The Impact of Monetary Policy on China's Stock Prices Base on TVP-VAR Model

摘要

With the background of the government's DE-leveraging policy, the central bank has created macro-controls for the capital markets by formulating different monetary policies during different economic cycles in recent years. Unfortunately, in existing research results, scholars have usually only measured the effects of monetary policy based on the response of the stock market to the monetary policy during that same period. Therefore this article makes a time-varied analysis of the specific impact of monetary policy by using the TVP-VAR model. At the end of the paper get the following conclusions: The impact of money supply on cyclical share price, when the economic cycle going up, the impact is negative, when the economic cycle going down, the impact is positive; The impact of money supply on non-cyclical share price is positive; The effect of interest rates on cyclical share prices depends on the proportion of stock price bubbles is negative; The effect of interest rates on non-cyclical share prices depends on the market expectations is positive.