| 货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究 |
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| 引用本文： | 方舟,倪玉娟,庄金良.货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究[J].金融研究,2011(7). |
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| 作者姓名： | 方舟 倪玉娟 庄金良 |
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| 作者单位： | 厦门大学经济学院;中国民生银行温州分行;海通证券研究所; |
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| 基金项目： | 教育部人文社会科学研究规划基金项目“中国金融稳定理论及政策协调机制构建——基于经济全球化背景的视角”(项目批号:08JA790110)的资助 |
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| 摘 要： | 本文首先对货币政策影响股市流动性的机理进行分析,在此基础上,尝试构建了一个新的股票市场流动性指标,通过引入MS-VAR模型,考察了货币政策在不同区制下对股市流动性的动态影响。基于MSIH(3)-VAR(4)模型和累积脉冲响应的结果表明,货币政策扩张有助于提高市场流动性,货币政策收紧,会导致市场流动性降低。但在不同区制下,影响程度存在显著差异,当股市处于膨胀期时,货币政策冲击对市场流动性的影响比股市处于低迷期时表现得更加明显。同时,股市收益率和股市波动率对股市流动性也存在显著影响。
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| 关 键 词： | 货币政策 股票市场流动性 马尔可夫区制转换向量自回归模型 |
The Impacts of Monetary Policy Shock on Stock Market Liquidity:An Empirical Study based on Markov Switching Vector Autoregression |
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| FANG Zhou NI Yujuan ZHUANG Jinliang.The Impacts of Monetary Policy Shock on Stock Market Liquidity:An Empirical Study based on Markov Switching Vector Autoregression[J].Journal of Financial Research,2011(7). |
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| Authors: | FANG Zhou NI Yujuan ZHUANG Jinliang |
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| Institution: | FANG Zhou NI Yujuan ZHUANG Jinliang |
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| Abstract: | This paper firstly analyzes the mechanism of the influence of monetary policy on stock market liquidity, and then tries to construct a new stock market liquidity indicator through the introduction of MA-VAR model to study the dynamic impacts of monetary policies on stock market liquidity in different regimes.Based on the MSIH(3)-VAR(4) model and aggregate impulse response,the results show that the expansion of monetary policies is favorable to increase the stock market liquidity while the shrinkage of monet... |
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| Keywords: | monetary policy stock market liquidity Markov switching VAR |
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