摘要
本文利用1996年1月～2010年4月的数据,运用MSIH(2)-VAR(4)模型和脉冲响应分析不同区制下货币政策对股票价格的影响。发现利用非线性模型是合理的,并在不同区制下货币政策工具对股票价格的影响效果在时间、方向和程度上表现不同,同时,对于上证A股和深证A股影响也是不同的。对于货币供应量,在股市低迷期,它的变化会立即正向影响到股票价格,但在股市膨胀期,则滞后1个月后才会正向影响股票价格;对于银行信贷,在股市低迷期,它的提高并不能提高股价,而在股市膨胀期,它的提高才会使股价上扬;对于利率,在两个区制下,它的提高都会使股价下跌,并且在滞后1个月才会表现出来。但是,相比较而言,利率对股票市场的影响在股市膨胀期效果更明显。并且总体上货币政策对股市的影响较大,尤其是在股票低迷期。
This paper employed data from January of 1996 to April of 2010, and utilized the MSIH （2）-VAR （4） model and impulse response to analyze the impact of monetary policies on the stock price in different regimes. We found the non-linear model we adopted is proper; the impacts of monetary policies on the stock price in differ- ent regimes differentiate from timing, direction and extent. As for the money supply, in the bearish stock market, its changes will positively affect the stock price immediately, whereas in the booming market, there is delay for it to positively influence the stock prices; as for bank loan, in the bearish stock market, the increase in it will reduce the stock return, whereas in the booming market, the increase in it will increase the stock return; as for the interest rate, the increase in it will cause stock return fell, and there is a 1 month lag, but the extent of the impact of inter- est rate on the stock market is bigger in the booming market.
出处
《经济管理》
CSSCI
北大核心
2010年第11期7-15,共9页
Business and Management Journal ( BMJ )
基金
教育部人文社会科学研究规划基金项目"中国金融稳定理论及政策协调机制构建--基于经济全球化背景的视角"(08JA790110)
