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Under the Free Circulation Empirical Impact Analysis of Stock Market Against the Monetary Policy

Author: WuQi
Tutor: HeYiQing
School: Nanchang University
Course: Probability Theory and Mathematical Statistics
Keywords: CSI 300 Energy Index CSI 300 index Wilcoxon signed rank test Granger test Cointegration test VAR model VEC model
CLC: F822.0;F832.51
Type: Master's thesis
Year: 2011
Downloads: 134
Quote: 0
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Abstract


Has obvious counter-cyclical monetary policy , this article analyzed from two angles counter-cyclical monetary policy empirical analysis of the effect of the stock market regulation , namely monetary policy the periodic energy industry regulation Empirical analysis and monetary policy on non-periodic empirical analysis of pharmaceutical industry regulation effect , this will help draw the general characteristics of the counter-cyclical monetary policy effect on the stock market regulation law . Select monthly data from July 2007 to February 2011 , the variables selected short - term monetary instruments variable deposit reserve ratio and long-term monetary instruments variable interest rate , exchange rate, broad money supply M2 , as well as cross- Shanghai and Shenzhen stock markets shares outstanding compiled the CSI 300 points in the periodic energy sector index and aperiodic pharmaceutical industry index , the use of non-parametric Wilcoxon signed rank test , Granger test , cointegration test , the VAR model , the VEC model , variance decomposition and the impulse response function to an empirical analysis of the effect of monetary policy on the stock market regulation , concluded that : (1) short - term monetary instruments variable deposit reserve ratio of China 's stock market regulation effect is present , the effect of regulation of the different industries have a huge differences of strong cyclical industry regulation effect significant , non-cyclical industry regulation effect is not obvious ; (2 ) long-term monetary policy tools of China 's stock market regulation effect , counter-cyclical monetary policy on the stock long-term market regulation effect on a cyclical industry and the effect of regulation of non-cyclical industries is a significant difference in , cyclical industry conduction of monetary policy lag shorter , usually about nine months , to a lesser extent , the same direction also reverse the role , there is no stable and consistent move up or inhibition ; non-cyclical industries conduction of monetary policy lag is about 18 months or so , by a big margin , reverse in the same direction , and a stable continued to move up or inhibition.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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