我国货币政策与股票市场关联性研究.pdf

摘 要 货币政策制定是否应当参考股票市场波动一直是困扰经济政策制定者和学 者的一个问题。本文主要研究我国货币政策和股票市场在即期、短期和长期的 关联性，主要侧重于研究在三个期间内货币政策的哪些因素可以对股票市场形 成显著的影响以及股票市场波动是否成为制定货币政策时的考虑因素。通过引 入宏观经济冲击变量，分别使用SVAR、Granger因果和Johansen协整的计量方 法对我国 2006-2010 年的货币政策和股票市场变量月度数据进行分析，得到货 币政策和股票市场在即期无相互影响；在短期内货币政策中广义货币供给量和 宏观冲击因素对股票市场有着显著的影响；而在长期，货币政策和股票市场存 在协整关系。最后,基于计量结果提出了改善货币政策内外部传导机制的建议。 关键词：货币政策；股票市场；宏观经济冲击； 4 Abstracts Whether monetary policy makers should take stock market volatility into consideration is still a significant problem troubles monetary policy makers and scholars. This paper researches on relevance between Chinas monetary policy and stock market in the immediate, short-term and long-term periods, the main focus of the research is to find out which of three factors can form a significant impact on the stock market within different periods. Through the introduction of macroeconomic shocks, this paper uses the SVAR, Granger causality and the Johansen cointegration methods respectively to analyze the 2006-2010 monthly monetary policy and stock market data and finally finds out that monetary policy and stock market have no mutual influence immediately; in the short term monetary policy in M2 supply and macroeconomic shocks give stock market a significant impact; but in the long run, cointegration relationship between monetary policy and stock market exists. Finally, based on the results, there are several ways to improve internal and external monetary policy transmission mechanism. Key Words ：Monetary Policy; Stock Market; Macroeconomic Shock; 5