为深入认知我国货币政策与股票市场间的传导机制，在阐述结构突变理论，揭示数据生成过程运行轨迹的基础上，选用2004年1月至2012年8月的月度数据，以货币增速剪刀差和上证综合指数为考察指标，利用滤波图分析、外生性与BLS内生性结构突变单位根检验及Granger因果关系检验方法，实证检验两者关系。表明货币增速剪刀差序列服从平稳过程，上证指数序列为含有在2006年9月和2007年7月发生结构突变的平稳过程。上证指数与货币增速剪刀差之间存在单向因果关系。%To cognize transmission mechanism between monetary policy and stock market in China , this paper expounds theory of structural change , and then selects scissors gap of money supply growth and Shanghai composite index from Janu -ary 2004 to August 2012 as investigation index .With various methods about structural change , this paper carries on the empirical analysis and shows that , scissors gap of money supply growth is a stationary process , but Shanghai composite index sequence obeys stationary process with structural changes in September 2006 and July 2007;Shanghai composite in-dex has a one-way causal relationship with scissors gap of money supply growth .
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