Analysis on Lagging Effect of Monetary Policy on Stock Index in the Complex International Financial Environment

摘要：

　　In recent years, the international economic environment is complex.The U.S.subprime mortgage crisis and Europes sovereign-debt crisis have brought many adverse effects.Chinas economy has undergone the steady and rapid growth, recession and inflation.The central bank has changed the reserve ratio and the interest rates many times in order to achieve the purpose of steady and health growth of economy.This paper investigates the impact of monetary policy on Shanghai stock index by using the model of ADL, Granger causality test and co integration test.The results show that monetary policy has the lagging effect on the Shanghai stock index.

关键词： Monetary policy Lagging effect Stock index Empirical analysis

作者: Diao Jiewen Niu Yujie

作者单位: School of Management, University of Shanghai for Science and Technology, Shanghai, P.R.China, 200093

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 43-49

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）