Dynamic Correlation between Monetary Policies and Stock Price

摘要：

This paper researches on the dynamic relations between M1, M2, commercial banks loan interest rate, CHIBOR and the stock price of China with the methods of HP filter, Granger causality test, bidirectional relations between monetary policy variables and the stock price, and that the positive effect of monetary policy on stock price exists while the transmission efficiency is low; the feedback function of stock price to monetary variables is higher than the positive effect of monetary policy on stock price. Therefore, as the reference index of monetary policy, stock price should be monitored and regulated by currency authority to enhance monetary policy efficiency.

关键词： Monetary Policy Money Supply Interest Rate Stock Price

作者: Xue Yonggang

作者单位: School of Management, China University of Mining &Technology, Xuzhou, P.R. China, 221116

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）