| Since the 1990s, along with the quick development of economic and the market economy system reforms going forward deeply, our capital market has developed rapidly. Specially, the stock market, the core of capital market, which position and function rises increasingly in the whole financial system. Stock market and listed company increasing 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 economy activity. Therefore, the thoroughly research on the monetary policy transmission mechanism of stock market becomes more important and significant.Based on the transmission mechanism of monetary policy through China's stock market, the article takes stock prices as a target variable, researching two aspects. The first one analyses that the impact of monetary policy on stock market (The internal transmission mechanism). The second one measures the wealth effect and investment effect when stock market transfers the monetary policy (The external transmission mechanism) .The article uses VECM, ADF Test, Johansen Test, Granger Causal Relation Test, Impulse Response Function to accurately measure the process that the variables influence each other in the system.The research result shows that there is some interactive effect between stock market and monetary policy, but the interaction effect is relatively weak and unstable. The impact of monetary policy on stock market is not significant. The impact of interest rate on stock market is significant, but there are some time-delay factors. The wealth effect and investment effect of stock market are not significant and have big difference with developed countries. At last, according to the current situation of monetary policy transmission mechanism of stock market, the article puts forward some advice about increasing the effectiveness of monetary policy transmission mechanism. |
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