Empirical Study On The Relationship Between Financial Asset Prices And Monetary Policy

As the financial market of our country develops rapidly, the problem of relation between the assets price fluctuates and monetary policy becomes one of the hot problems studied in recent years, and people have concerned the function of the financial assets price in the monetary policy increasingly.This paper mainly answers such a question: When the Central Bank determines the monetary policy, should take the assets price into account? Should pay close attention to the assets price? How can we bring the assets price into visual field of the monetary policy? Besides two parts of introduction and conclusion, entity's part of this paper divides to three parts:In the first part, this paper has analyzed the relation between the assets price and theory of the monetary policy, which are directed primarily to the question that has mentioned in introductions and then we carry on quantitative analysis. The basic conclusion that we draw is that the price| fluctuating of the financial assets will exert an influence on the monetary policy, such as the conduction mechanism of the monetary policy, the validity of the monetary policy and so on. In order to realize the goal of monetary policy better, our country should pay close attention to assets price fluctuating while making the monetary policy at the same time.In the second part, we have established the theory model between assets prices and the monetary policy relation on the basis that the theory is analyzed. If traditional monetary quantity formula is one two-department model, bringing fictitious economy within it, the model of two departments will be turned into a three- department model through expanding the Cambridge equation.In the third part, this paper has set up VAR model and vector error revision model (VECM) on the foundations of three departments theory model between relation of assets price and the monetary policy, and from some separately analyzed the real example to the assets price with monetary policy final goal (inflation and economic growth) and monetary policy intermediary goal (money supply and interest rate), then set up VAR model of five variables on the whole and carry on a series of test and real example analysis. Through analyzing of series of real example such as Johansen Coin-tegration Test, Granger Causality Tests, Impulse Response function analysis and Variance Decompose Analysis, this paper has carried on the qualitative answer to a series of question. The basic conclusion is that the assets price fluctuating has long-term Coin-tegration relation with economic growth, price change, currency supply the true interest rate; Mutual Granger Causality relation between index of the stock price and inflation exist; The index of the stock price is Granger reason of the interest rate, but the interest rate is not Granger reason of the index of the stock price fluctuates, Granger causality does not exist between the composite index of Shanghai Stock price and other macro-economy variables such as economic growth and the currency supply; The fetching value with the future or at present at of the stock price fluctuation will be influenced by the macro-economy variable besides it's own influence. In addition ,the stock price will influence the macro-economy variable too.Finally, in the conclusion part this paper has done the preliminary discussion to this central proposition that whether we should take the assets price into account, should pay close attention to the assets price when the Central Bank determines the monetary policy? How to bringing the assets price into the visual field of the monetary policy? Then we can obtain a series of empirical results and provide the corresponding policy recommendations.