Research On Dynamic Impact Effect Of Monetary Policy And Fiscal Policy On Stock Price

The stock market is the barometer of economic development,and the stability of the stock market is of great significance to the stability of the financial market and the healthy development of the economy.In the process of the development of China’s stock market,the stock market often fluctuates with great ups and downs.Facing the stock market turbulence,the Chinese government will adopt macroeconomic policies such as monetary policy and fiscal policy to regulate the stock market and strengthen the control of the capital market,so as to promote the steady development of the stock market and the economy.The research on the correlation between macroeconomic policy and stock market is an important subject for scholars to study.Therefore,it is of theoretical and practical significance to discuss the influence of economic policy on stock price and analyze and reveal the internal relationship between the two.Compared with the traditional VAR model,TVP-SV-VAR model can reflect the timevarying characteristics of the impact of monetary policies and fiscal policies on stock prices,which is more consistent with the law of economic operation.Therefore,based on the monthly data of intermediate variables of monetary policy(interest rate,money supply and exchange rate),intermediate variables of fiscal policy(tax and fiscal expenditure)and stock price variables(Shanghai Composite Index)from 2007 to 2021 on the theoretical basis,By constructing TVP-SV-VAR model,the time-varying influence and impact effect of macroeconomic policy on stock price are studied,and the empirical results are analyzed.The results show that:There is a certain transmission mechanism between monetary policy and stock price in China.Interest rate,money supply and exchange rate have significant time-varying influence on stock price.In different economic periods,the impulse response of stock price to interest rate and money supply shock is uncertain,and the impulse response of stock price to exchange rate shock is negative.Interest rates,money supply and exchange rates have short-term lagged effects on stock prices;Between fiscal policy and stock price in our country there are certain conduction mechanism,tax and spending significant time varying impact on share price,in different economic times,stock prices on the impact of tax and spending the performance of the impulse response is not sure,tax and spending the influence of the impact on stock prices does not have a significant time lag.Finally,based on the research results,suggestions are given to the government,enterprises and investors,and the future research directions is prospected.