关键词: 货币政策, 股票市场, 经济结构, SVAR

Abstract: 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 3rd month and disappears after 6th 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.

Key words: Monetary policy, Stock market, Economic structure, SVAR