结构性货币政策冲击、股票超额收益与政策有效性评估  

Structural Monetary Policy Shocks,Excess Stock Returns,and Policy Effectiveness Evaluation

作　　者：卢垚 战明华[3] LU Yao;ZHAN Minghua(Guangdong University of Foreign Studies,510006)

机构地区：[1]广东外语外贸大学金融学院 [2]广州华南财富管理中心研究基地,510006 [3]广东外语外贸大学金融开放发展研究院,510006

出　　处：《财贸经济》2025年第3期41-57,共17页Finance & Trade Economics

基　　金：国家自然科学基金青年科学基金项目“市场结构变迁视域下数字经济对货币政策传导的影响研究:效应、机理与政策优化路径”(72403057);广东省哲学社会科学规划一般项目“数字经济、货币政策传导与广东省民营中小企业融资研究:市场结构变迁视域”(GD24CLJ02)。

摘　　要：结构性货币政策是中国转型时期货币政策实践的一项重要创新,但其理论和实施效果仍存在争议。由于货币政策具有扩散特征与时滞性,有效评估其效应成为一大挑战。本文在传统DSGE和单方程模型存在缺陷的背景下,创新性地采用事件分析法测算股票市场对结构性货币政策实施的响应。研究结果表明:(1)受益对象的股票价格在多数情况下显示出显著的超额正向收益,支持了结构性货币政策总体有效的观点;(2)这种政策的有效性取决于所采用的工具类型,尤其是具备弥补信贷市场“代理成本”功能的政策最为有效;(3)结构性货币政策的操作目标、支持力度、扶持产业差异等因素,通过影响预期形成机制和信贷市场的边际代理成本,进一步影响政策效果。本文为评估结构性货币政策的有效性提供了新的视角,并对政策工具的选择、总量与结构性货币政策的功能边界划定提供了重要启示。In response to the 2008 global financial crisis and the 2020 COVID-19 pandemic,developed countries widely adopted unconventional monetary policies aimed at maintaining output and financial stability.In contrast,China implemented structural monetary policies with the ultimate goal of economic restructuring to address external shocks and support supply-side reforms.These policies targeted areas such as small and micro enterprises,technological innovation,and green development,guiding financial institutions to optimize credit allocation.However,this policy innovation with Chinese characteristics remains controversial.Western economic theory typically attributes structural issues to distortions in price signals,assuming that these distortions are temporary and can self-correct through the price mechanism without policy intervention.This raises the question:Is structural adjustment an effective monetary policy goal?Has traditional monetary policy theory overlooked key features of developing countries?This paper uses empirical methods to explore these issues.Testing the effectiveness of structural monetary policy tools with empirical methods faces several challenges.First,these tools are diverse,target-specific,and heterogeneous,which makes them difficult to identify through traditional methods like VAR.Second,due to policy lags,it’s hard to isolate the independent effects of the policy.To address this,this paper uses event study methodology,which differs from common single-equation models and DSGE models.The rationale is that,in China’s weak-form efficient stock market,if structural monetary policy is effective,it will lead to changes in stock valuations and abnormal returns.Based on this logic,this paper examines eight structural monetary policy events from January 2018 to December 2021.The findings show that while China’s structural monetary policy is effective,its success depends on whether it can reduce agency costs.The effects vary across policies and targets,with differences reflected in policy intensity,o

关 键 词：结构性货币政策 股票超额收益 信贷市场 市场失灵 

分 类 号：F831.5[经济管理—金融学]