| From 1994 to 2007, China's GDP growth rate has gone through a process of rise and decline. At the same time, during this period, China's stock market has also gone from a development of early establishment to the medium-term of the transitional process, the stock market was described as the country's economic "barometer", as an integral part of the financial markets,stock maret plays a major role in the social capital configuration process. At the same time of stock market gradually improving, China's interest rate policy has changed,instead of strictly controlled by the Government ,the new rate policy is gradually liberalized. Interest rates is the main currency metric scalar, and monetary policy is the main means of regulation. However, in the real economy, China's stock market reflected by the changes and GDP growth rate and interest rate changes are abnormal phenomenon. Mainly as follows: from 1994 to 1999, China's GDP growth rate declined by the year, our country was in economic austerity period, but the stock price index performance for increased year by year. more over, during this period, there had been both appeared that short-term interest rates and stock price index fell; from 2000 to 2007, China's GDP growth rate increased year by year, our country was in the period of economic expansion, but at this stage, China's stock price index in 2000 to 2005 while the decline for the year, and long-term changes in the level of interest rates and changes in the same direction, in late 2005 to 2007, with the price index to rise with the level of interest rates, and the increase in the stock index. All the performance above reverse contrary to the conclusions of volatility of more traditional economic theory of the stock market "barometer", as well as the stock yield and interest rates. Abnormal fluctuations of the stock market on the reasons behind the phenomenon, understand the present stage of China's economic situation, and the regulation and control of monetary policy is of vital importance.In this paper, we using lagging variable model and AR-GARCH model and combined, and we selected ShangHai stock price index week data from 1994 to 2007, seven days lending rate week data to estimate the economic variables and fitting, and in accordance with 14 years of GDP growth rate, embodied in the different sub-analysis of the phenomenon of China's economic cycle on the stock yield and the relevance of the interest rates in different economic times .This paper selected by the lagging variable model is described with be interpreted variables and the relationship between their own lag, as well as the explanatory variable lag between the current model and, more changes in the situation, therefore, the study of China's stock market volatility during the period in different economic embody different, as well as the lagged effects of changes in interest rates and the lag effect of the current problems is extremely important. At the same time, the use of the AR-GARCH model after model estimates of the residual estimated. Improved model fitting and prediction accuracy to solve the traditional estimation model in the self-related issues.Through empirical study, we found that at the slowdown in the rate of economic growth stage, the level of China's stock yields mainly by the impact of their own historical information, and the level of interest rates on short-term changes in non-response; in the rate of economic growth increased, the stage of China's stock gains both impact of the level of their own historical information and current interest rates and the lag effect. Positive results with the actual economic background, this paper argues that in the period of economic contraction, resulting in China's interest rate policy of the main reasons for the failure: China's stock market in the initial stage of development, market mechanisms, and is not able to completely digest the information changes in interest rates ; China's interest rate level in a period of economic austerity higher than money markets and capital markets balanced level, beyond the changes in the elastic range, the reduction in interest rates ineffective capital flows to the role of the stock market as a result of information from interest rate changes affected. This article holds that produce this period China's stock index and interest rates reverse the reasons for the volatility is not the level of interest rates reduce the impact of changes ,the main reason is enterprises to increase relative returns, and not the real value of assets. In the period of economic expansion, the yield votes and the delayed impact of current interest rates, monetary policy effective, the stock market in China's gradual shift from the initial development stage of maturity. Fluctuations in the stock market by the level of interest rates under the premise of change, resulting in abnormal fluctuations of the stock market as the main reason, although China's stock market fluctuations affect the level of interest rates, however, the impact lag effect early in the economic expansion ,enterprises need to the negative effect of digest economic austerity period, investment demand has reduced, meanwhile, investors in the market by the impact of lower expectations, stock prices fell. In the 2005-2007 period, China's GDP growth rate remained at a relatively high level, the level of interest rates remain at a relatively low level online, although interest rates continue to increase, but far less than the level of effectiveness of alternative values, It can't cause the liquidity of money from the Capital currency market to the money market. At the same time, economic growth brought about by the value-added enterprises were much greater than raising interest rates cost , the corporate earnings of economic growth can not be offset by the increase of interest costs.This paper is divided into four chapters. Chapter 1 for the introduction of the mainly on research background, and at this stage, China's stock market fluctuations on the main performance, and ask questions that there are abnormal fluctuations of the stock market, the paper briefly describes the research ideas and research methods, the model to be brief introduction; Chapter 2 as part of the theory, introduced related research in the field of traditional theory and the study of China's actual economic phenomenon in the limitations, and general issues related to the present stage of the main research results at home and abroad; Chapter 3 for Empirical Research on part consists of data selection, data processing, model selection, model estimation of the rate of China's stock return and the interest rate of the link between the empirical test; Chapter 4 for the main contents of typifying Facts and relevant policy recommendations, in this chapter, According to the empirical results and actual economic situation, China's stock market anomalies were analyzed, and reached an important conclusion that the main reason for failure of monetary policy is the level of interest rates which were far from the market balanced. Meanwhile, order the development of China's stock market reform and monetary policies of the relevant policy recommendations. Finally, the Institute for the conclusions reached in this paper a summary and elaboration.In this paper, model fitting of a higher estimate, and to be able to reflect the real economic phenomenon. This paper concluded on the formulation of China's monetary policy and the direction of the development of the stock market plays an important theoretical value. |
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