经济政策不确定性、货币政策与股票市场流动性——基于TVP-VAR模型的实证分析  

Economic Policy Uncertainty,Monetary Policy and Stock Market Liquidity:An Empirical Ananlysis based on the TVP-VAR Model

作　　者：刘旸[1] 杜萌 LIU Yang;DU Meng(School of Economic and Management, Dalian University, Dalian 116622, China;School of Land Science and Technology, China University of Geosciences in Beijing, Beijing 100083, China)

机构地区：[1]大连大学经济管理学院,辽宁大连116622 [2]中国地质大学土地科学技术学院,北京100083

出　　处：《大连理工大学学报（社会科学版）》2020年第5期42-50,共9页Journal of Dalian University of Technology(Social Sciences)

基　　金：辽宁省博士科研启动基金项目:“我国跨境资本流出风险形成的深层次原因及长效化解机制研究”(20170520393);辽宁省经济社会发展研究项目:“宏观经济下行背景下辽宁省上市公司金融风险多维度形成机制及防控措施研究”(2019lslktqn-015)。

摘　　要：通过运用带有随机波动的TVP-VAR模型探索经济政策不确定性、货币政策以及股票市场流动之间的关系,研究结果显示:经济政策不确定性越高,股票市场的流动性越差,在不同时期影响效果存在着较大差异,且具有很强的时变性;紧缩的货币政策将会抑制股票市场流动性,但在金融危机期间,这一现象出现反转,而金融危机过后则恢复正常;股票市场流动性和货币政策能够在中长期显著影响经济政策不确定性,且中期的影响效果更为突出。此后,为了比较不同时点变量的动态变化特征,选取“911”事件、美国金融危机以及我国经济新常态3个具体时间点进行分析。根据上述实证结果,从稳定经济政策预期和制定适度宽松货币政策两个角度提出了相关对策建议。This paper uses TVP-VAR model with stochastic volatility to explore the relationship among economic policy uncertainty,monetary policy and the liquidity of stock market.The results show that the higher the economic policy uncertainty is,the less liquidity the stock market has.There is a big gap between the influence in different periods.There are obvious time-varying effects.Tighter monetary policy will curb stock market liquidity,but the phenomenon reverses during the financial crisis and returns to normal after the financial crisis.Stock market liquidity and monetary policies can significantly affect the uncertainty of economic policies in the medium and long term,and the medium-term effects are more prominent.For the purpose of comparing the dynamic characteristic differences in different time nodes,we analyze the relationship among economic policy uncertainty,monetary policy and the liquidity of stock market in three time points:the“911”event,the U.S.financial crisis and the new normal of China’s economy.Finally,based on the empirical results,the paper proposes the policy suggestions from the perspective of stabilizing economic policy expectation and formulating moderately easy monetary policies.

关 键 词：经济政策不确定性 股票市场流动性 时变性 

分 类 号：F830.1[经济管理—金融学]