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随着中国利率市场化和货币政策框架改革的推进,利率调控正逐步成为维护中国资本市场稳定的重要政策工具。基于MS-VAR模型和2002~2015年的中国市场数据,本文发现,基准利率的调控对中国股市产生显著的负向冲击,并且冲击效果在股市衰退期较弱、较滞后,在股市膨胀期较强、较迅速。因此,货币政策当局需要根据不同的市场区制选择利率调控的时机与力度。此外,由于利率调控对中国股市的政策效果并不受到汇率波动的制约,货币政策当局具有更高的政策独立性和灵活性。
With the marketization of China’s interest rate and the reform of the monetary policy framework, interest rate control is gradually becoming an important policy tool for maintaining the stability of China’s capital market. Based on the MS-VAR model and the Chinese market data from 2002 to 2015, this paper finds that the regulation of the benchmark interest rate has a significant negative impact on the Chinese stock market, and the impact is weaker and lagging behind in the stock market recession. Strong, faster. Therefore, the monetary policy authorities need to select the timing and intensity of interest rate adjustment according to different market areas. In addition, since the effect of interest rate control on the Chinese stock market is not subject to exchange rate fluctuations, monetary policy authorities have higher policy independence and flexibility.