Research On The Effects Of Monetary Policy Affecting Stock Price Volatility

In the late 1990s, the development trend of asset prices significantly deviated from the real economy in the western, caused people to think about the relationship of the monetary policy, the real economy and asset prices. Since Shanghai stock exchange and Shenzhen stock exchange established, the stock market had been rapidly developed in our country, the monetary policy as an important means of national macroeconomy, its impact on stock prices involves coordinative problems of monetary policy, the real economy and securities market, it has been a object of concern. So this topic contains monetary policy variables, macroeconomy variables and the stock price, on the basis of the existing literature, this paper puts the monetary policy intermediary goals together to study their influence on stock price volatility and to compare the strength of the effect between the monetary policy directly impacting on the stock price volatility and monetary policy through the entity economy indirectly influencing stock price volatility. It has an important meaning for the central bank to implement monetary policy, to adopt what kind of monetary policy variables to affect the securities market, and to judge the effect of monetary policy on stock market movements for the general residents.In this paper, the first thing is to theoretically analyze the mechanism of monetary policy on stock price fluctuation, to analyze of monetary policy directly impacting on stock price volatility and monetary policy indirectly impacting on stock price volatility through the real economy; Then each variable is combined with event study analysis respectively on the stock price; Finally to build vector error correction model (VEC), which involves the money supply, interest rates, exchange rates, gross value of industrial output, the national consumer price index and the stock price, then to use empirical analysis of monetary policy directly impacting on stock price volatility and monetary policy indirectly impacting on stock price volatility through the real economy, to compare and analyze the effect, to put forward the policy suggestions for the development of our country in the end. Our empirical study is based on the idea of building VEC model of the monetary policy variables, macroeconomic variables, and the securities market variables, we analyze these two effects, and use the generalized impulse response function analysis of VEC model, in order to avoid orthogonalization impulse response function dependence on the order of variables. The test results show that in China the monetary policy directly impacts on stock price volatility and monetary policy indirectly impacts on stock price volatility through the real economy are immediate, the strength of direct effect is larger, but the impactive strength is generally smaller and the impactive duration is shorter, the securities market resource allocative function is limited, In the conduct of monetary policy in our country, to adjust interest rates is greater than to change money supply on the influence of the securities market, but on the whole, the two effects are limited.In view of the existing problems, this paper puts forward relevant policy suggestions:To take the prudent monetary policy, to give play to the role of market regulation; To introduce institutional investors, and to guide investors rational investment; To speed up the marketization of interest rate, to improve the efficiency of market operation; To improve the stock price formative mechanism, to establish the financial risk supervision system.