货币政策对我国股票市场流动性风险的动态效应研究

摘要笔者选用货币供应量的对数增长率和银行间同业拆借7天加权平均利率刻画我国货币政策的变化,采用ARMA(1,1)-GARCH(1,1) 模型测算股票市场流动性风险,运用MS-VAR模型分析了1997年1月至2015年3月货币政策对我国股票市场流动性风险的动态影响效应。实证分析结论如下:流动性变化率与货币供应量增速之间具有动态正相关,流动性变化率与利率呈现出明显的动态负相关,并且流动性变化率与货币供应量增速及利率之间的相关性具有较大的波动;我国股票市场流动性风险呈现出高流动性风险、中流动性风险和低流动性风险三个区制特征;货币供应量增速和利率对市场流动性风险具有非对称性影响,不同时期的影响效应不同。

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	金春雨
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关键词：货币政策股票市场流动性风险 MS-VAR模型

Abstract： The paper uses the logarithm growth rate of money supply and interbank weighted average interest rate of 7 days to describe the changes in the monetary policy of China. And using ARMA(1,1)-GARCH(1,1) model to estimate the liquidity risk of China’s stock markets. And we analyze the dynamic impacts of monetary policy on stock market liquidity risk from January 1997 to March 2015 of China’s stock market by MS-VAR model. The empirical results show that: there has a positive dynamic correlation between the change rate of the stock market liquidity and the growth of money supply; the change rate of the stock market liquidity and interest rate exhibits a significant negative dynamic correlation; the correlations between the change rate of the stock market liquidity and the growth of money supply and he correlations between the change rate of the stock market liquidity and interest rate have a lager fluctuations. The liquidity risk of China’s stock markets is characterized by three regimes: “high liquidity risk”, “middle liquidity risk”, “low liquidity risk”. The growth of money supply and interest rate has an asymmetric effects on the liquidity risk, and the degree of influence is different in different regimes.

Keywords： Monetary Policy Stock Market Liquidity Risk MS-VAR model

收稿日期 2016-03-28; 接受日期 2016-03-28;

基金资助:国家社会科学基金项目(10BJL041);吉林省科技发展计划软科学研究项目(20130420035FG)

作者简介: 金春雨(1965- ),女,吉林梨树人,教授,博士生导师,主要从事金融计量分析与产业经济计量研究;张浩博(1987- ),男,山东菏泽人,博士研究生,主要从事金融计量分析研究。

引用本文:

金春雨,张浩博.货币政策对我国股票市场流动性风险的动态效应研究[J]. 经济经纬, 2016,2: 150-155

JIN Chun-yu, ZHANG Hao-bo.An Analysis of the Dynamic Relationship between Monetary Policy and Stock Market Liquidity and the Asymmetric Effects of Monetary Policy on Stock Market Liquidity Risk in China[J] Economic Survey, 2016,V33(2): 150-155

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2016/V33/I2/150