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THE INTERACTION BETWEEN MONETARY POLICY AND STOCK MARKET: AN EMPIRICAL INVESTIGATION ON CHINA

Zhou, Long (2008)

 
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Zhou, Long
2008
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The thesis aims to study the interaction between the monetary policy and stock market in China. The research problem includes two aspects that on one side, we study the influence of stock market development on monetary policy via exploring whether the Chinese stock market is qualified to be considered as a new monetary policy transmission channel to make monetary policy regulation more effective on macro economy. On the other side, we examine the impact of monetary policy intermediate targets, i.e. interest rate and money supply, on stock market respectively.

According to the set of study purpose, the empirical analysis is mainly divided into three parts corresponding to each research hypothesis, and a series of modern econometric techniques are employed such as Vector Autoregression, Cointegration modeling and Error Correction Model, Granger-causality test, Impulse Response function and Variance Decomposition, etc.

The empirical results suggest that the stock market’s effect on economy is extremely limited and even negatively in the long-run, so the Chinese stock market can hardly impact the monetary policy formulation that it is not qualified to be a new monetary policy transmission channel or intermediate target. Thus the central bank only need to concern the stock market but do not have to peg. Meanwhile, for the impact of monetary policy on the stock market, the interest rate has negative effect on stock price. And money supply, regarded as currency demand, is observed to be positively affected by stock price, not vice versa as presumed.
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