The Study On Correlation Of Chinese Assets Price And Monetary Policy

With the increasing perfection of the financial structure of the financial system, the scale of the capital market is gradually expanding, capital stocks and real estate assets of the financial system will gradually more deeped. Several of the world financial crises broke illuminate us that abnormal fluctuations of asset prices and the rapid expansion of the asset price bubble not only caused a serious blow to the entire financial system but also have a profound impact on the stable development of the real economy.At present, Chinese macroeconomic situation is more severe, the volatility of the stock price index, the irrational exuberance of the real estate market and the house price index continued to rise, are all challenge the formulation of a stable market economy policy. The interaction relationship exists between asset prices and monetary policy, the central bank sets monetary policy to stabilize the smooth development of Chinese financial system and economic, if you want to consider the volatility of the capital markets, this problem will be the focus of this paper.In this paper, it probes into the relationship between our asset prices and monetary policy through theoretical analysis and empirical analysis. In the theoretical analysis, from interest rates, money supply, bank credit, and many other specific to explore the theoretical relationship of monetary policy and the stock, real estate.In the empirical analysis, first through cointegration test, Granger causality test equilibrium relationship among the variables of the building model for a preliminary inspection, then apply the structural vector autoregression (SVAR) to test the respectively variables of stock, real estate and currency policy. Finally, combine with the impulse response function and variance decomposition more concrete and intuitive to inquiry stocks, real estate and interest rates, money supply, and the interaction between the impulse response and mutual contribution.Through theoretical analysis and empirical analysis, we come to the following conclusions:First, Chinese asset prices and monetary policy, macroeconomic variables (consumption, price and total output) has cointegrated relation.This illustrate the mutual influence of each variable. Second, the regulation of the effect of monetary policy on asset prices in China is not very clear, but the regulation of the monetary policy on house prices stability and persistence relative price. Third, China’s monetary policy has made a certain response to asset price volatility. By the impulse response and variance decomposition results, asset prices after the price of the contribution of monetary policy impact on monetary policy. Asset prices in China, as the formulation of monetary policy are a still indirect role. Third, asset prices have a more obvious impact of our consumption and total output. And asset prices affect prices obviouly. The central bank can widen the width of policy regulation, improve the operation of monetary policy equilibrium and make asset prices add into the monetary policy framework to stabilize asset prices and thus make macroeconomic smooth development.