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本文基于1998年1月至2011年9月的月度数据,应用SVAR模型实证分析了货币政策与股票价格波动的关系。研究发现,股票价格对宏观经济变量和货币政策冲击具有即时反应,对货币政策变量的反应比较显著,其中货币供应量对股票价格波动的影响比利率更大。股票价格在短期内可以包含通货膨胀的信息,因此,央行在制定货币政策时应该高度关注股票价格变动。
Based on the monthly data from January 1998 to September 2011, this paper empirically analyzes the relationship between monetary policy and stock price volatility using SVAR model. The study finds that the stock price has an immediate response to the macroeconomic variables and monetary policy shocks, and the response to the monetary policy variables is more significant. The impact of the money supply on the stock price volatility is greater than the interest rate. Stock prices can contain inflation information in the short term. Therefore, the central bank should pay close attention to changes in stock prices when formulating monetary policy.