Empirical Analysis On The Stock Price Of The Influence Of The Monetary Policy In Our Country

With the rapid development of China’s economy, the stock market as the core ofChina’s financial markets has been more and more attractive. However, as a high yieldinvestment product, it is also accompanied with huge risk. No matter the AmericanGreat Depression in1931or the financial crisis in2008, we notice the tremendousimpact of the financial markets on the real economy. In the previous financial crisis,the government always acts a very crucial role. Whenever the financial crisis happens,it always takes quantitative easing monetary policy through adjusting interest rates,deposit reserve ratio, and other means to ameliorate the money supply in financialmarket.So the relationship between stock price and government monetary policy, aswell as some other major macroeconomic variables become an important issue.This article is on the background of China’s economic environment and financialmarkets. First, we discuss the changes of government monetary policy, the output gapand other macroeconomic factors which produce a non-deterministic influence on thestock price. Then we build the adaptive coefficient nonparametric model, usenonparametric method to depict the government’s monetary policy, output gap, the rateof inflation and other macroeconomic factors which have nonlinear andnon-deterministic effects on the stock price. Then we use the kernel estimation, profileleast squares, local linear estimation and other methods to build a comprehensiveanalysis of the algorithm for estimating the coefficient functions and the dependentvariable of the model. At last we estimate the model using the Matlab softwarecombined with the actual data. Then we compare the non-parametric model with thetraditional New Keynes model in both fitting effect and the explanatory power, whichconfirms the validity of the adaptive coefficients nonparametric model. Then we givethe quantitative interpretation of government monetary policy adjustments caused bychanges in the stock price with non-deterministic phenomenon, reveal the internalworking mechanism of this phenomenon, and provide a reference to the investors froma rigorous quantitative analysis point of view. At last, we analysis the influence ofmonetary policy, economic output and the rate of inflation on the stock price by theVAR model on the basis of the Granger causality test and impulse response function.