货币政策对股票市场的影响——基于VAR模型的实证研究

The Influence of Monetary Policy on the Stock Market: An Empirical Study Based on VAR Model

选取2007年1月至2018年4月上证指数、上海银行间同业拆借利率、狭义货币供应量及活期法定存款准备金率的月度数据,通过构建VAR模型实证分析货币政策对股票市场的影响。结果表明:货币政策对股票市场存在一定程度的影响,且狭义货币供应量对于股票市场的影响程度较小,而利率尤其是上海银行间同业拆借利率对股票市场的影响较为显著。

By selecting the monthly data of the Shanghai Composite Index,Shanghai Interbank Offered Rate,Narrow Money Supply,and Current Reserve Depositary Reserve Ratio from January of 2007 to April of 2018,this paper empirically analyzed the effect of the monetary policy on the stock market by constructing a VAR model.The result shows that the monetary policy has some influence on the stock market,and the effect of the narrow money supply is not obvious,but the interest rate,especially the Shanghai interbank offered rate has a significant impact on the stock market.