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本文采用短期约束的结构式向量自回归(SVAR)模型,研究了开放经济条件下货币政策对我国股票价格的影响。研究结果表明:①无论在短期还是长期内,人民币汇率变动对我国股票价格有显著的影响;②货币政策对股票价格的影响短期和长期内在统计上都是不显著的。这种结果对投资者和央行而言具有重要的意义。
This paper studies the effect of monetary policy on China’s stock price under the condition of an open economy using the short-term constrained structural vector autoregressive (SVAR) model. The results show that: (1) the change of RMB exchange rate has a significant impact on the stock price in both short and long term; (2) the influence of monetary policy on the stock price is insignificant in the short and long term. This result is of great significance to investors and central banks.