The Research On The Stock Marked Path Transmitted By Monetary Policies

Since the 1990 s,the capital market has entered a stage of rapid development.Virtual economy has become an important part of the world economic structure,but the instability of the capital market also results in serious negative impacts,and the stock market volatility always tends to spread to the real economy.Under the background,economists have started detailed research on a series of hot economic issues,such as the relations between monetary policies and stock market volatility and the impacts of stock market volatility on real economy.Compared with western countries,Chinese stock market has set up for a short time,which belongs to the emerging markets without solid market foundation,so there are many unknown risks and uncertainties not effectively identified.Due to the great differences between China and western countries in the national conditions and economic systems,the relevant theories and research results of western countries cannot be fully applied to the study of China’s economic phenomena.On the basis of the reference to existing research results and conclusions,this thesis,by the methods of system engineering and econometrics,based on the real characteristics of the Chinese economy,combined with nearly 20 years of history data,provides the systemic research framework for the subject research on the stock market path transmitted by monetary policies.In this paper,the research problem is decomposed into two parts.First of all,this thesisstudies whether Chinese monetary policies will affect the stock market from various angles,and further studies how monetary policies transmit the real economy through the stock market path on the basis of confirmed the former problem.The main research contents are as follows:In the first place,this paper analyzes the stock market path transmitted by monetary policies theoretically.Firstly,It establishes the mathematical model of stock price and volatility,and expounds the transmission mechanism of monetary policies to the stock market.Secondly,it analyzes theory models of price and output impacted by the stock market through “inflation channel”,“Tobin’s Q effect”,“balance sheet effect”,“wealth effect” and “liquidity channel”,and establishes the mathematical model of monetary circulation and financial speculation of the real economy,the mathematical model of asset price volatility and price output,on the basis of which,the systemic model of "monetary policy-stock market-price output" is derived.Next,combined with the theoretical basis of monetary policies influencing the stock market,under the system time-varying framework,the time-varying parameter vector auto-regression model(TVP-SV-VAR)is established.The model contains five variables,monetary quantity,interest rate,stock price,stock market turnover and stock market yield.The Bayesian estimation method of the model and the Monte Carlo simulation of the posterior distribution can realize the time-varying characteristics of parameters.The results of the Johanson co-integration test show that there is a long-term equilibrium relationship between monetary policy variables and stock market variables.The nonlinear BDS test and the nonlinear Granger causality test find that with the lag of oneto four order the monetary policyis largely the nonlinear Granger cause of the stock market variables.By 50,000 MCMC sampling simulations of the model,the results show that the VAR system model can describe the transmission characteristics well.Through the analysis on the time-varying relationship of stochastic volatility of each variable and the time-varying relationship of impacts between variables,it can be found that the time-varying characteristics of the stochastic volatility of monetary amount and interest rate and that of stock prices and overturns are synergistic,and that the marketization reform of interest rate has made the transmission channel of interest rate to the stock market unobstructed after 2013,which has the substitution effect on the transmission of monetary amount.When analyzing the time-varying impulse response of monetary policy to the stock market,the analysis is carried out with the usage of the equispaced impulse response function and the time point impulse response function and the research finds that the monetary policy of China has real effect in the short term and lacks long-term lasting effect.It is tested that the structural mutation phenomenon of “monetary policy-stock market” stochastic dynamic equilibrium system.There are two structural mutational points in the system transmission process,which found through the multiple structural mutation test of the Bai-Perron system.In combination with information on stock market policy reform at two time points,it is found that the reform of stock market plays a significant role in improving the stock volume-price relationship and that margin lending has improved the functional mechanism of the monetary policy in the stock market,but has worsened the stock volume-price relationship.Then,this thesis takes into consideration that the stock market has three market conditions,such as expansion period,stable period and downturn period,and further studies the effect of monetary policy on the stability of stock market under the three-regime system.The stock price,stock market volatility and liquidity indexes of stock market system are selected to describe the stability of stock market and verify the strong system liquidity of Chinese stock market.The influence system was divided into three regimes by using Markov regime switching vector auto-regression model(MS-VAR)to study the influence of monetary policy on stock market stability in different regimes.The results of MSIH(3)-VAR(2)estimation show that Chinese stock market has been in stable period for a long term,but the instability has remarkable inner periodicity.This thesis analyzes the monetary policy reason of the instability of stock market in China by calculating unconditional continuous probability,switching probability and cumulative change effect of monetary policy variables while regime switching.Using impulse response in different system regimes analyzes the response function where the stability of stock market is impacted by the monetary policy in different conditions,thus it is found that the changes of monetary policy have an impact on stock prices and meanwhile has a smaller long-term lasting impact on the stock market volatility and a short-term severe impact on the system liquidity of stock market.The dynamic prediction and accumulative prediction of the 60 periods of variable turns out that in the next five years,the stock price will have a certain cyclical volatility that won’t be violent and at the same time,the regime switching probability of the system is predicted.Finally,this paper studies how monetary policy can transmit the real economy through the stock market.It establishes the “monetary policy-stock market-price output” system model and due to the complex influence relationship between three subsystems,in order to accurately describe the channel effect of stock market subsystem in the transmission process,this thesis sets the nonlinear threshold logic smooth transition model,taking the monetary policy and stock market as subsystems,and analyzes the impacts of transition subsystems on other two subsystem in the process of smooth transition.On the basis of selected transition function of threshold logic smooth transition system model,the transmission process is simulated by 2D grid optimization search method to predict the velocity parameter γ and threshold parameter c.By generalized impulse response function(GRIF),this thesis analyzes the impact of stock market on real economy in the process of monetary policy transition and the impact of monetary policy on real economy in different conditions of stock market,and verifies the asymmetric effect of monetary policy in the transmission process.It also finds that stock market has relatively high maturity and better allocation capability on the currency while confirming that Chinese stock market has good inflation effect,wealth effect and systemic liquidity effect.At the same time,it is concluded that the stock market has undertaken the “barometer”function on the national economic development,and that the policy authorities should fully consider the stock market in the process of setting monetary policies.