货币政策对股价波动的动态冲击效应测度  

Measurement on Dynamic Impact Effect of Monetary Policy on Stock Price Volatility

作　　者：孙励 朱炎亮[1] Sun Li;Zhu Yanliang(Guangdong University of Petrochemical Technology,Maoming Guangdong 525000,China)

机构地区：[1]广东石油化工学院,广东茂名525000

出　　处：《统计与决策》2021年第18期132-136,共5页Statistics & Decision

基　　金：广东省自然科学基金面上项目(2020A1515010772);广东省普通高校青年创新人才类项目(2019WQNCX081);广东石油化工学院博士人才引进及博士启动项目(2019rc092)。

摘　　要：利率市场化是金融改革和开放的重要内容。文章基于利率、货币供应量和股价的月度数据,使用贝叶斯框架下的MCMC方法和TVP-SV-VAR模型研究了价格型和数量型货币政策对股价的动态冲击效应。结果表明:利率、货币政策对股价的影响具有非线性、非对称性和时变性的特征,利率与股价之间存在负向相关关系,而货币供应量与股价之间存在正向相关关系。从不同提前期和时点的脉冲响应来看,利率对股价的影响大于货币供应量对股价的影响,股价对于利率冲击的脉冲响应表现出负向效应,而股价对于货币供应量冲击的脉冲响应表现出正向效应,且长期的脉冲响应程度大于短期和中期。Interest rate liberalization is an important part of financial reform and opening-up. Based on monthly data of interest rate, money supply and stock price, this paper employs MCMC method and TVP-SV-VAR model under Bayesian framework to study the dynamic impact effect of price and quantitative monetary policies on stock price. The results show that the influence of interest rate and monetary policies on stock price is nonlinear, asymmetric and time-varying, and that there is a negative correlation between interest rate and stock price, but a positive correlation between money supply and stock price. From the impulse response of different lead time and time point, the influence of interest rate on stock price is greater than that of money supply. The impulse response of stock price to interest rate shock shows negative effect, while the stock price has a positive impulse response to the money supply shock, and the impulse response degree in the long term is greater than that in the short and medium term.

关 键 词：货币政策 股价波动 TVP-SV-VAR模型 

分 类 号：F832[经济管理—金融学]