我国股票市场涨跌分段特性及其对货币政策传导的实证研究

针对现有研究对我国股票市场发展涨跌波动性特征认识的不足，根据我国股票市场发展涨跌的不同状况，将其分为1999年1月-2005年4月和2005年5月-2008年7月缓慢下降与快速上升两个阶段，通过建立VAR模型对其传导货币政策效果进行实证分析比较，结果发现我国股票市场对货币政策的传导效果在两个阶段中表现出明显的差异：股票市场对通货膨胀和产出的影响效果逐步加强，在第二阶段表现出较第一阶段显著的统计特征，这说明我国货币政策通过股票市场传导的渠道已经开始出现由传导不畅到发挥传导作用的转变趋势；据此提出进一步疏通股票市场对货币政策传导的政策建议。

The Volatility Characteristics of Stock Market and Its Empirical Study of Transmission Effect on Monetary Policy

Aiming at current study＇s lack on China＇s stock market rise-fall＇s fluctuation and according to different situations of rise-fall development of China＇s stock market,it may be divided two stages including the slow declining stage of January 1999-April 2008 and rapid increasing stage of May 2005-July 2008. By VAR model＇s empirical investigation and analysis about mone- tary policy transmission effect through stock market, we find that there are significant differences in two stages：the stock market influence on inflation and output effects in the second stage be- comes more and more obvious than in teh first stage,which has fully demonstrated that China＇s monetary policy transmission channel through the stock market has begun to play an important role. Finally some corresponding suggestians on monetary policy are put forward in the paper.