The Empirical Study Of Monetary Policy Impact On The Stock Market Bubble In China

Whether in theory or practice, the stock market bubble has always been a controversial topic. But economists have reached a common consensus that the harm of stock market bubble and monetary policy should rescue the market actively after the bubble burst. On the other hand, our monetary policy has always put the inflation controlling as the target of regulation, but stock market bubble has been unable to into its goal of regulation and control. Research on relationship between stock market and monetary policy is usually from the point of the stock market volatility. So there is still a certain practical significance on the research about the issue of stock market bubble and the monetary policy. It’s helpful to deepen the understanding on the impact of monetary policy on stock market volatility and enrich the theory about the research between monetary policy and stock market operation further in-depth study of these problems. At the same time, it will provide the government with the theory basis to handle the relationship between monetary policy and stock price volatility correctly through monetary policy by studying the effect of monetary policy on stock market bubble. Help the government forecast the trend and amplitude of the stock market bubble caused by monetary policy in order to supervise and manage the targeted market in advance. At the same time provide the basis for investors to invest time judge the invest time to improve their ability of risk prevention. The innovation point of this article is to combine the stock market bubble quantitative data with the quantitative data of monetary policy and study the relationship between them by the methods of econometrics on the basis of existing research. There are also some shortcomings in this paper. On the index selection, the selection of data is not perfect by the influence of data availability。It’s not comprehensive enough to consider the problem without considering the other central bank monetary policy, domestic and international macroeconomic environment and the influence of fiscal policy on the stock market. Great changes have taken place in macro economy from 2006 to 2014. The adjust frequency of monetary policy tools and the volatility of the stock market are also quite different in different stages. Because of the limit of time and data, the problem remains to be further perfect. This article mainly focuses on the effects of monetary policy on stock market. But stock market is not only influenced by monetary policy, but also influenced by various kinds of macro and micro factors, these will all effect the research conclusion.The article is divided into six parts. The first part introduced the background of the topic selected, significance of this article and the innovation and deficiency of this article. The second part summarizes the research methods, characteristics and laws according to the existing research results at home and abroad in three aspects that are monetary policy’s impact on Chinese stock market, stock market bubble of the measures and monetary policy’s impact on the stock market bubble. The third part analyzes the interaction effect between stock market and monetary policy. Study the monetary policy impact on the stock market from the perspectives of the three monetary policy tools, and study the influence of stock market on monetary policy from the perspectives of the monetary policy transmission mechanism, the intermediary target, the ultimate goals. The fourth part measures the Chinese stock market bubble. First of all, summarize the definition, classification, effect and other basic theory of the stock market bubble. Then summarize the stock market bubble measurement methods that used past by scholars. Finally choose the Residual Income Valuation Model to make an empirical analysis on Chinese stock market bubble. The fifth part is the empirical analysis of the Chinese monetary policy impact on the stock market bubble. The VAR model is set up, the paper uses cointegration test, impulse response function and variance decomposition method to study the effect of monetary policy on the stock market, and analyses the degree and direction of the influence. Mainly study how the interest rate, money supply, and exchange rate effect the Chinese stock market bubble. Sixth part content of this article sums up and gives the main conclusions of the article, and put forward the corresponding policy recommendations.Empirical study results show that:the change of direction of our stock market bubble and the stock market index is broadly in line, but not exactly the same, from the stock market bubble of quantitative data, as the stock market bubble amplitude is greater in the short term, because the stock market bubble is not only influenced by stock price, but also many other factors. From the point of measurement model, there is no difference between the empirical analysis and the theory on the results obtained from the analysis of stock market bubble and the one-year deposit interest rate, as they were negatively correlated, but its effect can be weakened by some factors; M1 has a big impact on the stock market bubble, and it is positive; Due to the special national conditions of our country, the exchange rate impact on our stock market bubble is positive.Based on the empirical results, we put forward the following policy suggestions to perfect our country monetary policy and stock market:improve the quality of the investors and punish stock price manipulation; market timing capacity expansion and adjust stock supply reasonably; strengthen the link between money market and capital market; develop and improve the stock market; improve the function of the government role.