我国货币政策对股票市场流动性的非线性效应

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英文篇名：The Nonlinear Effect of China's Monetary Policy on the Stock Market Liquidity 作者：任爱华 ; 李鹏燕 ; 王姝 英文作者：REN Ai-hua;LI Peng-yan;WANG Shu; 关键词：数量型货币政策 ; 价格型货币政策 ; 股票市场流动性 ; 非线性效应 英文关键词：quantitative monetary policy;;price-based monetary policy;;stock market liquidity;;nonlinear effect 中文刊名：REFO 英文刊名：Reform 机构：河北金融学院金融创新与风险管理研究中心;河北金融学院保险系;林大学经济学院; 出版日期：2019-02-15 出版单位：改革 年：2019 期：No.300 基金：河北省金融创新与风险管理研究中心开放基金项目“美联储货币政策对中国产业结构的时变性冲击效应”(2018JDKF014);; 河北省哲学社会科学规划项目“正和博弈视阈下京津冀产业集聚的政策协同机制研究”(HB18YJ036);; 河北省高等学校科学研究计划项目“正和博弈视角下促进京津冀产业集聚的政策协同研究”(SQ181100) 语种：中文; 页：REFO201902012 页数：11 CN：02 ISSN：50-1012/F 分类号：125-135

摘要

基于时变参数模型,从不同货币政策类型的视角探讨货币政策对股票市场流动性的非线性冲击效应。研究发现,非线性效应主要体现在两个方面:一是政策模式非线性,从正向指标换手率和流动强度来看,数量型和价格型宽松货币政策都有利于为股票市场注入流动性;从反向指标非流动比率来看,价格型宽松货币政策不利于提高股票市场流动性,数量型宽松货币政策对股票市场流动性有较好的推动作用。二是时期非线性,数量型货币政策对股票市场流动性的影响在经济繁荣时期最强,在经济平稳时期最弱;股票市场流动性对价格型货币政策的敏感性在经济萧条时期最大,在经济平稳时期最小。建议央行在未来一段时间内采取数量型宽松为主、价格型紧缩为辅的稳健中性货币政策来促进股票市场流动性的回升。
        Based on the time-varying parameter model, this paper explores the nonlinear impact of monetary policy on stock market liquidity from the perspective of different types of monetary policy. It is found that the nonlinear effects are as follows: on the one hand, the policy model is nonlinear. From the positive index TO and the PS, both the quantitative and the price-based easing monetary policies are beneficial to the stock market liquidity. From the negative index ILLIQ, the price-based easing monetary policy is not beneficial to the stock market liquidity, quantitative easing monetary policy have a positive effect on the stock market liquidity. On the other hand, the shocking time is nonlinear, the impact of quantitative monetary policy on the stock market liquidity is the strongest in economic prosperity, the weakest in the period of economic stability; the sensitivity of stock market liquidity to the price-based monetary policy is the largest in the period of economic depression, and the least in the period of economic stability. It is suggested that the central bank should adopt a prudent monetary policy, which is based on quantitative easing as the principal instrument and price-based tightening as the supplement in the future,thus promoting the recovery of the stock market liquidity.

引文

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    (1)正文中分析的是价格型紧缩货币政策会产生负向影响,反过来意味着价格型宽松货币政策会产生正向影响。