我国货币政策对股票市场影响的实证分析

Empirical Analysis of Impact of Monetary Policy on Stock Market in China

股票市场在我国货币政策对实体经济传导中的作用日益显著,同时作为央行调控经济的重要方式,货币政策的宣布和实行必然会引起股票价格的波动。文章运用向量自回归模型（VAR）,选用2007—2015年的月度数据,实证分析了我国货币政策对股票市场的影响,并运用脉冲响应分析和方差分解进一步研究了货币政策的作用效果,从而反映出货币政策对实体经济的作用效果。

The stock market is playing an increasingly significant role in the transmission of China＇ s monetary policy to the substantial economy, and as an important way for the central bank to regulate and control the economy, monetary policy announce- ment and implementation will inevitably lead to fluctuation of stock prices. This paper uses vector autoregressive model （VAR）, and chooses monthly data from 2007 to 2015 to conduct an empirical analysis on the impact of monetary policy on the stock mar- ket, and the paper also carries out an impulse response analysis and variance decomposition to make a further analysis on the role of monetary policy, thus reflecting the effect of monetary policy on the real economy.