统计研究
統計研究
통계연구
Statistical Research
2011年
12期
55~65
,共null页
货币政策 股票市场 经济结构 SVAR
貨幣政策 股票市場 經濟結構 SVAR
화폐정책 고표시장 경제결구 SVAR
Monetary Policy ; Stock Market ; Economic Structure ; SVAR
本文采用理论引导结构向量自回归（SVAR）的方法分析我国货币政策对股票市场的冲击。我们首先构造了一个反映我国特定利率制度安排下的经济结构理论模型,表明货币政策的三个作用渠道：流动性效应、通货膨胀效应和实际产出效应。之后以其为指引,识别模型内、外生变量,限制变量当期冲击的作用特征,以实现对SVAR模型的整体识别和估计。然后利用脉冲响应分析详细讨论货币政策的作用特征。结果表明：①我国股市呈现出明显的＂政策市＂特征：货币增长率增长1%,将使沪市和深市股价分别上涨1%和0.7%;②货币政策的瞬时影响在第3个月时最大,第6个月之后基本消失;其累计影响具有持续性;③沪深两市的政策反应略有不同;④我国股市呈现明显的＂资金推动＂型特征：流动性效应对货币政策作用的解释力分别达到91%（沪市）和70%（深市）;通货膨胀效应有一定正向影响,产出效应体现出微弱的负向影响。本文的引申含义是：在我国,货币政策尚不应该对股市变动做出反应。
本文採用理論引導結構嚮量自迴歸（SVAR）的方法分析我國貨幣政策對股票市場的遲擊。我們首先構造瞭一箇反映我國特定利率製度安排下的經濟結構理論模型,錶明貨幣政策的三箇作用渠道：流動性效應、通貨膨脹效應和實際產齣效應。之後以其為指引,識彆模型內、外生變量,限製變量噹期遲擊的作用特徵,以實現對SVAR模型的整體識彆和估計。然後利用脈遲響應分析詳細討論貨幣政策的作用特徵。結果錶明：①我國股市呈現齣明顯的＂政策市＂特徵：貨幣增長率增長1%,將使滬市和深市股價分彆上漲1%和0.7%;②貨幣政策的瞬時影響在第3箇月時最大,第6箇月之後基本消失;其纍計影響具有持續性;③滬深兩市的政策反應略有不同;④我國股市呈現明顯的＂資金推動＂型特徵：流動性效應對貨幣政策作用的解釋力分彆達到91%（滬市）和70%（深市）;通貨膨脹效應有一定正嚮影響,產齣效應體現齣微弱的負嚮影響。本文的引申含義是：在我國,貨幣政策尚不應該對股市變動做齣反應。
본문채용이론인도결구향량자회귀（SVAR）적방법분석아국화폐정책대고표시장적충격。아문수선구조료일개반영아국특정리솔제도안배하적경제결구이론모형,표명화폐정책적삼개작용거도：류동성효응、통화팽창효응화실제산출효응。지후이기위지인,식별모형내、외생변량,한제변량당기충격적작용특정,이실현대SVAR모형적정체식별화고계。연후이용맥충향응분석상세토론화폐정책적작용특정。결과표명：①아국고시정현출명현적＂정책시＂특정：화폐증장솔증장1%,장사호시화심시고개분별상창1%화0.7%;②화폐정책적순시영향재제3개월시최대,제6개월지후기본소실;기루계영향구유지속성;③호심량시적정책반응략유불동;④아국고시정현명현적＂자금추동＂형특정：류동성효응대화폐정책작용적해석력분별체도91%（호시）화70%（심시）;통화팽창효응유일정정향영향,산출효응체현출미약적부향영향。본문적인신함의시：재아국,화폐정책상불응해대고시변동주출반응。
The paper investigates the impact of monetary policy to stock market by applying the technique of theory- directed SVAR （structural vector autoregression）. We first set up a theoretical model to reflect China＇ s economic structure under specific interest-rate arrangement, which manifests three functioning channels of monetary policy to stock market, i. e. ,the liquidity effect, inflation effect and output effect. Then under its guidance, we specify the endogenous and exogenous variables and restrict the features of current impacts to fully identify and estimate the SVAR model. Then impulse-response analysis is used to discuss the features of monetary impact in detail. It＇ s shown that i） Chinese stock markets exhibit strong policy market feature ： an 1% increase of money stock leads to 1% and 0. 7% stock-price increases in Shanghai and Shenzhen stock market respectively;ii） the instantaneous impact of monetary policy reaches its maximum at the 3^rd month and disappears after 6^th month, while its accumulative impact persists;iii） minor difference between the response of Shanghai and Shenzhen markets is observed;and iv） capital-impetus feature prevails the markets：liquidity effect contributes 91% and 70% price variation in Shanghai and Shenzhen respectively, inflation effect has certain positive influence and output effect is a slightly negative. The paper also implies that monetary policy should not respond to stock market fluctuation in China under current circumstances.
