我国货币政策对股票市场流动性的非线性效应

基于时变参数模型,从不同货币政策类型的视角探讨货币政策对股票市场流动性的非线性冲击效应。研究发现,非线性效应主要体现在两个方面:一是政策模式非线性,从正向指标换手率和流动强度来看,数量型和价格型宽松货币政策都有利于为股票市场注入流动性;从反向指标非流动比率来看,价格型宽松货币政策不利于提高股票市场流动性,数量型宽松货币政策对股票市场流动性有较好的推动作用。二是时期非线性,数量型货币政策对股票市场流动性的影响在经济繁荣时期最强,在经济平稳时期最弱;股票市场流动性对价格型货币政策的敏感性在经济萧条时期最大,在经济平稳时期最小。建议央行在未来一段时间内采取数量型宽松为主、价格型紧缩为辅的稳健中性货币政策来促进股票市场流动性的回升。

The Nonlinear Effect of China's Monetary Policy on the Stock Market Liquidity

Based on the time-varying parameter model,this paper explores the nonlinear impact of monetary policy on stock market liquidity from the perspective of different types of monetary policy.It is found that the nonlinear effects are as follows:on the one hand,the policy model is nonlinear.From the positive index TO and the PS,both the quantitative and the price-based easing monetary policies are beneficial to the stock market liquidity.From the negative index ILLIQ,the price-based easing monetary policy is not beneficial to the stock market liquidity,quantitative easing monetary policy have a positive effect on the stock market liquidity.On the other hand,the shocking time is nonlinear,the impact of quantitative monetary policy on the stock market liquidity is the strongest in economic prosperity,the weakest in the period of economic stability;the sensitivity of stock market liquidity to the price-based monetary policy is the largest in the period of economic depression,and the least in the period of economic stability.It is suggested that the central bank should adopt a prudent monetary policy,which is based on quantitative easing as the principal instrument and price-based tightening as the supplement in the future,thus promoting the recovery of the stock market liquidity.