The dynamic impact of monetary policy on stock market liquidity

被引：10

作者：

Lyu, Xiaoyi ^{[1
]}

Hu, Hao ^{[2
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China

[2] Zhejiang Normal Univ, Sch Econ & Management, Jinhua, Peoples R China

来源：

ECONOMIC ANALYSIS AND POLICY | 2024年 / 81卷

关键词：

Market liquidity; Funding liquidity; Monetary policy; Liquidity spirals; SIMULATION SMOOTHER; RETURNS; PRICES; CURVE;

D O I：

10.1016/j.eap.2023.12.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Stock market liquidity is a crucial precondition for well-functioning financial markets, while monetary policy is an important determinant for Stock market liquidity. This paper examines the dynamic impact of monetary policy on stock market liquidity in the short, medium, and long run and the asymmetry of the impact in bull and bear markets. Time-varying parameter vector autoregressive model is applied to study the monetary policy and stock market liquidity of China over the period 1997-2018. The results show that the impact of monetary policy on stock market liquidity varies across time and markets. Expanding monetary policy can help replenish stock market liquidity only if stable liquidity expectations are established. Therefore, when the central bank intends to influence stock market liquidity by regulating funding liquidity, it first needs to strengthen the management of liquidity expectations to establish funding liquidity expectations and prevent the market from falling into a liquidity spiral.

引用

页码：388 / 405

页数：18

共 48 条

[1]

Aastveit K.A., 2023, Rev. Econ. Stat., V105, P1314

[2] Asset pricing with liquidity risk [J].

Acharya, VV ;

Pedersen, LH .

JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410

[3] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[4] US monetary policy, oil and gold prices: Which has a greater impact on BRICS stock markets [J].

Ansari, Md Gyasuddin ;

Sensarma, Rudra .

ECONOMIC ANALYSIS AND POLICY, 2019, 64 :130-151

[5]

BAEK EG, 1992, STAT SINICA, V2, P137

[6] A single-blind controlled competition among tests for nonlinearity and chaos [J].

Barnett, WA ;

Gallant, AR ;

Hinich, MJ ;

Jungeilges, JA ;

Kaplan, DT ;

Jensen, MJ .

JOURNAL OF ECONOMETRICS, 1998, 82 (01) :157-192

[7] Monetary policy and stock prices - Cross-country evidence from cointegrated VAR models [J].

Belke, Ansgar ;

Beckmann, Joscha .

JOURNAL OF BANKING & FINANCE, 2015, 54 :254-265

[8] Market Liquidity and Funding Liquidity [J].

Brunnermeier, Markus K. ;

Pedersen, Lasse Heje .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (06) :2201-2238

[9] Bayesian model comparison for time-varying parameter VARs with stochastic volatility [J].

Chan, Joshua C. C. ;

Eisenstat, Eric .

JOURNAL OF APPLIED ECONOMETRICS, 2018, 33 (04) :509-532

[10] The Nexus of Monetary Policy and Shadow Banking in China [J].

Chen, Kaiji ;

Ren, Jue ;

Zha, Tao .

AMERICAN ECONOMIC REVIEW, 2018, 108 (12) :3891-3936

← 1 2 3 4 5 →