国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2011年
11期
87~96
,共null页
预期的货币政策 未预期的货币政策 股票市场
預期的貨幣政策 未預期的貨幣政策 股票市場
예기적화폐정책 미예기적화폐정책 고표시장
Anticipated Monetary Policy; Unanticipated Monetary Policy; Stock Market
本文以M2增长率作为中国货币政策的度量指标，运用ARIMA预测方法，首次将货币政策分解为预期和未预期的两个部分，进而分析了货币政策对沪深两市的影响。结果表明，股票收益率与未预期货币政策存在显著的正向关系，而股票收益率与预期货币政策基本不相关。基于各行业股票指数的检验进一步验证了这个结论。我们还发现．不同行业对未预期的货币政策的反应程度有所不同，并且这种差异不能用CAPM来解释。
本文以M2增長率作為中國貨幣政策的度量指標，運用ARIMA預測方法，首次將貨幣政策分解為預期和未預期的兩箇部分，進而分析瞭貨幣政策對滬深兩市的影響。結果錶明，股票收益率與未預期貨幣政策存在顯著的正嚮關繫，而股票收益率與預期貨幣政策基本不相關。基于各行業股票指數的檢驗進一步驗證瞭這箇結論。我們還髮現．不同行業對未預期的貨幣政策的反應程度有所不同，併且這種差異不能用CAPM來解釋。
본문이M2증장솔작위중국화폐정책적도량지표，운용ARIMA예측방법，수차장화폐정책분해위예기화미예기적량개부분，진이분석료화폐정책대호심량시적영향。결과표명，고표수익솔여미예기화폐정책존재현저적정향관계，이고표수익솔여예기화폐정책기본불상관。기우각행업고표지수적검험진일보험증료저개결론。아문환발현．불동행업대미예기적화폐정책적반응정도유소불동，병차저충차이불능용CAPM래해석。
Using the growth rate of M2 as the measure of China＇s monetary policy, the paper applies ARIMA forecasting method so as to decompose monetary policies into two parts, i.e., anticipated and unanticipated policies, and then investigates their impacts on Shanghai and Shenzhen stock markets. We find that, stock return is significantly positively correlated with unanticipated monetary policies, while no relationship is discovered for anticipated policies. Further tests based on the industrial stock indices verify the result. It is also discovered that various industries react differently to unanticipated monetary policies and the difference can be hardly explained by CAMP.
