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2017年初以来,M2与股票市场经历了一次回调行情,货币政策作为宏观经济的一种调节手段对股票价格会产生一定影响,但货币供给在不同宏形势下对股票价格影响的长短期效应有所不同。针对不同宏观背景系统的分析货币政策对股票价格调控效应的时变特征,以期更好地执行货币政策,调节资本市场是极具意义的。本文采用TVP-FAVAR模型研究不同宏观经济背景下货币供给对股票价格影响机制的时变特征。结果发现货币供给量增加对股票价格仅具有短期的提振效应,而不存在长期影响。这种短期效应具有显著的非对称性。其中,货币供给增加在股市繁荣时期对股票价格的提振作用明显大于紧缩时期。此外,“新常态”时期下,股票价格能够在极短时间内对货币供给调整做出反应,这说明货币政策有效性已大幅提高。
Since the beginning of 2017, M2 and the stock market have undergone a correction. As a macroeconomic adjustment, monetary policy will have an impact on the stock price. However, the short-term effect of the money supply on the stock price under different macroeconomic conditions different. It is significant to analyze the time-varying characteristics of the monetary policy on the regulation of stock prices against different macro-background systems in order to better implement the monetary policy and regulate the capital market. In this paper, the TVP-FAVAR model is used to study the time-varying characteristics of the mechanism of money supply on stock prices under different macroeconomic conditions. The result shows that the increase of money supply has only short-term boost effect on the stock price, without any long-term effect. This short-term effect has significant asymmetry. Among them, the increase of money supply in the stock market boom boosted stock prices significantly greater than the tightening period. In addition, under the “new normal” period, the stock price can respond to the adjustment of monetary supply in a very short time, which shows that the effectiveness of monetary policy has been greatly improved.