Comparative Study On Monetary Policy Stock Market Effect In The Expanding And Crunch Period

The relationship between monetary policy and the stock market is a vital task in the macro financial field, about which the theories are in constantly enrich and development. Stock market open a new channel for monetary policy transmission, but also a difficult channel. The more stock market develop the more we should research the stock market monetary policy effect, which is the inevitable requirement for improving the efficiency of monetary policy. Monetary policy will affect on the stock market, but the market's performance in turn affect monetary policy formulation, which make monetary policy formulation faced by a more complex environment.and the research about the relationship between monetary policy and market become more complex. Examining the stock market effect of monetary policy is the foundation of this complex research.The mechanism process of monetary policy is divided into instrumental variable, intermediary variable and target variable. Monetary policy implementation cycle is divided into contraction and expansion. In facing of this complex and important topic of monetary policy stock market effect, this paper do a subdivision research about this problem from monetary policy transmission process dimension and implement cycle dimension. Through the comparative study on the different stock market effect of different monetary policy variables in different monetary policy cycle, we can obtain some more in-depth research conclusions for this complex problem, and provide research basis for the pertinence and effectiveness of monetary policyBased on systematically summing up existing research home and abroad about monetary policy stock market effect, two aspects of research is done. Firstly, do a comparative study on China's monetary policy tools variable stock market effect in the expanding and crunch period using event study. Secondly, do a comparative study on China's monetary policy intermediary variable stock market effect in the expanding and crunch period using structure vector auto-regressive. This paper reaches the following six conclusions in researching sample period from January 2000 to December 2010:(1)Policy stock market effect turns low in monetary policy tools frequently adjusted period. (2)The stock market effect of interest rates is more significant than reserve in the extending period of monetary policy cycle. (3)The stock market effect of reserve is more significant than interest rates in the crunch period of monetary policy cycle. (4)The stock market effect of interbank lending rates is more significant than the money supply M0 and loans. (5) Stock market effect of monetary policy intermediate target overall turns low in crunch period. (6)Stock market effect of monetary policy intermediate target is significantly change in expansion comparing with the whole sample period and the crunch period, the stock market effect of interbank lending rates increase, the stock market effect of money supply M0 becomes very weak, the stock market effect of loans appear negative relationship. Finally, this paper has put forward four suggestions based on the conclusions.