A Study on the Relationship between Monetary Policy Variables and Stock Market

Song Li
2017 International Journal of Business and Management  
Through the analysis of monetary policy variables and stock market from January 2010 to December 2015, including money supply M1, M2,one-year Benchmark lending rate for financial institutions,interbank offered rate, and the stock market price index data, through correlation analysis, unit root test, co-integration test, Granger causality test and VAR model test, empirical test results show that there is a two-way causal relationship between money supply M1 and stock market , M2 and stock market
more » ... M2 and stock market have a one-way causal relationship from M2 to stock market. One-year benchmark lending rate for financial institutions and stock market have a one-way causal relationship from stock market to one-year benchmark lending rate for financial institutions. The interbank offered rate and the stock market have a one-way causal relationship from the stock market to the interbank offered rate. China's transmission channels between monetary policy and stock market exist, but is not sound and there is a delay. When using the monetary policy variable to adjust the stock market, the money supply policy is more useful than adjusting the interest rate.
doi:10.5539/ijbm.v13n1p218 fatcat:tr5vq6tejfc7vkeboczqbsf4om