中国货币政策对股市波动影响的实证研究

The Effect of Monetary Policy on Stock Market Volatility

考虑到我国经济结构会随着时间进行调整,本文运用系数及扰动项均具有时变特征的VAR模型(TVP-VAR)和最近十多年的数据,探讨了我国央行货币政策的制定与调整是否会对我国股票市场的波动性产生影响。结果发现:首先,央行在执行货币政策时,无论是利率还是货币供应量,短期内都对股市波动率具有显著影响;此外在不同的经济时期,无论是货币供应量还是利率,对股市波动率的冲击都是不同的。相较于货币供应量,股市供应量对利率的脉冲响应更加稳定,因此货币当局应当以价格型调控政策为主。

By taking into account the potential changes of China* s economic structures over time, we employ the time varying parameter vector autoregressive (TVP-VAR) model to investigate the impacts of China's monetary policy on stock market volatility by using the data in China from July 2001 to June 2018. We find that, both interest rates and money supply have a significant impact on stock market volatility in the short term. In addition, the impulse effects of money supply and interest rates on the stock market volatility vary depending on the economic conditions. Compared with the money supply, the impulse response of the stock market to interest rates is more stable, so the monetary authorities should focus on price-based regulation policies.