摘要
本文采用理论引导结构向量自回归(SVAR)的方法分析我国货币政策对股票市场的冲击。我们首先构造了一个反映我国特定利率制度安排下的经济结构理论模型,表明货币政策的三个作用渠道:流动性效应、通货膨胀效应和实际产出效应。之后以其为指引,识别模型内、外生变量,限制变量当期冲击的作用特征,以实现对SVAR模型的整体识别和估计。然后利用脉冲响应分析详细讨论货币政策的作用特征。结果表明:①我国股市呈现出明显的"政策市"特征:货币增长率增长1%,将使沪市和深市股价分别上涨1%和0.7%;②货币政策的瞬时影响在第3个月时最大,第6个月之后基本消失;其累计影响具有持续性;③沪深两市的政策反应略有不同;④我国股市呈现明显的"资金推动"型特征:流动性效应对货币政策作用的解释力分别达到91%(沪市)和70%(深市);通货膨胀效应有一定正向影响,产出效应体现出微弱的负向影响。本文的引申含义是:在我国,货币政策尚不应该对股市变动做出反应。
The paper investigates the impact of monetary policy to stock market by applying the technique of theory- directed SVAR （structural vector autoregression）. We first set up a theoretical model to reflect China＇ s economic structure under specific interest-rate arrangement, which manifests three functioning channels of monetary policy to stock market, i. e. ,the liquidity effect, inflation effect and output effect. Then under its guidance, we specify the endogenous and exogenous variables and restrict the features of current impacts to fully identify and estimate the SVAR model. Then impulse-response analysis is used to discuss the features of monetary impact in detail. It＇ s shown that i） Chinese stock markets exhibit strong policy market feature ： an 1% increase of money stock leads to 1% and 0. 7% stock-price increases in Shanghai and Shenzhen stock market respectively;ii） the instantaneous impact of monetary policy reaches its maximum at the 3^rd month and disappears after 6^th month, while its accumulative impact persists;iii） minor difference between the response of Shanghai and Shenzhen markets is observed;and iv） capital-impetus feature prevails the markets：liquidity effect contributes 91% and 70% price variation in Shanghai and Shenzhen respectively, inflation effect has certain positive influence and output effect is a slightly negative. The paper also implies that monetary policy should not respond to stock market fluctuation in China under current circumstances.
出处
《统计研究》
CSSCI
北大核心
2011年第12期55-65,共11页
Statistical Research
