货币供给与经济周期约束条件下货币政策在股市传导的效应时滞研究.docVIP

货币供给与经济周期约束条件下货币政策在股市传导的效应时滞研究 - 1 - 货币供给与经济周期约束条件下货币政策 在股市传导的效应时滞研究# 郭海凤，高娜，张月华* （哈尔滨工业大学管理学院，哈尔滨 150006） 5 摘要：新经济环境下股票市场日益成为成熟的货币政策传导渠道，本文提出了不可预期的货 币供给量对股市影响最大的假设，并进行了实证分析。在将广义货币供给量这一指标划分为 可预期的与不可预期的广义货币供给量两部分以后，通过与真实的广义货币供给量实证结果 的对比，验证了不可预期的广义货币供给量才是对股市值影响最大的货币政策工具这一假10 设。然后对指标体系进行调整，通过对样本空间的合理划分，得出了不同经济周期下货币政 策股市传导的效应时滞期以及股市值的整个动态响应过程。实证结果表明，货币政策在股票 市场的传导确实存在时滞，且在不同的经济周期条件下，存在时滞期的长短和时滞期内动态 响应过程或传导效果的双重不对称性。全文通过揭示货币政策对股票市场的动态影响过程以 及时滞期的确定，为货币政策的制定提供理论支撑。 15 关键词：货币政策；效应时滞；非对称性；结构向量自回归模型 中图分类号：F820 Research on The Time Lag of Monetary Policy Transmission in The Stock Market under the condition of 20 money supply and economic cycle constraints Guo Haifeng, Gao Na, Zhang Yuehua (School of Management, Harbin Institute of Technology, Harbin 150006) Abstract: In the new economic environment, stock market is increasingly becoming a mature monetary policy transmission channel. This paper hypothesized that unpredictable money supply 25 would have the greatest impact on the stock market and did the empirical analysis. After dividing the broad money supply indicator into the predictable and unpredictable parts of the broad money supply, it verified the unexpected broad money supply to be the greatest monetary policy tool that affect the stock market value mostly just consistent with the assumption. Than we adjust a system of indicators, through the rational division of the sample space, this paper obtained the length of 30 the time lag and the dynamic response during the whole effect time lag. All the empirical results above revealed the existence of time lag of monetary policy transmission in the stock market and the dual non-symmetry including the length of time lag and the dynamic response during the whole time lag process under different economic cycles. By revealing all of the above conclusions about the dynamic effects process and the length of the time lag related to monetary policy 3