货币政策中介目标的非预期变动对股市波动的影响研究
摘
要
纵观我国股市历经 30余年的发展，上市公司股票数量达到 4千多只，总市值突破
90万亿元，但近 10余年股指却徘徊不前，原因何在？本文以货币政策角度为切入点，
探讨了货币政策中介目标的非预期变动对股市波动的影响问题，籍此揭示货币政策中
介目标的非预期变动是否可以扭转投资者对股市连续下跌的悲观情绪，改善投资者的
预期，进而促使股市降低向下波动的幅度，从而整体降低股市波动性，呈现出趋势向
上的健康、稳定运行。
本文首先基于 CCAPM模型、股利贴现模型、长期风险模型等资本资产定价模型展
开理论分析的基础之上得到非预期的货币政策中介目标变动通过改变人们对未来的消
费预期、现金流预期和利率预期，从而影响股市波动的研究假设。然后基于此理论基
础，再进行实证检验。以信贷规模、M2和社会融资规模作为货币政策中介目标变量，
通过 ARIMA模型来对非预期成分进行提取，以股市收益率的条件方差衡量股市波动，
选取已实现波动率和已实现极差作为低频波动率，构造基于低频波动率和非预期的货
币政策中介目标变动的双因子 GJR-GARCH-MIDAS模型，从参数估计、长短期波动和
Beta权重等三个方面进行实证分析。最后，从波动贡献度分解、预测分析及 SPA检验
等方面，对各类模型对股市波动的解释能力和预测能力进行对比分析，以此来寻找不
同数量型的货币政策中介目标变量的非预期变动对股市波动影响的差异性。
本文研究结果表明，非预期的货币政策中介目标变动能够扭转投资者在股市下跌
时所产生的悲观预期，降低股市下跌的波幅，减缓股市下跌的趋势，促使股市出现趋
势向上的稳健运行。在货币政策中介目标中，M2和社会融资规模的非预期变动对股市
波动的解释能力、预测能力更为突出。
本文建议，中央银行应进一步加强与证监部门的沟通与协调，共同维护资本市场
的稳定。中央银行应该在维护金融稳定方面，注重对投资者的预期管理，注重货币政
策中介目标的非预期变动对股市波动的影响，尤其是注重 M2和社会融资规模的非预期
变动对股市波动的影响。
关键词：货币政策中介目标；非预期；股市波动；GJR-GARCH-MIDAS模型
I

Abstract
Abstract
Throughout the development of China's stock market after more than 30 years, the number
of listed companies has reached more than 4,000, and the total market value has exceeded 90
trillion yuan, but the stock index has stagnated in the past 10 years. Taking the perspective of
monetary policy as the starting point, this thesis explores the impact of unexcepted changes in
monetary policy intermediary targets on stock market fluctuations, thereby revealing whether
the unexcepted changes in monetary policy intermediary targets can reverse investors'
pessimism about the continuous decline of the stock market, improve investors' expectations,
and then promote the stock market to reduce the amplitude of downward fluctuations, thereby
reducing the volatility of the stock market as a whole and showing a healthy and stable operation
of the upward trend.
Firstly, on the basis of theoretical analysis based on capital asset pricing models such as
the CCAPM model, dividend discount model, and long-term risk model, this thesis obtains the
research assumption that the unexcepted intermediary target of monetary policy affects the
fluctuation of the stock market by changing people's expectations of future consumption, cash
flow and interest rates. Then, based on this theoretical basis, an empirical test is conducted.
Taking credit scale, M2 and social financing scale as the intermediary target variables of
monetary policy, the unexpected components are extracted by the ARIMA model, the stock
market fluctuations are measured by the conditional variance of stock market yields, the
realized volatility and the realized extreme difference are selected as the low-frequency
volatility, and a two-factor GJR-GARCH-MIDAS model based on the low-frequency volatility
and the change of the monetary policy intermediary target is constructed, and the empirical
analysis is carried out from three aspects: parameter estimation, long-term and short-term
fluctuations and beta weights. Finally, from the aspects of volatility contribution decomposition,
predictive analysis and SPA testing, the explanatory ability and prediction ability of various
models on stock market fluctuations are compared and analyzed, so as to find the difference in
the impact of unexcepted changes of different monetary policy intermediary target variables on
stock market fluctuations. The results of this thesis show that the unexcepted changes in the
intermediary target of monetary policy of the central bank can reverse the pessimistic
expectations of investors when the stock market falls, reduce the volatility of the stock market
decline, slow down the downward trend of the stock market, and promote the steady operation
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货币政策中介目标的非预期变动对股市波动的影响研究
of the stock market upward trend. Among the intermediary targets of monetary policy, the
unexpected changes in the scale of M2 and social financing have more prominent ability to
explain and predict stock market fluctuations.
This thesis suggests that the central bank should further strengthen communication and
coordination with the securities regulatory authorities to jointly maintain the stability of the
capital market. In maintaining financial stability, the central bank should pay attention to the
management of investors' expectations, the impact of unexpected changes in monetary policy
intermediary targets on stock market fluctuations, especially the impact of unexcepted changes
in M2 and social financing scale on stock market fluctuations.
Key Words: Monetary Policy Intermediary Objectives; Unexpected; Stock Market
Volatility; GJR-GARCH-MIDAS Model
III
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