我国货币政策对股票价格的影响——基于Markov区制转换VAR模型的实证分析

发布时间：2019-02-26 09:14

【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。
[Abstract]:Based on the data from January 1996 to April 2010, using the MSIH (2)-VAR (4) model and impulse response, this paper analyzes the influence of monetary policy on stock price under different regional systems. It is found that the use of nonlinear model is reasonable, and the effect of monetary policy tools on stock price is different in time, direction and degree under different regional systems. At the same time, the impact on A-share of Shanghai Stock Exchange is different from that of A-share of Shenzhen Stock Exchange. For the money supply, during the stock market downturn, its changes will immediately positively affect the stock price, but in the stock market expansion period, the stock price will be positively affected only after a month lag; For bank credit, during the stock market downturn, its increase can not raise the stock price, but in the stock market expansion period, it will cause the stock price to rise; In the case of interest rates, under both zones, its rise will cause the share price to fall, and it will show up by a month behind. However, by comparison, the effect of interest rate on stock market is more obvious in the period of stock market expansion. And on the whole, monetary policy has a great impact on the stock market, especially during the stock market downturn.
【作者单位】：厦门大学经济学院;
【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)
【分类号】：F832.51;F822.0;F224

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