我国货币政策与股市稳定性的关系研究——基于MSIH-VAR三区制系统模型  

Research on the Relationship between Monetary Policy and Stability of the Stock Market——based on MSIH-VAR Three Field Mechanisms System Model

作　　者：胡一博 赖玉洁 HU Yi-bo;LAI Yu-jie(School of Economics and Management,Xi'an Aeronautical University,Xi'an Shanxi 710077,China)

机构地区：[1]西安航空学院经济管理学院

出　　处：《技术经济与管理研究》2019年第8期85-90,共6页Journal of Technical Economics & Management

基　　金：陕西省教育厅专项科研计划项目（17JK0390）;陕西省教育科学“十三五”规划课题（SGH16H245）

摘　　要：本文通过建立货币政策影响股市稳定性的MSIH(3)-VAR(2)三区制系统转换模型,分析了股票市场在膨胀期、平稳期和衰退期三种系统状态下,货币政策对股市稳定性的不同影响。通过估计系统不同区制转换概率和系统三区制下同期相关系数,计算系统三区制的无条件持续概率和转换概率,发现我国股市的不稳定性具有显著的内在周期性,表现出“平稳期→膨胀期→衰退期→平稳期”的周期性变动特征,同时不同区制下货币政策对股票市场稳定性的影响不同。通过累计脉冲响应函数发现,货币政策对股市不稳定性的影响除表现在对股价相对较小冲击外,更表现在对股市波动率的长期持续作用,和对股市流动性短期的剧烈冲击。因此,货币政策的制定需关注股市所处的状态及系统所处的不同区制,并密切关注股市流动性。The MSIH(3)-VAR(2)Three Field Mechanisms System Conversion Model is established in the paper about the effects of monetary policy on stock market stability.This paper aims to analyze the different effects of monetary policy on the stability of stock market under the three systems of inflation period,stationary period and recession period.By estimating the conversion probability of different systems and the correlation coefficient of Three Field Mechanisms System in the same period,and calculating the unconditional persistence probability and conversion probability of the system,it is found that the instability of China's stock market has significant inherent periodicity,the stationary period,the expansion period,the recession period,and then back to the stationary period.At the same time,the influence of monetary policy on the stability of stock market is different under different field mechanisms.Through the accumulated impulse response function,we find that the impact of monetary policy on stock market instability is not only a relatively small impact on stock prices,but also a long-term sustained impact on stock market volatility and a short-term severe impact on stock market liquidity.Therefore,when formulating monetary policy,the central bank should pay close attention to the state of the stock market and the different regional systems of the system,and pay close attention to the liquidity of the stock market.

关 键 词：货币政策 股市稳定性 MSIH-VAR模型 区制转换 

分 类 号：F202[经济管理—国民经济]