| 摘要: |
| 在美联储货币政策调整、退出QE在即的背景下，研究美联储货币政策如何影响我国股票市场具有较强现实意义。本文运用时变VAR模型，分析美国货币政策在不同阶段对我国股票市场的影响和溢出效应。研究结果显示：美联储货币政策工具（利率调整和公开市场操作）与我国主要股指有较高的关联性；在不同时期，美联储利率调整和公开市场操作均对我国股票市场产生负面冲击，且利率调整的冲击效应更强；在美联储重启QE初期（2020年7月），美联储公开市场操作对我国股市整体的冲击效应最大，而利率调整对我国房地产股指的影响较大。 |
| 关键词: 货币政策；股票市场；时变VAR模型 |
| DOI： |
| 分类号:F832.5 |
| 基金项目: |
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| Research on the Influence of US Monetary Policies on Chinas Stock Market——Based on TVP-VAR Model |
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ZHAI Chao-ying1，CHEN Kai21,2
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1.Wuhan Branch of the People’s Bank of China;2.Huangshi Branch of the People’s Bank of China
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| Abstract: |
| In the context of the recent federal Reserve monetary policy adjustment and withdrawal from QE，it has strong practical significance to study how the Federal Reserve monetary policies affect China’s stock market.Using time-varying VAR model，this paper analyzes the influence and spillover effects of US monetary policy on China’s stock market at different stages.The results show that there is a high correlation between the fed’s monetary policy tools (interest rate adjustment and open market operation bond purchase) and China’s main stock indexes.In different periods，the fed’s interest rate adjustment and open market operation both have negative impact on China’s stock market，and the impact effect of interest rate adjustment is stronger.In the early stage of the Resumption of QE by the Federal Reserve(July 2020)，the open market operation of the Federal Reserve has the greatest impact on the overall stock market in China，while the adjustment of interest rates has a greater impact on China’s real estate stock index. |
| Key words: Monetary Policy；Stock Market；Time-varying VAR Model |
