Asymmetric Effects Of Monetary Policy On Stock Price Volatility

In January 1984,the people's Bank of China specially exercised the functions of the central bank,which marked the beginning of the practice of China's real monetary policy.The establishment of the Shanghai stock exchange and the Shenzhen stock exchange in December 1990 marked the gradual normalization of China's securities market.Since then,through gradual reform,the transmission mechanism of monetary policy tends to improve,and the influence of monetary policy on the stock market is more unimpeded.The study of monetary policy in the asymmetric stock price in different stages affect the stock price volatility,and provide theoretical and empirical basis and the corresponding policy recommendations for the monetary authorities,in order to improve the effectiveness of monetary policy affects stock price volatility.The article takes the present situation of the problem-theoretical analysis-Empirical Analysis-the research idea of putting forward the conclusions and policy recommendations,and combining qualitative analysis and quantitative analysis.In the aspect of qualitative analysis,summarizes and analyzes the transmission mechanism of monetary policy affect the stock price volatility,and then elaborates the operation situation of using monetary policy and stock market,and the relationship between monetary policy and stock price volatility and descriptive statistical analysis.In the quantitative analysis,this paper constructs the structure vector autoregressive(SVAR)model,and analyzes the asymmetry of the stock price volatility through impulse response and variance decomposition.The innovation of this article includes two aspects: Theory and demonstration.In theory,analyzes the effect of monetary policy and stock price asymmetric transmission mechanism,through the descriptive statistics on the relationship between monetary policy and stock price volatility analysis found that monetary policy affects the stock price volatility has significant asymmetry in some period of time.Empirical analysis: compared with the VAR model,the SVAR model can reflect the current relationship between variables,and has more economic significance.The descriptive statistical analysis found that the changing trend of stock index and monetary policy variables have high correlation,and the changing trend of monetary policy variables significantly lagged stock price index,which makes the effect of monetary policy on stock price has an asymmetric effect in some period of time.Impulse response analysis shows that: the money supply,interest rate,output and inflation in the stock price volatility on different stages of direction completely opposite to the effect of the exchange rate effect in two kinds of situation in the same direction;all variables in the impact of monetary policy on stock price rise phase fluctuations fell significantly greater than the stage.The variance decomposition analysis shows that the contribution rate of output to stock pricechange is the largest in the two situations,and the contribution rate of output in the rising stage is less than the contribution rate in the declining stage.In the rising stage of the stock market,the direct impact of monetary policy on the contribution rate of stock price volatility is greater than that of the stock price decline stage.The indirect impact of monetary policy on the stock price fluctuation is smaller than the stock price decline stage in the rising stage of the stock market.In addition,the contribution rate of interest rate to stock price fluctuation is smaller in the two stages.The article in the stock market policy recommendations include: to expand the scale of stock market,optimize the market structure;reduce administrative intervention,increase market factors;improve the market operation mechanism and laws and regulations,and promote the healthy development of the stock market.The article in the stock market policy recommendations include: the monetary authorities in the process of formulating monetary policy to stabilize stock price volatility as the sub goal,should be the price office situation as an important decision variables;reaction mode of monetary policy to deal with the fluctuation of stock price should be regular and flexible combination;proper selection of quantity or price type the tools of monetary policy to stabilize the stock price fluctuation.