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我国股票市场历经20多年发展取得卓越成就,在发展历程中长期受到政府政策的影响,尤其是货币政策,对我国股票市场发展的影响不容忽视。本文采用我国股票市场2003年1月~2013年6月的月度数据,构建VAR模型,通过脉冲响应分析研究了货币政策对我国股票市场流动性的影响。实证结果显示,货币供应量M0、M1、M2对股票市场非流动性具有负向冲击,利率R对股票市场非流动性具有正向冲击;货币供应量M2的冲击力度最大,M0最小;货币供应量M1的影响周期最长,M0最短。最后在研究基础上提出政策建议。
China’s stock market has achieved remarkable success after more than 20 years of development. In the course of its development, it has been influenced by government policies for a long time, especially the monetary policy. The impact on China’s stock market can not be ignored. In this paper, the monthly data of China’s stock market from January 2003 to June 2013 are used to construct the VAR model. The impulse response analysis is used to study the influence of monetary policy on the liquidity of China’s stock market. The empirical results show that the money supply M0, M1 and M2 have a negative impact on the non-liquidity of the stock market, and the interest rate R has a positive impact on the non-liquidity of the stock market. The money supply M2 has the strongest impact and M0 is the smallest. The money supply The effect period of M1 is the longest, M0 is the shortest. Finally, based on the research put forward policy recommendations.