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
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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
JIN Chun-yu1,2, ZHANG Hao-bo2
1.Quantitative Research Center of Economics, Jilin University, Changchun 130012, China; 2.Business School, Jilin University Changchun 130012, China
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.
JIN Chun-Yu,ZHANG Gao-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. Economic Survey, 2016, 33(2): 0150.
2016, Vol. 33 
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