【摘要】 本文首先对货币政策影响股市流动性的机理进行分析,在此基础上,尝试构建了一个新的股票市场流动性指标,通过引入MS-VAR模型,考察了货币政策在不同区制下对股市流动性的动态影响。基于MSIH(3)-VAR(4)模型和累积脉冲响应的结果表明,货币政策扩张有助于提高市场流动性,货币政策收紧,会导致市场流动性降低。但在不同区制下,影响程度存在显著差异,当股市处于膨胀期时,货币政策冲击对市场流动性的影响比股市处于低迷期时表现得更加明显。同时,股市收益率和股市波动率对股市流动性也存在显著影响。更多还原

【Abstract】 This paper firstly analyzes the mechanism of the influence of monetary policy on stock market liquidity, and then tries to construct a new stock market liquidity indicator through the introduction of MA-VAR model to study the dynamic impacts of monetary policies on stock market liquidity in different regimes.Based on the MSIH(3)-VAR(4) model and aggregate impulse response,the results show that the expansion of monetary policies is favorable to increase the stock market liquidity while the shrinkage of monetary policies leads to decrease. The impacts differentiate from extent significantly in different regimes.The extent of impacts of monetary policies shock on stock market liquidity is bigger in the booming market than in the bearish market.It is also found that the return and the volatility of stock market have significant impacts on stock market liquidity.更多还原