Study On The Asymmetry Of The Effect Of Monetary Policy On Stock Return

Since1990the establishment of the Shanghai stock exchange and shenzhen stock exchange, the history of China’s stock market has more than20years. In recent years, with the high-speed development of economy, the stock as a way of investment and financing began to gradually mature, and the impact of the price volatility of the stock market on the real economy is increasingly significant, the monetary authorities have begun to consider the influence of monetary policy on the stock market when they set it.According to the basic theory of monetary policy is presented in this paper, on the basis of stock markets from1996to2013as research sample, This paper employs smooth transition autoregressive (STAR) model to investigate the asymmetric effect of monetary policy on stock earnings yield, and considering expected factors of monetary policy under the different stock return regimes. The aim of these research is to support some realistic significance and policy implications and advises so that the central bank can use monetary policy to stabilize the stock market.In the paper, the result shows that monetary policy has a weak but short-delayed impact on stock earnings yield in a low-return regime, while a strong but long-delayed impact in a high-return regime. In addition, the unexpected change in monetary policy has a larger impact on stock earnings yield than the expected change has in the high-return regime, which is opposite in the low-return regime.