我国货币政策对股票市场的非对称影响研究

The Asymmetric Effect of Monetary Policy on the Stock Market

中国股票市场可划分为股市繁荣时期和股市低迷时期,根据2005年7月至2014年7月的月度经济数据分析,银行信贷、货币供应量和利率对股市价格具有显著的影响:(1)无论股市处在繁荣期还是低迷期,银行信贷、货币供应量M2、利率与股市价格之间均存在长期稳定的均衡关系。(2)在股市的不同态势下,银行信贷、货币供应量与利率对股票指数的影响存在非对称效应。股市在繁荣时期,货币供应量对股市价格的影响最大,银行信贷也会推动股市上涨,而利率的影响则较微弱;股市在低迷时期,利率对股市的影响最大,银行信贷有较弱影响,而货币供应量几乎不存在影响。

This paper classifies the China stock market as the stock market boom and the stock market downturn, the monthly eco- nomic data from July 2005 to July 2014, an empirical study of bank credit, money supply and interest rate on stock price. The results showed that ： （ 1 ） both in the stock market boom or a downturn, there are long-term equilibrium relationship stable between bank cred- it and the money supply, interest rate and stock market price M2. （2） under the different situation of stock market, bank credit, mon- ey supply and interest rate have asymmetric effects on stock index. In the stock market boom, the impact of money supply on the stock market prices, bank credit will promote the stock market rose, but the interest rate effect is weak; in the stock market downturn, the impact of interest rates on the stock market, bank credit and the money supply was not affected.