利率、股票价格与货币政策传导

利率与股票价格的互动关系是货币政策通过股票市场途径传导的重要环节。通过基于VAR的格兰杰因果检验和方差分解等技术,实证分析我国利率变动与股票价格的相互关系,结果表明,利率与股票价格在长期中存在均衡关系,利率变动是股票价格变动的格兰杰原因,其影响逐步增大,并在第四期以后稳定在28·6%;而股票价格对利率的影响较小,统计上不表现为利率变动的格兰杰原因。这说明我国金融市场具有分割性,货币政策通过股票市场途径的传导在上游是通畅的。

Monetary Policy Transmission on Interest Rate and Stock Price

The relationship between interest rate and stock price plays an important role in monetary policy transmission through stock markets.By VAR-Granger casualty test and variance decomposition,the paper empirically analyzes this relationship in China and concludes that interest rate,as a long-run equilibrium relation with stock price,is the cause for the Granger casualty of stock rice fluctuation.This influence has been gradually increased to 30% after the forth period.However,the reverse influence is relatively weak and cannot cause the Granger casualty of interest rate change.The conclusion implies that Chinese financial market is separate,and monetary polices transmit smoothly through stock price.