The Impact Of Monetary Policy On Financial Stability Based On TVP-VAR Model

After the financial crisis,the world gradually formed a consensus on preventing and defusing systemic financial risks and maintaining financial stability.China has also maintained financial stability as the top priority of the "Three Major Battles." Under the background of deepening financial reform,it has important and practical significance to explore the impact mechanism of China's monetary policy on financial stability,compare the differences in the impact of different types of monetary policy on financial stability.In addition,it is vital to resolve systemic financial risks,implement financial stability,and safeguard national financial security.Firstly,this paper analyzes the specific path and mechanism of monetary policy affecting financial stability;Secondly,this paper uses the monthly data of 17 indicators from January 2011 to December 2018 to constructed the financial stability index of the money market,capital market and commodity market.Furthermore,the overall financial stability index and the overall financial stability early warning index are synthesized by equal variance weighting method,and relevant dynamic time series analysis is carried out accordingly;Thirdly,this paper also constructs the TVP-VAR model by using the interest rate,the scale of social financing and the financial stability index obtained by the compilation,and analyzes the impulse response relationship between different lag periods and markets at different time points from the perspective of dynamic and static.The research in this paper shows that the changes in financial stability in different markets are contagious and linkage,and there are significant differences in the direction and extent of impact under different lag periods;The interaction between financial stability in different markets at a specific time has obvious differences,especially at the time of sample interval t2,the financial instability of the capital market has a greater impact on the money market than other markets,and the infection speed is even more fast;In general,whether it is a quantitative monetary policy or a price-based monetary policy,the shorter the lag period,the more obvious its effect on the regulation of market financial stability;When it is in a period of financial instability,the quantitative monetary policy has a short-term regulation effect,and the price-based monetary policy has a long-term regulation effect and is more significant than the short-term regulation effect.Finally,based on empirical and theoretical analysis,this paper proposes to improve the financial stability index,establish a joint regulation and control mechanism under the State Council's Financial Stability Development Committee,strengthen the precise regulation of financial stability,systematic regulation,and give full play to the impact of different monetary policies on financial stability.