货币政策对股票市场流动性影响时变性的计量检验——基于TVP-VAR模型的实证分析

›› 2016, Vol. 28 ›› Issue (3): 20-32.

货币政策对股票市场流动性影响时变性的计量检验——基于TVP-VAR模型的实证分析

金春雨^1,2, 张浩博²

1. 吉林大学数量经济研究中心, 长春 130012;
2. 吉林大学商学院, 长春 130012

收稿日期:2015-04-16 出版日期:2016-03-28 发布日期:2016-03-31
作者简介:金春雨,吉林大学商学院教授,博士生导师,应用经济学博士后;张浩博,吉林大学商学院博士研究生。
基金资助:
吉林大学哲学社会科学重大课题培育项目 (项目编号:2015ZDPY09);吉林省科技发展计划软科学研究项目(20130420035FG)。

An Econometric Test on the Time Varying Effects of Monetary Policy on Stock Market Liquidity——An Empirical Analysis Based on TVP-VAR Model

Jin Chunyu^1,2, Zhang Haobo²

1. QuantitativeResearch Center of Economics, Jilin University, Changchun 130012;
2. Business School, Jilin University, Changchun 130012

Received:2015-04-16 Online:2016-03-28 Published:2016-03-31

摘要/Abstract

摘要：

本文首先分析了货币政策对股票市场流动性的传导机制,并且选用非流动性和换手率表示股票市场流动性,采用TVP-VAR模型对货币政策对我国股票市场流动性的动态影响进行了实证检验,分析了货币政策对股票市场流动性影响的时变性。实证结果表明:货币政策的扩张可以促进股票市场流动性的改善,货币政策的紧缩将会造成股票市场流动性的恶化。货币供应量、利率和市场收益率对我国股票市场流动性的影响呈现明显的时变性特征,货币政策对股票市场流动性在不同时期的影响程度和持续时间存在明显的差异性。

关键词: 货币政策, 股票市场流动性, TVP-VAR模型

Abstract:

This paper firstly analyzes the transmission mechanism of monetary policy on stock market liquidity, and then selects illiquidity and turnover rate to represent the stock market liquidity. Thenit uses TVP-VAR model to analyze the dynamic impacts of monetary policies on stock market liquidity and investigates the time varying characteristic of the effect of monetary policies on stock market liquidity. The empirical results show that the expansion of monetary policy can increase stock market liquidity while the shrinkage of monetary policy leads to decrease. The effects of money supply, interest rates and market yields on China's stock market are significantly time varying. There are obvious differences of the effect of monetary policy on the stock market in the degree and the duration.

Key words: monetary policy, stock market liquidity, TVP-VAR model

金春雨, 张浩博. 货币政策对股票市场流动性影响时变性的计量检验——基于TVP-VAR模型的实证分析[J]. , 2016, 28(3): 20-32.

Jin Chunyu, Zhang Haobo. An Econometric Test on the Time Varying Effects of Monetary Policy on Stock Market Liquidity——An Empirical Analysis Based on TVP-VAR Model[J]. , 2016, 28(3): 20-32.

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