我国货币政策有效性及其与股票市场的交互影响*——基于SVAR模型的实证研究
A STUDY ON THE EFFECTIVENESS AND INTERACTION BETWEEN CHINAS MONETARY POLICY AND STOCK PRICE BASED ON SVAR MODEL

摘要 本文构建以货币政策变量、股票价格变量和宏观经济变量为基础且同时施加有短期和长期约束的结构向量自回归（SVAR）模型，将货币政策与股票市场的当期关系纳入分析，利用1997—2015年的数据，实证检验了我国货币政策和股票市场间的交互作用及其对宏观经济的影响。实证结果表明，现阶段我国货币政策冲击对股票市场没有显著影响，但股票价格冲击在2005年人民币汇率制度改革之后对我国的产出、M2供应及通货膨胀影响的显著性均明显提升。
Abstract： In this paper, we build a structural vector autoregressive (SVAR) model, based on the effectiveness and interaction between Chinas monetary policy and stock price By setting a combination of shortrun and longrun restrictions, we can solve the simultaneity problem of identifying monetary and stock price shocks Our analysis reveals that Chinas monetary policy has little effect on the stock market from 1997 to 2015, while the reactions of output, M2 supply and inflation to stock market shock become more significant since the RMB exchange rate reform in 2005