view of the research methods and directions of the impact of monetary policy on the stock market, this pa- per introduces the latest development in this respect, and explains the formation mechanism of the asymmetric effect from the perspectives of the subjective expectations, transmission channel and in- dustry heterogeneity. It is pointed out that the new research trend in the future includes the analysis of the asymmetric effect of monetary policy in China on the stock market by using SFAVAR model from the perspective of industry heterogeneity, the study of the cause of the asymmetric effect from the microcosmic point of view, and the examination of time stability of the effect.