新型货币政策工具操作能够稳定资本市场吗?——基于中国股指收益率的经验证据

Can New Monetary Policy Tools Stabilize Capital Markets?——Based on Empirical Evidence of Chinese Stock Index Returns

近年来,为实现稳定金融系统、防范化解重大金融风险的目标,中国人民银行逐步创新并构建了新型货币政策调控框架。但其政策效力迄今仍未可知。鉴于此,本文基于深证成指、上证50指数和中证500指数建立EGARCH模型,首次实证检验了常备借贷便利、中期借贷便利和短期流动性调节等新型货币政策工具对股票市场收益率波动的影响。研究发现:(1)中期借贷便利可显著降低股票市场收益率波动,稳定市场,且不同期限效果不同,期限越长效果越好;(2)常备借贷便利的利率走廊上限作用偶有失效,造成股票市场收益率波动增加;(3)短期流动性调节的操作定向性和信息披露不及时,增加股票市场收益率波动。本文的研究结论为促进我国货币政策从数量型向价格型转变,防范系统性金融风险提供了一定的政策参考。

In recent years,in order to achieve the goal of stabilizing the financial system and prevent as well as resolve major financial risks,the People’s Bank of China has gradually innovated and constructed a regulatory framework of new monetary policy tools.However,its policy effectiveness remains unclear up to now.Given this,for frequently used new monetary policy tools,the paper establishes an EGARCH model,based on the data of SZSE Component Index(SZSE),Shanghai Stock Exchange 50 index(SSE 50)and China Securities 500 index(CSI 500),and makes an empirically test on the impact of new monetary policy tools on stock market returns volatility for the first time.We find that:(1)Medium-term Lending Facility can significantly reduce the stock market returns volatility,stabilizing the market.Meanwhile,MLF of different maturities have different effects:and the longer maturity of MLF,the better the effect of stabilizing market.(2)The effect of Standing Lending Facility(SLF)as interest rate corridor ceiling occasionally fails,causing the volatility of stock market returns to increase.(3)Short-term Liquidity Operations directional operations and belated information disclosure leads to the increase of stock market returns volatility and the failure of stabilization of the stock market.The conclusions of the paper provide some policy references for promoting the transformation of monetary policy from quantitative to price-based and preventing systemic financial risks.