中国股票市场与货币政策的互动关系——基于股指期货推出前后的比较研究  

The Dynamic Correlative Relations between Stock Market and Monetary Policy in China Based on a Comparative Study before and after the Stock Index Futures Was Launched

作　　者：寇明婷[1,2] 杨海珍[1] 肖明[2] 

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]北京科技大学东凌经济管理学院,北京100083

出　　处：《管理评论》2016年第4期21-29,共9页Management Review

基　　金：国家自然科学基金重点项目(71532013);国家自然科学基金面上项目(71273257);教育部人文社会科学研究青年基金项目(13YJC790062);中国博士后科学基金面上项目(2014M550798)

摘　　要：本文以沪深300股票指数、沪深300股指期货与货币政策之间关系为研究对象,通过构建协整误差修正模型和多元VAR-BEKK-MVGARCH(1,1)模型的递进式计量分析框架,深入剖析和比较了中国股指期货推出前后股票市场与货币政策的关联互动关系。研究结果表明:在考虑金融市场信息溢出的条件下,中国货币政策与股票价格之间长期均衡的协整关系较股指期货上市前的时期并未发生改变;Granger因果关系表现为由股票市场到货币政策的单向引导作用,较股指期货上市前的时期已经发生改变;此外,中国股票市场资产价格波动与货币政策调整之间存在显著的双向风险溢出,且货币政策调整对股票市场资产价格的风险传递更强;但股指期货推出后,货币政策对股票市场的风险溢出较之前有所降低。This study empirically investigates the dynamic interacting relationship between stock prices and monetary policy from the perspective of the information spillovers associated with a coherent economic analytical framework comprised of Co-integration,Granger test and MVGARCH model. The empirical results show that a long-run equilibrium between stock market and monetary policy has not changed since the stock index futures was launched,but the Granger causality has changed. The empirical results also show that there is a volatility spillover effect from monetary policy to stock market,and the risk of volatility transmission from monetary policy to stock market is more significant. But the risk spillover between monetary policy and stock market is decreasing after the stock index futures were launched.

关 键 词：股票市场 货币政策 股指期货 多元GARCH模型 

分 类 号：F832.51[经济管理—金融学] F822.0