The Differentiated Research of China’s Monetary Policy’s Effect on Stock Price under the SVAR Model----Empirical Analysis Based on Different Economic Backgrounds
Jianfei Leng
School of Business, Hohai University, Nanjing, China
Pei Tang *
School of Business, Hohai University, Nanjing, China
*Author to whom correspondence should be addressed.
Abstract
This paper empirically analyzes the impact of China’s monetary policy on stock price in different economic backgrounds by constructing the SVAR (Structural Vector Auto Regression) based on the standard VAR (Vector Auto Regression). The results show that: (i) In different economic backgrounds, the direction and size of China’s monetary policy’s impact on stock price are not same; (ii) There exist different impacts on stock price from monetary policy in short run, but in long-term the impacts do not exist in two economic backgrounds.
Keywords: Monetary policy, stock price, SVAR model, differentiated research