货币政策冲击对股票市场价格泡沫影响的时变分析

一直以来，资产价格波动与货币政策的关系都是经济金融领域关注的重点问题。本文以1997-2014年我国月度数据为样本，运用新近发展的时变参数的因子扩展向量自回归模型（TVP-FAVAR）分析了我国货币政策冲击对股票市场价格泡沫影响的时变特征。研究结果表明，我国货币政策的变动对股票市场价格的影响有着显著的时变性特点。当股票市场存在较大程度的资产价格泡沫时，股票市场的价格可能会随着利率提高而上升，采用加息的紧缩货币政策未必能够起到相应的调控资产价格波动的作用。这一结果和理性资产价格泡沫理论一致，意味着有必要重新审视传统观念中货币政策与资产价格波动之间是逆周期关系的认知。因此，政策制定者在采用“逆风而动”的货币政策时需要更加审慎，应密切关注货币政策对资产价格影响的时变特征，针对金融市场波动状况相机抉择。

Monetary Policy Shocks and Stock Market Price Bubbles: Time-varying Analysis

The relationship between asset price volatility and monetary policy has always been an important issue for investors, government and academics. Based on the monthly data of China from 1997 to 2014, this paper investigates the time-varying effect of China monetary policy shocks on the stock market price bubbles by using the newly developed time-varying parameter factor-augmented Vector Regression Model (TVP-FAVAR). The results show that the impacts of China monetary policy on the stock market price has the significant time-varying characteristics. When there is a large degree of asset price bubble in the stock market, the asset prices may rise with the rise of interest rate. As such, the use of rising interest rate as a tightening monetary policy may not be able to play a role in regulating the asset price fluctuation. The result is consistent with the rational asset price bubbles theory, which suggests that there is a need to reexamine the perception that the relationship between monetary policy and asset price fluctuation in the traditional concept is counter-cyclical. When the policy-makers use " lean against the wind " monetary policy, they need to be more cautious. They should pay more attention to the time-varying characteristics of the impact of monetary policy on asset price, and make the decision on the camera for the fluctuation of financial market.