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

The socialist economy under the "new normal" is in the period of "three periods of superposition",The adjustment and optimization of economic structure is difficult to achieve quickly,and it needs a relatively long adjustment period and adaptation process.It is facing development contradictions,such as mismatch of supply and demand,declining economic growth,etc.These contradictions will seriously affect China's economic stability and the steady improvement of overall national strength and must be taken seriously.In order to better solve these contradictions and further optimize our economic system.There is a need to expand aggregate supply through continuous supply-side structural reform,as well as strong demand to absorb it.As the most important capital market in China,the stock market absorbs a lot of investment demand and constantly adjusts the aggregate supply level of society.And China's monetary policy regulation has an important influence on the healthy and stable development of the stock market.This article mainly studies the effect of quantitative monetary policies and price monetary policies on the development of stock market in different macroeconomic backgrounds.This article from the research status on the impact of monetary policy on the stock market and the analysis of the theoretical review began,revolving the thread of the status-mechanism-empirical analysis-the conclusion-suggestion,based on the macroeconomic information of China's different economic development stages,macroeconomic factors are extracted to represent macroeconomic performance.By choosing in January2004 to December 2016 in the eight kind of macroeconomic data,monetary policy and stock price index data of macroeconomic information set,and handle the data standardization,set up a system of macroeconomic indicators to represent our country macro economic development into the monetary policy system through analyzing the stock market price index.This paper related theory of the impact of monetary policy on the stock market and scholars both at home and abroad research results are analyzed,then use the DCC-MVGARCH model and TVP-SV-FAVAR model respectively for of stock price index,money supply and interest rates on the stock market influence mechanism are empirically tested.Through the DCC-MVGARCH model empirical analysis money supply and interest rates has obvious dynamic correlation with stock price index.Next,respectively,in the early of the shareholding system reform,the financial crisis,economic growth,economic structure transformation in the early period and the "supply side" structural reform,the five typical mechanism of monetary policy impact on stock price during the period of study.Establishing the TVP-SV-FAVAR model,studied the time-varying characteristics of the quantitative monetary policy and the influence of the price monetary policy on the stock market.And make the conclusions that :The effect of monetary policy on the stock market is obviously asymmetric,Price monetary policy is more long-term and stable than quantitative monetary policy in regulating the stock market,The monetary policy of the "supply-side structural reform" period was more stable and effective than in previous periods.Finally puts forward four policy suggestions.First,The development of the stock market should driven by different monetary policies for different stages of economic development.Second,More macroeconomic information should be included in the monetary policy system.Three,expediting the establishment of a virtuous transmission mechanism between the money market and the stock market.Four,further deepening reform of the stock market.