未预期货币政策、生产网络与股票市场

Unexpected Monetary Policy,Production Network and Stock Market

面临国内外严峻复杂的经济形势,货币政策要强化跨周期和逆周期调节功能,优化政策传导机制,为实体经济提供更有力的支撑。本文试图从生产网络视角探讨未预期货币政策在股票市场不同行业之间的传导机制及溢出效应。运用空间自回归(SAR)模型实证分析表明:未预期货币政策对股市行业收益率存在负向影响,且其可以通过产业间投入产出联系在不同行业之间溢出;股市行业收益率对未预期货币政策的反应中溢出效应占比高达40%左右,这表明溢出效应在经济意义上非常显著。分组检验发现,上游行业的股票收益率受溢出效应的影响更大。本文使用SAR模型将未预期货币政策对股票市场的影响分解为直接效应和溢出效应,这有助于理解投入产出联系在货币政策传导中的作用,启示相关调控政策需关注溢出效应。

Faced with severe and complex economic situations at home and abroad,monetary policy should strengthen the cross cycle and counter cycle adjustment functions,optimize the policy transmission mechanism,and provide more powerful support for the real economy.This paper attempts to explore the transmission mechanism and spillover effect of unexpected monetary policy in different sectors of the stock market from the perspective of production networks.The empirical analysis using the spatial autoregressive(SAR) model shows that unexpected monetary policy has a negative impact on stock market industry returns,and it can spill over between different industries through inter industry input-output linkages;The spillover effect accounts for about 40% of the stock market industry's return on unexpected monetary policy,which indicates that the spillover effect is very significant in the economic sense.The group test shows that the stock returns of upstream industries are more affected by the spillover effect.This paper uses SAR model to decompose the impact of unexpected monetary policy on China's stock market into direct effect and spillover effect,which is helpful to understand the role of input-output linkages in the transmission of monetary policy,and enlightens the regulatory policy to pay attention to spillover effect.