CAJ | 학술논문

基于粘性信息假说，通过拓展货币资产组合理论，并运用含有自变量滞后项的ARMA模型进行实证检验发现：中国股市对货币政策中广义货币供应量M2的变动率与利率r变动率的反应分别有3个月、6个月的滞后期，表明中国股市对货币政策的反应较滞后，因而中国股市对货币政策反应的有效性有待提高。
기우점성신식가설，통과탁전화폐자산조합이론，병운용함유자변량체후항적ARMA모형진행실증검험발현：중국고시대화폐정책중엄의화폐공응량M2적변동솔여리솔r변동솔적반응분별유3개월、6개월적체후기，표명중국고시대화폐정책적반응교체후，인이중국고시대화폐정책반응적유효성유대제고。
Based on the sticky information hypothesis,an empirical study is made by expan-ding monetary portfolio theory and using ARMA model with lagged independent variable. The au-thors find out that the reactions of China's stock market to the change rates of the broad money sup-ply M2 and the interest rate r in the monetary policy have lagged periods of three months and six months respectively. This proves that China's stock market react slowly to the monetary policy,so the reaction efficiency needs to be improved.