摘要
股票市场是资本市场的重要组成部分,研究货币政策对其传导机制研究具有十分重要的现实意义。本文利用1999年一季度至2016年一季度数据,通过构建因子扩展向量自回归模型(FAVAR)实证研究了我国货币政策对股票市场的传导机制,探讨不同的货币政策对股票市场的影响,剖析货币政策传导机制的内在逻辑。研究发现以下几个事实:第一,3因子的FAVAR模型基本可以包含货币政策对股市市场传导机制的大部分信息;第二,货币政策对我国股票价格的影响较为显著;第三,货币政策对上海和深圳股市的传导效应呈结构性差异特征;第四,货币政策传导股市的效率高于实体经济。基于此,为稳定股票市场及其宏观经济,论文提出了两方面的政策建议。
The stock market is an important part of the capital market, so it is very important to study the transmission mechanism of the monetary policy. In this paper, in order to study China＇s monetary policy on the stock market transmission mechanism, and analyze the internal logic of the transmission mechanism, we use data of 1999 Q1 to 2016 Q1, and build a factor-augmented vector autoregression model（FAVAR）. The study found the following typical facts ： First, factor 3 FAVAR model can be basically includes monetary policy transmission mechanism of stock market most of the information. Second, the effect of monetary policy on the stock price is more significant.Third, monetary policy conduction effect on the Shanghai and Shenzhen stock markets has showed structural characteristics. Fourth, monetary policy transmission efficiency of the stock market is faster than the real economy. Based on the above, in order to stabilize the stock market and macro economy, the paper gives two policy suggestions.
作者
朱培金
Zhu Peijin(Hangzhou Central Sub-branch,The People＇s Bank of Chin)
出处
《金融发展评论》
2018年第5期96-105,共10页
Financial Development Review
关键词
货币政策
传导机制
股票价格
脉冲响应
FAVAR模型
Monetary Policy
The Transmission Mechanism
Stock Prices
Impulse Response
FAVAR Model
