An Empirical Study On The Relationship Between Monetary Policy And China's Stock Market Risk

China's existing researches about the relationship between Monetary policy and risk of stock markets were based on the methods need to be improved. There are theoretically necessary to study the impact of Monetary policy to the risk of stock markets by advanced methods. And, Chinese scholars believed that the Central Bank should pay close attention to the change of stock price. So there are both theoretical significance and empirical significance to study the relationship between the Monetary policy and risk of stock markets in China.This paper calculated the conditional value at risk (CVaR) in Shanghai and Shenzhen stock markets and studied the demographic characteristics of CVaR in those two markets, studied the impact of adjustment of monetary policy with Non-parametric test. And this paper use Vector Autoregressive model (VAR) to study the long-run equilibrium relationship between CVaR and indicators of monetary policies just like supplement of money, rate, loans, deposits and CPI, and come to the following conclusions:First, the adjustment of monetary policy itself did have an impact on the CVaR in both markets. Shanghai stock market is more sensitive to the adjustment than Shenzhen, and both of them are more sensitive to the rate. In spite of these, not all of the policy adjustment will increase the market risk; the difference of adjustments of policy may have different impact on the markets.The second, the Information leakage phenomenon is detected in both of the two markets of China. However, the leaked information is not delivered efficiently.The third, there was a negative correlation between risks of stock market and some variables just like the loans and rate. At the same times, there was a positive correlation between risk and some variables like deposits, M0 and CPI. The Impulse response function shows that the strongest impact of all variables was from 4 to 7 months after occurred, and the deposit, loans and CPI have a permanent impact on the CVaR.The forth, Monetary policy variables have different capacity of influence,and the Shanghai Stock Markets is more sensitive in the policy.