| 美国货币政策对中国股票市场溢出效应的实证研究 |
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| 引用本文： | 袁鹏. 美国货币政策对中国股票市场溢出效应的实证研究[J]. 经济经纬, 2010, 0(1) |
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| 作者姓名： | 袁鹏 |
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| 作者单位： | 中山大学岭南学院,广东,广州,510275;河南财经学院金融学院,河南,郑州,450011 |
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| 摘 要： | 本文认为:美国货币政策对我国股票市场真实回报具有显著的溢出效应,即扩张性的货币政策使我国股票市场真实回报下降;在短期,美国货币政策冲击对我国股票市场真实回报波动贡献大,而在中长期美国的通胀、产出冲击贡献大;美国货币政策溢出效应经由美国股票市场价格示范效应传递的机制不显著。
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| 关 键 词： | 美国货币政策 溢出效应 价格示范效应 |
An Empirical Study on the Spillover Effect of U. S. Monetary Policy on the Stock Market of Our Country |
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| YUAN Peng. An Empirical Study on the Spillover Effect of U. S. Monetary Policy on the Stock Market of Our Country[J]. Economic Survey, 2010, 0(1) |
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| Authors: | YUAN Peng |
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| Affiliation: | 1.Lingnan College;Sun Yat-sen University;Guangzhou 510275;China;2.School of Finance;Henan University of Finance and Economics;Zhengzhou 450002;China |
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| Abstract: | The author holds that firstly the U.S.monetary policy has obvious spillover effect on the real return of the stock market of our country,that is,expansionary U.S.monetary policy makes the real return of China's stock market decline,secondly,in the short run the impact of the U.S.monetary policy on the real return volatility of China's stock market is great,whereas in the mid and long run,the impact of the U.S.inflation and output is greater,and thirdly the spillover effect of U.S.monetary policy transmitted... |
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| Keywords: | U.S. monetary policy spillover effect demonstration effect of price |
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