本文選題：有效市場 + 貨幣政策��； 參考：《云南財經(jīng)大學學報》2014年05期

【摘要】：基于粘性信息假說,通過拓展貨幣資產(chǎn)組合理論,并運用含有自變量滯后項的ARMA模型進行實證檢驗發(fā)現(xiàn):中國股市對貨幣政策中廣義貨幣供應(yīng)量M2的變動率與利率r變動率的反應(yīng)分別有3個月、6個月的滯后期,表明中國股市對貨幣政策的反應(yīng)較滯后,因而中國股市對貨幣政策反應(yīng)的有效性有待提高。
[Abstract]:Based on the viscous information hypothesis, by extending the monetary portfolio theory, Using the ARMA model with the lag term of independent variables, it is found that the response of Chinese stock market to the change rate of broad money supply M2 and the change rate of interest rate r in monetary policy is 3 months and 6 months, respectively. This shows that China's stock market has lagged behind in its response to monetary policy, so the effectiveness of the market's response to monetary policy needs to be improved.
【作者單位】： 西安交通大學經(jīng)濟與金融學院;工商銀行河南省分行;
【分類號】：F224;F832.51;F822.0

【參考文獻】

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