The Impacts of Monetary Policy Shock on Stock Market Liquidity:An Empirical Study based on Markov Switching Vector Autoregression
构建了新的股票市场流动性指标，运用MSIH(3)-VAR(4)模型研究不同市场状态下货币政策对流动性的动态影响，发现扩张政策提升流动性、紧缩政策降低流动性，且牛市影响大于熊市。
This paper firstly analyzes the mechanism of the influence of monetary policy on stock market liquidity, and then tries to construct a new stock market liquidity indicator through the introduction of MA-VAR model to study the dynamic impacts of monetary policies on stock market liquidity in different regimes.Based on the MSIH(3)-VAR(4) model and aggregate impulse response,the results show that the expansion of monetary policies is favorable to increase the stock market liquidity while the shrinkage of monetary policies leads to decrease. The impacts differentiate from extent significantly in different regimes.The extent of impacts of monetary policies shock on stock market liquidity is bigger in the booming market than in the bearish market.It is also found that the return and the volatility of stock market have significant impacts on stock market liquidity.