CAJ | 학술논문

本文对股票收益率、货币政策以及产出之间的动态关系进行了线性检验，结果发现三者之间的动态调整过程存在明显的非线性特征。在此基础上构建了平滑迁移结构向量自回归模型（ST—SVAR）刻画三者之间的非线性关系，并计算了ST—SVAR模型的广义脉冲响应函数。结果发现货币政策对股票市场具有显著影响，并存在非对称性，即扩张性的货币政策对股票市场的拉动效应大于紧缩性的货币政策对股票市场的抑制效应。而产出与股票收益率之间的关系并不明显，股票收益率并不能完全反应经济基本面，存在一定程度的两分性。
본문대고표수익솔、화폐정책이급산출지간적동태관계진행료선성검험，결과발현삼자지간적동태조정과정존재명현적비선성특정。재차기출상구건료평활천이결구향량자회귀모형（ST—SVAR）각화삼자지간적비선성관계，병계산료ST—SVAR모형적엄의맥충향응함수。결과발현화폐정책대고표시장구유현저영향，병존재비대칭성，즉확장성적화폐정책대고표시장적랍동효응대우긴축성적화폐정책대고표시장적억제효응。이산출여고표수익솔지간적관계병불명현，고표수익솔병불능완전반응경제기본면，존재일정정도적량분성。
In this paper, we test the linearity among stock returns, monetary policy and output, and find that the relationship of them is significantly nonlinear. So we construct a smooth transition structural vector auto - re- gression model （ ST - SVAR） of stock returns, monetary policy and output. Based on the estimation of the ST - SVAR model, generalized impulse response functions are computed, and it is found that monetary policy has a significant asymmetric impact on the stock market, that is, positive effect on the stock market of expansionary monetary policy is greater than the reverse effect of tight monetary policy. However, the relationship between stock returns and output is not obvious, stock returns can＇t fully reflect economic fundamentals.