| In April of 2010, China launched the first mainland stock index futures products-the csi 300 stock index futures. The only launch of financial derivatives fills the gaps in Chinese stock market short selling mechanism, and improves the structure of capital market in China. In the past five years, Stock index futures in China mainland has played an important supplementary role on Chinese stock market, and provides investors with a risk control tool. It is an important breakthrough of financial innovation in our country. On the other hand, China’s financial markets are booming. The stock market scale expands inceasingly, and its important role in macroeconomic is also increasingly highlighting. As the stock market’s role rise increasingly in the monetary policy transmission, transmission of monetary policy in the stock market has won the wide attention from domestic scholars, making it become an important subject in the study of monetary policy.In addition, as the continuous development of international financial innovation. financial derivative types increases. The domestic and foreign scholars have to study the effects of various derivatives. Research direction includes not only the direct impact of financial derivatives on the financial markets, but also derived effect. Among them, the impact of financial derivatives on monetary policy has gained wide attention. But the study on this issue generally limited to a particular kind of financial derivatives, such as interest rate derivatives and bonds futures. Even there are a few comprehensive studies, they only discussed from theory Angle. Special research and empirical research of stock index futures is less. So in this paper, the author focuses on the impact of stock index futures on the transmission of monetary policy in the stock market by acting on the stock market prices, and then on national economy role through theoretical analysis and empirical research. It is a process in order to fill the blank of the scholar’s research before and to validate some scholars point of view. However, limited by the author’s research level and access to information, the article has much deficiency in model design and empirical research, hoping readers to comment.In the first part of the article, the author first expounds the research background and research significance, and then the relevant research results of scholars both at home and abroad are organized, and the mainstream view is summarized and evaluated in this part. The research content of this article are introduced in detail in the next part, and the article innovations and shortcomings are given.In the second chapter, the author combs theorys of monetary policy transmission channel in stock market and effects on stock prices, the influence of stock price on macro economic, and the influence of stock index futures on stock market prices separately. The author divides the transmission process of monetary policy in the stock market into two stages through combing the theory of monetary policy transmission in the stock market and the theory of stock index futures’s influence on the spot market. The two stages are monetary policy’s influence on stock market price stage and the stock market price’s influence on the macroeconomic stage. The stock index futures market for monetary policy conduction effect, the price discovery function of stock index futures and volatility spillover effect to the effect of monetary policy, as well as the stock index futures market imbalances for the effect of monetary policy are specifically elaborated. Stock index futures’s effect on monetary policy transmission is analyzed from the angle of theory.In the third chapter, the author does empirical research by constructing vector autoregression model, conducting series stationarity test and impulse response analysis. And then analysis is did by the test results combined with the economics meaning of variables. It is found that, ignoring the other influencing factors, the emergence of stock index futures market has indeed played a significant effect on the transmission of monetary policy in stock market. And according to the results of impulse response it can be found that the impact of stock index futures for stock market index are even more important than the effect of interest rates. Stock index futures increasing in the short term will lead stock market prices to rise, while the rise in interest rates will lead stock market prices to decline in the short run. But we can not prove that stock index futures playes an enhanced effect on the transmission of monetary policy in stock market.In the last chapter of this article, the author corresponds conclusions according to the above research results combined with background of China’s financial development in the future and the development of the stock market and stock index futures market. Then, the author puts forward policy suggestions on the development of the stock market of our country, the monetary policy transmission and stock index futures market development according to the empirical research... |
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