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The Empirical Research about Monetary Policy and Stock Price Volatility based on Financial Crisis Environment in China
Advances in Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
The Empirical Research about Monetary Policy and Stock Price Volatility based on Financial Crisis Environment in China
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| Creator |
Niu, Yu Jie; University of Shanghai for Science and Technology
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| Subject |
Monetary policy; Shanghai stock index; Empirical Analysis; VAR; Financial crisis
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| Description |
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.
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| Publisher |
World Science Publisher
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| Contributor |
—
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| Date |
2012-09-27
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/x-download
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| Identifier |
http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/779
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| Source |
Advances in Applied Economics and Finance; Vol 2, No 1 (2012); 311-319
2167-6348 |
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| Language |
eng
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| Relation |
http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/779/614
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| Rights |
Copyright NoticeProposed Creative Commons Copyright Notices1. Proposed Policy for Journals That Offer Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).Proposed Policy for Journals That Offer Delayed Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication, with the work [SPECIFY PERIOD OF TIME] after publication simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
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