我国货币政策对股票市场影响非对称效应研究  

The Asymmetric Effect of China Monetary Policy on the Stock Market

作　　者：史永东[1,2] 赵智勇[2,3] 张立斌 

机构地区：[1]东北财经大学应用金融研究中心 [2]东北财经大学金融学院 [3]华夏银行总行授信审批中心 [4]深圳农村商业银行坪地支行

出　　处：《投资研究》2014年第5期50-67,共18页Review of Investment Studies

基　　金：国家自然科学基金(71171036;71072140;71203022);国家社会科学基金重大项目(12&ZD067);辽宁特聘教授支持计划(辽教发[2013]204号);教育部人文社科青年基金项目(12YJC790091);辽宁省教育厅人文社会科学重点研究基地专项项目(ZJ2013037;ZJ2013043);辽宁省教育厅人文社科一般项目(W2013218)

摘　　要：本文运用Markov Switching模型研究了我国货币政策对股票市场影响的非对称效应。结论显示:上海股票市场存在牛市、小熊市及大熊市三种市场状态,其持续期分别为8.8个月、31.1个月和6.3个月;我国货币政策对上海股票市场影响存在非对称效应,这种非对称性效应主要表现在货币政策的同一变量在不同的市场状态下对股票市场的影响是非对称的,以及货币政策不同变量在同一市场状态下对股票市场的影响也是非对称的。This paper studies asymmetric effect of China monetary policy on the stock market by using the Markov Switching model. The conclusions show that there are three market states, bull market, small bear market and big bear market in Shang- hai stock exchange market, and the corresponding durations are 8.8 months, 31.1 months and 6.3 months respectively. And the effect of monetary policy on Shanghai stock exchange market is asymmetric, that is, the impact of the same variable of the monetary policy on the stock exchange market in the different market states is asymmetric, as well as the impact of the differ- ent variables of the monetary policy on the stock market in the same market states is asymmetric.

关 键 词：货币政策 股票市场 MARKOV Switching模型 非对称效应 

分 类 号：F224[经济管理—国民经济] F832.51F822.0