| With the rapid development of China’s capital market, especially the stock market, it plays a more and more important role in the market economy. By Tobin’s q effect, the liquidity effect, the wealth effect, the asymmetric effect and the inflation effect, monetary policy can have effects first on the stock market, and then transmit to the real economy. In this way, the interaction between monetary policy and stock price is an important step in the monetary policy transmission mechanism. The efficiency of the stock market determines the efficiency of the monetary policy adjustment. In this paper, the author uses a combination of normative and empirical research to explore the impact of China’s monetary policy on stock price.This article first summarizes the relevant theory about the monetary policy transmission mechanism through stock market. Then, the author analyzes how the change of the money supply, the interest rate and the deposit-reserve ratio influence the stock price in a theoretical way and quantitative way. The quantitative method includes Vector error correction model, Granger causality test, impulse response function and event study. The results show that money supply has a positive correlation with the HS300, but the effect is very week; in the long-term, the relationship between them is negative, which is contrary with the theory. Interest rate has no long relationship with the stock price and has no significant impact on the stock price when it changes. The deposit-ratio has relatively significant impact on the stock price, but the degree and orientation of the response is quite different in different time and market expectations, which is not entirely consistent with the traditional theory. Finally, on the basis of the empirical results, the author raises some suggestions on how to improve the efficiency of China’s stock market, and make the monetary policies really have influences on the stock market, then on the real economy. |
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