The Time Varying Characteristics Of The Impact Of Monetary Policy On Stock Market In China

There is a serious mismatch between the business cycle and asset prices cycle in the ?New Normal? period, so this paper take the macroeconomic factors into consideration when we study the mechanism of the influence of monetary policy on the stock market. We select 70 groups of macroeconomic monthly sequences and draw out the macro factors respectively according to the proxy variables of the quantitative and price based monetary policy. In this paper, we select the money supply and interest rate as proxy variables and select the Shanghai Composite Index to represent the stock price and use the TVP-FAVAR model to estimate the results. Then we use impulse response function as an analysis tool for empirical analysis. We choose four representative points, respectively in January 2006, March 2009, June 2011 and January 2015. Finally draw the following conclusions:Firstly, the effect of monetary policy on the stock market is obviously asymmetric: the impact of monetary policy on the stock market in the period of economic expansion is greater than in the economic contraction period, and the impact on the stock the market in the stock market boom is greater than the stock market downturn. This is mainly because in the period of economic expansion and stock market boom, it is easy to amplify the pulling action of monetary policy on the stock market, and as investors? subjective negative factors prevail in the market downturn, the effect of monetary policy is weakened.Secondly, compared to the money supply, the regulation of interest rate policy on the stock market is more effective because the effects of money supply on the stock market lags behind and is small and unstable. However, the stock market is more sensitive to the interest rate policy and the regulation is more powerful and continued.Thirdly, in the "New Normal" period the regulation of the monetary policy on the stock market is still valid. The empirical results show that in 2015 January quantity and price based monetary policy can lead to significant variations in the stock price.The last part of this paper puts forward two policy suggestions based on the empirical results: First, construct the monetary policy combined with interest rate policy and other monetary policy in which interest rate policy is leading. Second, further promote the interest rate marketability reform.