我国股票市场对央行货币政策“公告效应”.pdf

摘要 摘 要 本文主要考察我国股票市场对央行（即中国人民银行）相关货币政策的反应， 主要通过实证数据研究在中国是否存在股票市场对央行货币政策的“公告效应”。 本文选取研究的货币政策主要包括存款准备金率和人民币存贷基准利率三种，考 察的时间段为 1993 年5 月到2008 年 1 月。本文发现，在整个研究阶段存款准备 金率对股票市场不存在“公告效应”，而人民币存贷基准利率则存在滞后的“公告 效应”，而没有提前的“公告效应”。产生这种结论的根本原因是存款准备金率是 一种数量型的货币政策工具，而人民币存贷基准利率是一种价格型政策工具。在 本文的后半部分，当把人民币存贷基准利率的变化分成正向变化和负向变化来独 立考察时，发现正向变化对股票市场的影响远远大于负向变化对股票市场的影响, 产生这种结论的主要原因是这两种变化所处的经济环境的很大不同。本文的研究 结果还表明即使所有的市场参与者试图努力地去预测央行的货币政策走向，但市 场仍然对央行的公告有所反应。因此，央行的货币政策调整仍然包含了一些新的 信息，而这些新的信息没有包含在当前股票价格当中。 关键词：公告效应，存款准备金率，人民币存贷基准利率，滞后反应，提前反应 I ABSTRCT ABSTRACT This paper concerns on the reaction of the stock market to the monetary policy of the central bank, tests whether there is a statistically announcement effect through practical data in china. The author chooses the Reserve Requirement Ratio and the benchmark Deposit and Lending Rate of RMB as studying variables. The research period is from May 1993 to Jan. 2008. The main conclusions are as follows: The Reserve Requirement Ratio has no announcement effect to stock market, but the Deposit and Loan Basic Rate of RMB has lag announcement effect and has no advance announcement effect. The internal reason is that the Reserve Requirement Ratio is a quantitive monetary policy tool while the benchmark Deposit and Lending Rate of RMB is a price-based monetary policy tool. And in this paper, the changes of Deposit and Loan Basic Rate of RMB are divided into positive changes and negative changes, we find that the positive changes have greater influence to the stock market than the negative changes. The possible reasons are