Research On The Time Lag Of Monetary Policy Transmission In The Stock Market

In the new economic environment, stock market is increasingly becoming a mature monetary policy transmission channel.Because of this conversion, this paper breaks through the traditional channels of monetary policy transmission constraints,puts forward the importance of stock market being the monetary policy transmission channel in the new situation. By selecting suitable index system, dividing the sample space according to the research purpose and building SVAR model, this paper analyzes the dynamic response of monetary policy transmission in the stock market. And on this basis, gets the time lags of monetary policy transmission in the stock market under different sample space.First, on combination of related domestic and international research on time lag,this paper ascertains verifying the existence and the non-symmetry under different economic cycles of monetary policy transmission time lag in stock market as a central issue in this study. This part mainly defines the effect time lag of monetary policy transmission in the stock market and gives a normative analysis to the effect time lag formation mechanism. Second, through the impulse response function analysis and variance decomposition,directing at the full sample space of data, the empirical analysis verified the existence of effect time lag of monetary policy transmission in the stock market, obtained the dynamic volatility process of stock market and the time lag under the full sample space during the whole time lag process. Again, this paper hypothesized that unpredictable money supply would have the greatest impact on the stock market and did the empirical analysis. After dividing the broad money supply indicator into the predictable and unpredictable parts of the broad money supply, it verified the unexpected broad money supply to be the greatest monetary policy tool that affect the stock market value mostly just consistent with the assumption . Finally, after a more scientific system of indicators adjustment, through the rational division of the sample space,this paper obtained the length of the time lag and the dynamic response during the whole effect time lag. All the empirical results above revealed the existence of time lag of monetary policy transmission in the stock market and the dual non-symmetry including the length of time lag and the dynamic response during the whole time lag process under different economic cycles .By revealing all of the above conclusions about the dynamic effects process and the length of the time lag related to monetary policy transmission in the stock market,this paper provided theoretical support t for the formulation of monetary policy.