预期与未预期的货币政策对股票市场的影响  

The Impact of Anticipated and Unanticipated Monetary Policies on Stock Market

作　　者：邹文理[1] 王曦[2] 

机构地区：[1]广州大学商学院经济系 [2]中山大学岭南学院

出　　处：《国际金融研究》2011年第11期87-96,共10页Studies of International Finance

基　　金：全国优秀博士学位论文作者专项资金资助项目(200504);国家社会科学基金项目(11BJ022);中央高校基本科研业务费专项资金(2009);广东省社科基金(GD10CYJ02)的资助

摘　　要：本文以M2增长率作为中国货币政策的度量指标,运用ARIMA预测方法,首次将货币政策分解为预期和未预期的两个部分,进而分析了货币政策对沪深两市的影响。结果表明,股票收益率与未预期货币政策存在显著的正向关系,而股票收益率与预期货币政策基本不相关。基于各行业股票指数的检验进一步验证了这个结论。我们还发现,不同行业对未预期的货币政策的反应程度有所不同,并且这种差异不能用CAPM来解释。Using the growth rate of M2 as the measure of China＇s monetary policy, the paper applies ARIMA forecasting method so as to decompose monetary policies into two parts, i.e., anticipated and unanticipated policies, and then investigates their impacts on Shanghai and Shenzhen stock markets. We find that, stock return is significantly positively correlated with unanticipated monetary policies, while no relationship is discovered for anticipated policies. Further tests based on the industrial stock indices verify the result. It is also discovered that various industries react differently to unanticipated monetary policies and the difference can be hardly explained by CAMP.

关 键 词：预期的货币政策 未预期的货币政策 股票市场 

分 类 号：F831[经济管理—金融学]