Monetary Policy Impact on China's Shanghai Stock Market - Empirical Analysis Based on VAR Model

被引：0
|
作者：
He Wu [1 ]
机构：
[1] Zhejiang Univ, Management Branch, Ningbo Inst Technol, Hangzhou 315100, Zhejiang, Peoples R China
来源：
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2 | 2011年
关键词：
VAR model; Monetary policy; Stock price; Impulse response;
D O I：
暂无
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
The paper uses data (2002-2010) about the money supply, inter-bank offered rate, loan balance of financial institutions, tenants price index to create a VAR model framework for empirical research on the Shanghai Composite Index, uses the impulse response method, to analyze the stock market response to the different effects of monetary policy shocks, The results show that monetary policy can effectively regulate the stock price, the impact of money supply on the stock index is relatively small, the interest rate adjustment play a role in the stock price changes.
引用
收藏
页码：281 / 287
页数：7
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