货币政策中介目标与我国股市波动的互动关系研究  

Research on the Interactive Relationship Between the Intermediate Target of Monetary Policy and the Fluctuation of China’s Stock Market

作　　者：杨珂欣 YANG Kexin

机构地区：[1]山东工商学院金融学院

出　　处：《中国证券期货》2022年第1期68-77,共10页Securities & Futures of China

摘　　要：本文选取2005年11月至2020年11月货币供应量、银行间7天同业拆借加权平均利率、人民币名义有效汇率、沪深300指数的月度数据,构建施加短期约束的SVAR模型,实证检验了货币政策中介目标与我国股票市场波动的互动关系。研究结果表明,货币政策中介目标与股票市场存在双向作用关系,但是二者交互影响的显著性不同。中介目标会对股票市场产生显著影响,而股票价格波动也能在一定程度上反作用于中介目标,其中利率与股票市场的互动关系最强,货币供应量次之。This paper selects the monthly data of money supply,7-day interbank lending weighted average interest rate,RMB nominal effective exchange rate and CSI 300 index from November 2005 to November 2020,constructs an SVAR model with short-term constraints,and empirically tests the interactive relationship between the intermediate target of monetary policy and the fluctuation of China’s stock market.The results show that there is a two-way interaction between the intermediate target of monetary policy and the stock market,but the significance of their interaction is different.The intermediate target will have a significant impact on the stock market,and the stock price fluctuation can also react on the intermediate target to a certain extent.The interactive relationship between interest rate and stock market is the strongest,followed by money supply.

关 键 词：货币政策 中介目标 股票市场 SVAR模型 

分 类 号：F83[经济管理—金融学]