关键词: 货币政策, 资产价格泡沫, TVP-FAVAR模型, 时变分析

Abstract: The relationship between asset price volatility and monetary policy has always been an important issue for investors, government and academics. Based on the monthly data of China from 1997 to 2014, this paper investigates the time-varying effect of China monetary policy shocks on the stock market price bubbles by using the newly developed time-varying parameter factor-augmented Vector Regression Model (TVP-FAVAR). The results show that the impacts of China monetary policy on the stock market price has the significant time-varying characteristics. When there is a large degree of asset price bubble in the stock market, the asset prices may rise with the rise of interest rate. As such, the use of rising interest rate as a tightening monetary policy may not be able to play a role in regulating the asset price fluctuation. The result is consistent with the rational asset price bubbles theory, which suggests that there is a need to reexamine the perception that the relationship between monetary policy and asset price fluctuation in the traditional concept is counter-cyclical. When the policy-makers use " lean against the wind " monetary policy, they need to be more cautious. They should pay more attention to the time-varying characteristics of the impact of monetary policy on asset price, and make the decision on the camera for the fluctuation of financial market.

Key words: Monetary policy, Asset price bubble, TVP-FAVAR model, Time-varying analysis