Analysis on effects of monetary policy on stock market returns in China

机译：货币政策对中国股票市场收益的影响分析

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摘要

Effects of monetary policy on the stock market—the first stage of stock market transmission channel of monetary policy,has a direct impact on the second phase of the transmission channel,which influences the effect of monetary policy.This article investigates the effects of monetary policy on stock market return,using regression method to identify real stock returns reactions to antecedent changes and current unexpected changes in the money supply.In the regression model,we take inflation into consideration for its possible effects on real stock returns.Before that,ARMA model is used to forecast expected money supply changes to get the unexpected changes.We find that monetary policy has significant influence on real stock returns,but inflation does not have significant influence on it.

机译：货币政策对股票市场的影响是货币政策的第一阶段，直接影响了第二阶段的货币传导，影响了货币政策的效果。本文研究了货币政策的影响。在股票市场收益上，使用回归方法确定实际股票收益对货币供应量变化的反应。在回归模型中，我们考虑了通货膨胀对实际股票收益的可能影响。在此之前，ARMA模型我们发现货币政策对实际存货收益有重大影响，而通货膨胀对它没有重大影响。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|35-38|共4页
会议地点 Qingdao(CN)
作者
Shaofang Ding; Tian Tian; Yingchao Hou;
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作者单位

Beijing Polytechnic,Beijing,China;

College of Economics and Management.NCUT Beijing,China;

College of Economics and Management.NCUT Beijing,China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
Monetary policy; Real stock returns; ARMA model; Regression model;

机译：货币政策;实际库存收益； ARMA模型；回归模型;

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1. Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode [J] . Yunpeng Sun, Xueying Wang Asian Economic and Financial Review . 2018,第6期

机译：中国货币政策对股票市场的不对称影响：非线性VAR模型的证据
2. Monetary Policy Impact on Stock Return: Evidence from Growing Stock Markets [J] . Raksha Bissoon, Boopen Seetanah, Reena Bhattu-Babajee, Theoretical Economics Letters . 2016,第5期

机译：货币政策对股票收益的影响：来自不断增长的股票市场的证据
3. Monetary Policy Effects on the Stock Market in China: Comparing Two Restriction Schemes in the SVAR Model [J] . Gang Wang, Yucheng Jiang Review of Pacific Basin financial markets and policies . 2020,第4期

机译：对中国股市的货币政策影响：比较SVAR模型中的两个限制计划
4. Analysis on effects of monetary policy on stock market returns in China [C] . Shaofang Ding, Tian Tian, Yingchao Hou IEEE International conference on management engineering technology of statistics . 2012

机译：货币政策对中国股市回报效应的影响分析
5. Monetary policy and the stock market in China: Short term and long term impacts on the development of Chinese stock markets. [D] . Lu, Shuoyi. 2015

机译：中国的货币政策和股市：对中国股市发展的短期和长期影响。
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7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Analysis on effects of monetary policy on stock market returns in China

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