货币政策对股票市场的非对称影响研究——基于不同市场态势的实证分析  

Research on Asymmetric Influence of Monetary Policy on Stocket Market——Positive Analysis Based on Different Market Situations

作　　者：胡金焱[1] 郭峰[1] 

机构地区：[1]山东大学经济学院,山东济南250100

出　　处：《理论学刊》2012年第8期35-40,127,共6页Theory Journal

基　　金：教育部人文社科研究规划项目"新型农村金融机构创新与绩效研究"(项目编号:11YJA790046);山东省软科学研究计划项目"基于支持向量机和微观压力测试的商业银行个人信贷风险研究"(项目编号:2011RKGA4001);山东大学自主创新基金交叉学科项目"电子商务中的隐私保护关键技术研究"(项目编号2010jc010)的阶段性成果

摘　　要：在设定一系列理论假设的基础上建立模型,利用相关数据进行实证研究,并通过回归EGARCH模型来分析货币政策冲击给股票市场指数带来的波动,得出货币政策在不同市场态势下对股票市场的影响具有非对称性的结论。为此,在针对股票市场制定并实施货币政策时应充分考虑当期的市场环境;应对股票市场建立一套完整的货币政策指导机制,提高货币政策在股票市场上的稳定性与持续性;在针对宏观经济特定目标调整货币政策时,应积极配合针对股票市场的单一政策,来冲抵货币政策对股票市场带来的非对称效应。Establishing the model on the basis of setting up a series of theoretical assumptions,carrying out positive analysis by using concerned data,and analyzing the influence the monetary policy imposes on the stocket market by returing to EGARCH model,we can reach a conclusion that in different market situations the influence the monetary policy imposes on the stocket market is asymmetric.Therefore,the current market situation shoud be taken into full consideration when the monetary policy is made and implemented in accordance with the stocket market;a complete guiding mechanism of the monetary policy should be established in light of the stocket market and the stability and continuity of the monetary policy in the stocket market should be improved;the asymmetry effect the monetary policy imposes on the stocket market should be offset in active cooperation with the single policy aimed at the stocket market when the monetary policy is adjusted according to the special purpose of the macro economy.

关 键 词：货币政策 市场态势 非对称性 EGARCH 

分 类 号：F830.9[经济管理—金融学]