CAJ | 학술논문

科学测算货币政策与股票价格变动的数量关系,是理解中国宏观经济与金融市场互动机制的重要视角。本文将新近发展的因子扩展向量自回归模型（FAVAR）和BL结构冲击识别方法结合起来,建立了更具合理性和可靠性的FAVAR-BL模型框架;前者引入共同因子克服了传统VAR模型遗漏大量经济信息的缺陷,后者长短期约束兼具的技术使得脉冲响应能够刻画货币政策与股票价格的同期和长期动态相依特征。测算结果显示,在同期关系中,利率非预期地提高100个基点,真实股票指数会下跌大约8%,真实股票指数非预期地上升1%会导致利率提高大约1个基点;随着时间的推移,前者的强度衰减态势明显快于后者。这表明我国货币政策与股票市场之间存在非对称的互动关系,其中货币政策变动对股票市场具有较强的同期影响,但持续时间较短;股票市场变动对货币政策则是同期影响强度较小、长期影响持续时间长。
과학측산화폐정책여고표개격변동적수량관계,시리해중국굉관경제여금융시장호동궤제적중요시각。본문장신근발전적인자확전향량자회귀모형（FAVAR）화BL결구충격식별방법결합기래,건립료경구합이성화가고성적FAVAR-BL모형광가;전자인입공동인자극복료전통VAR모형유루대량경제신식적결함,후자장단기약속겸구적기술사득맥충향응능구각화화폐정책여고표개격적동기화장기동태상의특정。측산결과현시,재동기관계중,리솔비예기지제고100개기점,진실고표지수회하질대약8%,진실고표지수비예기지상승1%회도치리솔제고대약1개기점;수착시간적추이,전자적강도쇠감태세명현쾌우후자。저표명아국화폐정책여고표시장지간존재비대칭적호동관계,기중화폐정책변동대고표시장구유교강적동기영향,단지속시간교단;고표시장변동대화폐정책칙시동기영향강도교소、장기영향지속시간장。
Scientifically measuring the quantitative relationship between monetary policy and stock price movements is an important perspective to understand the interaction mechanism between China’s macroeconomic developments and the financial markets. This article combines the newly developed factor-augmented vector auto-regression model（ FAVAR） and BL structural shocks recognition method, and forms a more rational and reliable model framework of FAVAR-BL; The former overcomes the problem of information omission in the traditional VAR model, and the latter, which combines the short-term and long-term constraint technology, enables the impulse responses to characterize the same period and long-term dynamic dependency feature between monetary policy and stock price. The result shows： the real stock index immediately falls by 8percent due to the unexpected 100 basis points increase of the interest rate; a stock price shock increasing the real stock index by 1% leads to an increase in the interest rate of close to 1 basis point; the attenuation of the former is significantly faster than the latter over time. This indicates that there is an asymmetric relationship between China ’s monetary policy and the stock market, with the monetary policy having a strong but short-term influence on the stock market and the stock market having a small but long-term effect on the monetary policy.