| 利率调整对股票市场的传导效应分析 |
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| 引用本文： | 刘维奇,邢红卫,张云. 利率调整对股票市场的传导效应分析[J]. 山西大学学报(哲学社会科学版), 2012, 35(1): 118-125 |
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| 作者姓名： | 刘维奇 邢红卫 张云 |
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| 作者单位： | 1. 山西大学管理学院,山西太原,030006
2. 国金证券,上海,200120 |
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| 基金项目： | 教育部人文社科研究项目(07JA630027);山西省软科学研究项目(2010041021-02);山西省高校人文社科重点研究基地项目(2011305) |
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| 摘 要： | 文章以基于GARCH模型的事件研究法,分析近年来中国人民银行连续调整存贷款基准利率对股票市场的传导效应,研究股票市场对利率调整政策的反应速度和反应强度,检验股票市场的有效性,进而探索运用调整存贷款基准利率等货币政策管理股票市场风险的效力。实证结果表明,股票市场多次对利率上调呈利好反应,其原因可能与政策公告被股票市场投资者预测到有关。但利率调整目标的累积效应日趋明显,对股票市场过快发展有一定的抑制作用。
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| 关 键 词： | 利率调整 股票市场 事件研究法 GARCH模型 |
An Analysis of Transmission Effects of Interest Rate Adjustment on the Stock Market |
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| LIU Wei-qi , XING Hong-wei , ZHANG Yun. An Analysis of Transmission Effects of Interest Rate Adjustment on the Stock Market[J]. Journal of Shanxi University(Philosophy and Social Sciences Edition), 2012, 35(1): 118-125 |
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| Authors: | LIU Wei-qi XING Hong-wei ZHANG Yun |
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| Affiliation: | 1.School of Management,Shanxi University,Taiyuan 030006,China; 2.Guojin Security,Shanghai 200120,China) |
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| Abstract: | In this paper,event study based on GARCH model is used to analyze the transmission effects of the monetary policy,issued by adjusting continuously benchmark interest for deposits and loans,on China’s stock market.We focus on the response speed and strength of China’s stock market to interest-rate policy,and test China’s stock market efficiency.Also,we explore the utility of stock market risk regulation by using monetary policy.Empirical results show that interest rate adjustments have some influence on China’s stock market,although the market returns display positive response sometimes.The cumulative effect has become more evident,which restrains the rapid development of China’s stock market. |
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| Keywords: | interest rate adjustment stock market event study GARCH model |
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