The Sensitivity Of The Stock Market Price Fluctuation On Monetary Policy Analysis

The stock market as the "barometer" of the national economy in the operation of the macroeconomic aspects is a sensitive area. The volatility of the stock market has been the focus of the society and academic circles, the relation between the stock price and monetary policy is also increasingly close, the stock market share prices and the relationship of monetary policy also has been the attention by scholars at home and abroad, Interest rate policy is one of the important central bank monetary policy tools in our country.But in different financial situation, less researching the stock market prices on the sensitivity of the monetary policy response.Equity division reform is one of the important measures enacted in our country, this paper dedicated to study after the equity division reform the difference of the sensitivity of monetary policy on stock market prices under in Bull and Bear market.This thesis, based on deep study in the objective reality and relevant researches of montary policy and stock price,To establish the theoretical framework of the relationship of monetary policy and stock price.On that basis,the Bull and Bear market as samples, after shareholding reform.Using containing control variables VAR model, the ADF test, Granger causality test, impulse response and variance decomposition methods, researching the difference of stock market prices react to monetary policy between different financial situation.The main results of this thesis are as follows:Firstly,Bull market period, the money supply has the largest impact on stock prices, interest rates and stock prices move in the direction, with traditional theory of departure.By changing the money supply to influence the stock price is more appropriate,the effect of monetary policy bying changing by interest rates and credit is not obvious.Secondly,Bear market period,in the monetary policy credit has the most effect on stock prices,and has stronger explaination to stock prices.More than the sum of contribution of interest rates and money supply.By changing the credit to influence the stock price is more appropriate. Stock prices and interest rates and money supply, also have a close relationship.Monetary policy is more effective, and the implementation of monetary policy will be a "metropolitan" effect.Thirdly, comparing the results of Bull and Bear market periods,Stock price reactions to the interest rate exists asymmetry,And the sensitivity of the reaction is stable, duration is long.In the Bear market,the tightening monetary policy has an impact on stock prices,in monetary policy, interest rates is operable.In the Bull market period, interest rates and stock prices move in the direction, with traditional theory of departure.The interest rates has unstable impact on the stock market.By adjusting interest rates to affect the stock market is not operational.Bull and Bear market periods,Degree of stock price reactions to the money supply are similar, and with the same duration.Under the background of the bear market,the stock prices have higher recation to the credit, than that in the Bull market.