An Empirical Analysis Of Chinese Monetary Policy Stock Price Transmission Effect

In the dissertation,the object of the research is the stock price transmission effect of Chinese monetary policy.Based on the theory of the stock price transmission effect of monetary policy,the author firstly analyzes the micro basis and the financial environment,we find that the effect of commercial bank credit discrimination and credit concentration preference behavior,equity financing preference of listed company,investors herding behavior preference,selective behavior characteristics,and financial market segmentation will affect the stock price transmission effect of monetary policy.Secondly,the author sets up VAR model with monthly data from 1996 to 2016,and uses impulse response analysis,variance decomposition and regression analysis of econometric methods to analyze stock price transmission effect of Chinese monetary policy.The empirical results show that in the first step of stock price transmission mechanism of monetary policy,the monetary policy variables including the money supply and interest rate variables can affect the stock price through direct and indirect ways.In addition,the empirical analysis also shows that there is no significant wealth effect in Chinese stock market,and the result is due to the following reasons: the asymmetry of wealth effect of stock price changes in price rise period and decline period,the development of capital market and small scale of Chinese residents to participate in the capital market level deep,and the performance of stock market instability.An empirical test from the perspective of the source of investment funds and the cost that exist investment effect of stock price changes,the stock market has a significant impact on the scale of financing investment,the main reason is that Chinese stock market long-term strong equity financing of listed companies.Empirical results show that monetary policy will affect the stock price,thereby affecting the real investment,however,these results cannot prove the existence of the consumption effect of stock price.Finally,based on the empirical analysis,this dissertation also puts forward recommendations,including the attention of the stock price volatility and the establishment of index system,the establishment of the stock market volatility stabilization fund and intervention for intervention policy exit plan.