The Econometric Study About Chinese Stock Market Affectting Monetary Policy Transmission Mechanism

From 90's in 20 centuries, along with the quick development of economic and the market economy system reforms going forward deeply and deeply, our capital market develop rapidly. Specially, the core of capital market, the stock market, which position and function rises increasingly in the whole financial system. Stock market and listed company increasingly deeply influence the national economy. The stock market begins to do positive function on transferring monetary policy and playing influence of monetary policy impacting actual economic activity. Specially, the development of stock market drives the transformation of the total and frame of the financial capital, and further effects the amount and frame of financial capital, and changes investment, saving and consumption of corporation and denizen, at last effects monetary policy making. The development of stock market already becomes the important factor influencing the money demand. It challenges the traditional policy that only does make money supply as the intermediate goals, so the research about the monetary policy transmission mechanism of stock market becomes more important.The article uses VAR and impulse response function, variance decomposition, Granger causality test accurately measure the process that the variables influence each other in the system. The article bases on the co-integration judge whether choose the VECM. The article research two aspects, the first one measures the wealth effect and investment effect when stock market transfers the monetary policy. The second one analyses that the development of stock market influence different level money supply.The research result shows that the wealth effect and investment effect of stock market aren't obvious and have big difference with developing country. The increasing of stock price influences M1 more than M2, besides that the stock price influences the monetary fluidity obviously. At last, the article according to the state of monetary policy transmission mechanism of stock market, puts forward some advice about strengthening the validity of stock market, and improving on monetary policy.