货币供应量及利率对股票市场影响研究——基于数量型和价格型货币政策的实证分析

Research on the Influence of Money Supply and Interest Rate on Stock Market——An empirical analysis based on quantitative and price monetary policies

货币供应量与利率对我国股票市场具有显著影响。本文选取2001年1月-2019年3月的上证指数、货币供应量(M2)和银行间同业拆借利率,通过构建VAR模型和BEKK-GARCH模型对货币政策与股票市场之间的关系进行了实证分析。结果表明:货币政策对股票市场有显著的均值溢出效应,能够有效引导市场;货币政策对股票市场的影响只会在短期内存在;货币政策对股票市场具有波动溢出效应,其中,货币供给量对股市具有单向波动溢出效应,同业拆借利率与股市之间存在双向波动溢出效应。

Monetary policy has a significant impact on China’s stock market. This paper selects the Shanghai Stock Exchange Index, Money Supply(M2) and Interbank Offered Rate from January 2001 to March 1919, and empirically studies the relationship between monetary policy and stock market by constructing VAR model and BEKK-GARCH model. analysis. The results show that monetary policy has a significant mean spillover effect on the stock market and can effectively guide the market;the impact of monetary policy on the stock market will only exist in the short term;monetary policy has a volatility spillover effect on the stock market, of which the money supply is correct. The stock market has a one-way volatility spillover effect, and there is a two-way volatility spillover effect between the interbank offered rate and the stock market.