CAJ | 학술논문

为检验我国货币政策对股票市场的有效性，本文在经典理论的基础上，运用协整检验、格兰杰因果检验、VECM检验方法，对货币政策与股票市场收益率关系进行实证分析。研究结果表明：货币供应量增长率与股票市场收益率呈正相关关系，但长期内影响效果不显著；利率的调整在短期内对股票收益率的影响较为显著，在长期内则表现为平稳，两者关系符合一般金融理论；进一步地，采用虚拟变量回归模型，分析了货币政策环境变化对收益率大小的影响。笔者根据我国的国情，分析这种传导效应的结果，做出了相应的判断，并对如何解决货币政策对股票市场传导中存在的问题提出了自己的看法。
위검험아국화폐정책대고표시장적유효성，본문재경전이론적기출상，운용협정검험、격란걸인과검험、VECM검험방법，대화폐정책여고표시장수익솔관계진행실증분석。연구결과표명：화폐공응량증장솔여고표시장수익솔정정상관관계，단장기내영향효과불현저；리솔적조정재단기내대고표수익솔적영향교위현저，재장기내칙표현위평은，량자관계부합일반금융이론；진일보지，채용허의변량회귀모형，분석료화폐정책배경변화대수익솔대소적영향。필자근거아국적국정，분석저충전도효응적결과，주출료상응적판단，병대여하해결화폐정책대고표시장전도중존재적문제제출료자기적간법。
In order to test the effectiveness of monetary policy on the stock market in China and on the basis of the classical theory, this paper makes an empirical research on the effect of monetary policy on yield of stock market by means of three testing methods including the cointegration test, Granger causality test and VECM. The results show that the money supply growth and stock market returns were positively correlated, but the long-term impact was not significant. The impacts of interest rate adjustment on the yield of stock market are more significant in the short term and it is manifested that the two has stable relationship in the long term and meets the general financial theory. Further-more,this paper uses the dummy variable regression model to analyze environmental change of monetary policy on the yield size. The author analyzes the effect of this conduction based on China’s national conditions and makes the appro-priate judgments, and puts forward their views on how to solve the problem of the conduction of monetary policy in the stock market.