The Empirical Research Of Transmission Mechanism Of Monetary Policy Through Asset Price In Our Country

With the economic globalization, capital market is gradually perfect, capital market has become an increasingly important role on monetary policy transmission way. Some of the variables of monetary policy through capital market indirectly affects the real economy. The asset price of monetary policy conduction effect cause the attention of the government and scholars. There are a lot of the theoretic research and Scholars have gotten some common conclusion.But, the consensus on monetary policy transmission mechanism is based on the western developed countries’perfect market economic environment,Market environment in China and the western developed countries is quite different. Such as capital market in China started late, development is rapid, but development is not perfect, the financial system structure is unreasonable, etc.After he central bank separated of the banking regulatory responsibilities, monetary policy transmission mechanism problems also emerged. Losing the bank credit--the most important transmission of monetary policy as direct regulatory functions, the monetary policy transmission chain in virtually is elongated, that is to say, the central bank could have been directly controlling the number of credit and to originally, but now have indirect effect through money market operations.As a result,the effectiveness is at a discount greatly.Therefore, the existing research consensus of monetary policy transmission mechanism won’t be able to directly guide the implementation of monetary policy in China. In this context, using SVAR model, based on the theory of the effect of flow to research asset price transmission mechanism of monetary policy in our country, is not only the inspection of theoretical system in the west, but also has a practical significance to explore the specific way that monetary policy transmission in our country.This paper tries to research whether the asset prices can conduct monetary policy information in use of structural VAR model, basing on the theory of Mishkin flow effect. The monthly data is selected from 2007 to 2012 and the metrics are choosed narrow money supply, stock market capitalization, residential consumer price index and GDP respectively. By establishing the SVAR model and a series of measurement test, we draw the conclusion:the asset prices can conduct monetary policy weakly, but from the variance decomposition map, the capital market is having more and more strong influence on residents living consumption, while the effect on the real economy is weak.