The Empirical Study Of China’s Monetary Policy Impact On Stock Prices

In recent years, China’s stock market was impacted by the economic crisis and the domestic reform. To promote the mature of the Chinese stock market, the monetary policy of its regulation function should not be ignored. But which instrument monetary policy implementing can be effective and under different economic background which policy is more favorable, how to adjust the policy can improve the scientific nature and effectiveness of the monetary policy are also needed to be studied. As a result, the relationship between monetary policy and stock market prices, for research has important theoretical and practical significance.In this paper, two aspects of theory and empirical research for the effect of monetary policy on stock prices are expounded and analyzed. In the aspect of theory, the thesis mainly explores different school of thought on the quantity theory of monetary policy on stock prices, and deduces the relationship between the derivatives of a qualitative. Then selected the monthly closing price of the benchmark Shanghai composite index logarithm yield, 2M quarterly logarithmic growth rate and weighted average interest rate on interbank funding for7 days as the research variables, January 1996 to September 2015 is chosen as sample research interval. First of all, to describe data and statistical analysis, to verify whether the selected variables conform to standards of building model, after the MS- VAR model is constructed, the system of Chinese stock market is divided into three zones, in different area, analyze is based on the premise that the actual impact of monetary policy on stock price. The results show that when the stock market is under a low loss, low volatility of the market situation, "quantitative" regulation of monetary policy is relatively good; and in high loss, high volatile market situation, result shows a negative correlation between them. In high yield, low volatility of the market, the money supply and the stock price is positive correlation; according to its impulse response function, the result shows that the "quantitative" regulation of monetary policy almost fails. In high loss, high volatility and high yield, low volatility of the market, the correlation between stock price and interest rate is positive; and in high loss, high volatility, "price" monetary policy is stronger, and it is also suitable cycle regulation; when the state turns into low loss, low volatility, this relationship will quickly become negative, which shows the inverse cycle regulation. Finally through the construction of DCC- GARCH model, study shows the dynamic relationship between monetary policy and stock price, the study also found that in economy maintained steady state, the interest rate and stock price has negative correlation relationship, but when the financial crisis and the subprime mortgage crisis is big and the economic impact of China’s monetary policy on stock price exists asymmetry. Thus, when formulating and implementing specific monetary policy, the market environment should be taken into consideration as important information, when it comes to decision making.The thesis is divided into four chapters. In the first chapter, it shows selected topic background and the meaning of thesis research, at the same time, it also concretely explains many representative views of western scholars and Chinese scholars about relationship between monetary policy and stock price. The second chapter mainly introduces the relationship between monetary policy and stock price of the related theory and the model adopted in this paper, empirical, DCC- GARCH model and MS-VAR model in detail the building principle. The third chapter is about the representation of the monetary policy and stock price index for selection and statistical description, using MS- VAR model analysis system of monetary policy and stock price in different area of relevance. The fourth chapter is based on DCC- GARCH estimation principle of monetary policy and stock price dynamic correlation test. In the last part of thesis are summary and suggestions for policies according to actual situation.