中国货币政策应对资本市场进行定向调控吗?

Is Monetary Policy Targeted Regulation Necessary for Capital Markets?

运用时变参数向量自回归模型,实证检验了中国货币政策冲击对资产价格的非线性影响及其行业差异。研究结果表明:一方面,货币政策对资产价格调控效应的非对称性特征显著,紧缩性货币政策对资产价格的调控效果要强于扩张性货币政策,价格型货币政策的调控效果也明显强于数量型货币政策;另一方面,不论是价格型货币政策还是数量型货币政策,对资产价格的调控效应均呈现出显著的时变特征和行业差异。因而针对资本市场中不同的行业板块进行定向调控与精准发力是必要的。这些分析结果为新时期进一步完善货币政策调控目标框架、实现宏观经济与金融体系的双重稳定提供了经验依据和政策启示。

This paper employs a time-varying parameter vector autoregressive model to examine empirically nonlinear effects of China's monetary policy on stock prices. Our results show that China's monetary policy effects on stock prices have significant asymmetry and time-varying characteristics,and the effects of tight monetary policy are more obvious than the ones of expansionary monetary policy,price-oriented monetary policy have more obvious influence on stock price than quantitative monetary policy. Moreover,both prince-oriented and quantitative monetary policies have different impacts on various industrial stock prices. So it is very necessary to apply targeted regulation in different industrial stock markets. These results can provide beneficial experience support and policy implications for improving the effectiveness of monetary policy and stabilizing both macroeconomy and financial market.