我国股市对货币政策反应效率的实证研究

发布时间：2018-05-09 00:22

本文选题：有效市场 + 货币政策　；参考：《云南财经大学学报》2014年05期

【摘要】：基于粘性信息假说,通过拓展货币资产组合理论,并运用含有自变量滞后项的ARMA模型进行实证检验发现:中国股市对货币政策中广义货币供应量M2的变动率与利率r变动率的反应分别有3个月、6个月的滞后期,表明中国股市对货币政策的反应较滞后,因而中国股市对货币政策反应的有效性有待提高。
[Abstract]:Based on the viscous information hypothesis, by extending the monetary portfolio theory, Using the ARMA model with the lag term of independent variables, it is found that the response of Chinese stock market to the change rate of broad money supply M2 and the change rate of interest rate r in monetary policy is 3 months and 6 months, respectively. This shows that China's stock market has lagged behind in its response to monetary policy, so the effectiveness of the market's response to monetary policy needs to be improved.
【作者单位】：西安交通大学经济与金融学院;工商银行河南省分行;
【分类号】：F224;F832.51;F822.0

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