作　　者： ;

机构地区： 广州大学

出　　处： 《国际金融研究》 2011年第11期 87-96,共10页

摘　　要： 本文以M2增长率作为中国货币政策的度量指标，运用ARIMA预测方法，首次将货币政策分解为预期和未预期的两个部分，进而分析了货币政策对沪深两市的影响。结果表明，股票收益率与未预期货币政策存在显著的正向关系，而股票收益率与预期货币政策基本不相关。基于各行业股票指数的检验进一步验证了这个结论。我们还发现．不同行业对未预期的货币政策的反应程度有所不同，并且这种差异不能用CAPM来解释。 Using the growth rate of M2 as the measure of China＇s monetary policy, the paper applies ARIMA forecasting method so as to decompose monetary policies into two parts, i.e., anticipated and unanticipated policies, and then investigates their impacts on Shanghai and Shenzhen stock markets. We find that, stock return is significantly positively correlated with unanticipated monetary policies, while no relationship is discovered for anticipated policies. Further tests based on the industrial stock indices verify the result. It is also discovered that various industries react differently to unanticipated monetary policies and the difference can be hardly explained by CAMP.

关 键 词： 预期的货币政策 未预期的货币政策 股票市场

分 类 号： [F831]

领　　域： []