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| 文章编号：1672-3104(2012)04-0014-08 |
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公开市场操作对股票价格有无影响？
--一个基于SVAR模型的实证分析 |
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王保谦 |
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（东北财经大学研究生院，辽宁大连，116025） |
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| 摘 要： 公开市场操作已逐渐成为我国主要的货币政策工具之一。通过采用施加了短期约束的向量自回归(SVAR)模型、应用Johanson协整检验、Granger因果检验、脉冲响应函数和方差分解等计量经济学手段，对公开市场操作之于我国股票价格影响的实证研究结果显示，公开市场操作对我国股票价格的影响并不显著，说明货币政策似乎尚未成为影响我国股票价格的主要因素。在我国，股票价格的货币政策传导效应并不明显，我国央行干预股市的能力仍较为有限。同时，股票投资者无法根据央行公开市场操作而获取超额收益，投资者在股票交易时无需过分关注央行的公开市场业务。 |
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| 关键词： 货币政策；公开市场操作；股票价格；SVAR；资产价格 |
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The Impact of Open Market Operation on Stock Prices: A Structural Vector Autoregression (SVAR) Approach |
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WANG Baoqian |
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（Graduate School of DongBei University of Finance & Economics, Dalian 116025, China） |
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| Abstract: This paper assesses the impact of open market operation on stock prices in China using Johnson Cointegration test, Granger Causality test, Impulse response function and Variance decomposition in SVAR model. The results indicate that the impact of open market operation on stock prices is not significant. The results also suggest that the stock prices play little role in the monetary policy transmission in China and it seems that Peoples’ Bank of China has little ability to intervene in the stock market. On the other hand, investors can not obtain excess returns from stock market according to open market operation of PBC. |
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Key words: Monetary Policy; Open Market Operation; Stock Prices; SVAR; Asset Prices |
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