The Empirical Research about Monetary Policy and Stock Price Volatility based on Financial Crisis Environment in China
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| Title | The Empirical Research about Monetary Policy and Stock Price Volatility based on Financial Crisis Environment in China |
| Authors | |
| Abstract | In recent years, the international economic environment is complex. The U.S. subprime mortgage crisis and Europe´s sovereign-debt crisis have brought many adverse effects. The central bank has changed the reserve ratio and the interest rates many times in order to achieve the purpose of steady and health growth of economy. This paper investigates the impact of monetary policy on Shanghai stock index by using the VAR model, Granger causality test and co-integration test and impulse response function. The results show that monetary policy has the lagging effect on the Shanghai stock index. The results show that monetary policy has little effect on the Shanghai stock index in the financial crisis environment. |
| Publisher | World Science Publisher |
| Date | 2012-09-27 |
| Source | 2167-6348 |
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