The Impact Of Monetary Policy Cycle On Stock Market:a Comparative Study Between China And United States

Recently, the gradual establishment of the stock registration system marks the step forward of the Chinese capital market in the increasingly open road. The healthy development of the financial market is more and more related to the balance and stability of national economy. Monetary policy as one of the most important means to guide financial market plays an important role in guiding the healthy development of the stock market. But in the tightening and expansion period, the adjustment of the monetary policy on the stock market was significantly different. Therefore, how can we take effective measures in different period to guide the development of the stock market has become the focus of scholars and policy makers.This paper from two aspects of theory and empirical to analysis of the impact of monetary policy to the stock market in different period of Sino American monetary cycle. By the methods of vector auto regression model, cointegration test, impulse response and variance decomposition to analysis of the impulse response of the two national stock market. At the same time, this paper goes deep into the representative industry level to verify the pulse performance after the monetary policy shock. This study found that, in the monetary tightening period, the Sino American stock market will produce the expected response to monetary stimulus, but in the monetary expansion period, the monetary policy and the stock market volatility does not exist a long term stable relationship. The conclusion has show that the monetary policy during the monetary tightening period will be significantly more effective than monetary expansion period. In addition, compared with the American stock market reaction on monetary stimulus, Chinese stock market are the time delays, which indicates a problem of poor conduction mechanism of monetary policy. The further development of the capital market, the central bank and the relevant financial regulators should pay attention to two issues: First, implement the appropriate monetary stimulus during the different monetary cycle; Second, in order to effectively play the guiding role of monetary policy, the regulators should clear the monetary policy transmission mechanism.