货币政策对我国股票市场流动性风险的动态效应研究

发布时间：2018-05-05 14:59

本文选题：货币政策 + 股票市场　；参考：《经济经纬》2016年02期

【摘要】：笔者选用货币供应量的对数增长率和银行间同业拆借7天加权平均利率刻画我国货币政策的变化,采用ARMA(1,1)-GARCH(1,1)模型测算股票市场流动性风险,运用MS-VAR模型分析了1997年1月至2015年3月货币政策对我国股票市场流动性风险的动态影响效应。实证分析结论如下:流动性变化率与货币供应量增速之间具有动态正相关,流动性变化率与利率呈现出明显的动态负相关,并且流动性变化率与货币供应量增速及利率之间的相关性具有较大的波动;我国股票市场流动性风险呈现出高流动性风险、中流动性风险和低流动性风险三个区制特征;货币供应量增速和利率对市场流动性风险具有非对称性影响,不同时期的影响效应不同。
[Abstract]:The author chooses the logarithmic growth rate of money supply and the 7 day weighted average interest rate of interbank lending to describe the change of monetary policy in our country, and uses ARMA1 / GARCHN 1 / 1) model to calculate the liquidity risk of stock market. The dynamic effects of monetary policy on liquidity risk in Chinese stock market from January 1997 to March 2015 are analyzed by using MS-VAR model. The conclusions of empirical analysis are as follows: there is a dynamic positive correlation between liquidity change rate and money supply growth rate, and a significant dynamic negative correlation between liquidity change rate and interest rate. The liquidity risk has three regional characteristics: high liquidity risk, middle liquidity risk and low liquidity risk, and the correlation between liquidity change rate and the growth rate of money supply and interest rate is quite fluctuating, and the liquidity risk of China's stock market is characterized by high liquidity risk, middle liquidity risk and low liquidity risk. The growth rate of money supply and interest rate have asymmetric effects on the liquidity risk of the market, and the effects are different in different periods.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;
【基金】：国家社会科学基金项目(10BJL041) 吉林省科技发展计划软科学研究项目(20130420035FG)
【分类号】：F832.51;F822.0

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