货币政策对股票价格波动的影响研究——基于货币供应量和货币利率的VAR实证检验

Study of the Impact of Monetary Policy on Stock Prices——An Empirical Test of VAR Based on Money Supply and Money Interest Rate

本文基于2005—2022年的月度数据,选用广义货币供应量、银行同业拆借利率及股票市场的上证综合指数收盘价建立VAR模型,并进行脉冲响应及方差分解来分析探讨货币政策与股票价格之间的动态关系。结果表明,货币供给量和货币利率对股票价格存在微弱的负向影响。基于此,本文提出参考股票市场价格波动、畅通货币政策传导路径、发挥股票市场的价格发现等建议,以供参考。

Based on the monthly data from 2005 to 2022,this paper selects the broad money supply,the interbank off ered rate and the closing price of the Shanghai Composite Index in the stock market to establish a VAR model,and conducts impulse response and variance decomposition to analyze the dynamic relationship between monetary policy and stock prices.The results show that money supply and money interest rate have a weak negative impact on stock prices.Based on this,this paper puts forward suggestions such as referring to the price fl uctuation of the stock market,unblocking the transmission path of monetary policy,and giving full play to the price discovery of the stock market for reference.