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自2004年以来,中国政府颁布并实施了一系列货币市场和资本市场的改革措施,增强了金融市场间的关联性。笔者基于VAR(4)-GARCH(1,1)-BEKK模型,对我国自二次汇改以来股票市场、外汇市场与货币政策联动性进行了分析探讨。研究显示,我国货币政策与股票市场存在显著的关联性,市场间具有显著的均值溢出效应和波动溢出效应。政府应制定合理有效的监管框架发挥金融改革协同效应,货币政策必须与汇率政策协调,避免金融市场大幅波动,降低风险,促进宏观经济稳定。
Since 2004, the Chinese government has promulgated and implemented a series of reform measures in the money market and capital market, which have strengthened the correlation between financial markets. Based on the VAR (4) -GARCH (1,1) -BEKK model, the author analyzes the linkage between the stock market, foreign exchange market and monetary policy in our country since the second exchange reform. Research shows that there is a significant correlation between China’s monetary policy and the stock market, with significant mean-value spillovers and volatility spillover effects among markets. The government should formulate a reasonable and effective regulatory framework to exert the synergistic effect of financial reform. Monetary policy must be coordinated with the exchange rate policy so as to avoid the volatility of financial markets, reduce risks and promote macroeconomic stability.