Study on the Dual Asymmetric Effect of Monetary Policy Shocks: Empirical Test Based on China’s Stock and Bond Market

Minghua LUO, Yixiang TIAN, Chenggang LI, Cong LUO

Abstract


The research on dual asymmetric effects of monetary policy shock has important practical significance for laying down capital market regulation monetary policy. This paper uses two-step OLS method to empirically test the dual asymmetric effects of monetary policy shock on stock and bond markets. The test results show that the expansionary and tight monetary policy shocks on the stock and bond markets have dual asymmetric effects; the expansionary and tight monetary policy shocks have dual asymmetric effects during the rise and fall periods. Therefore, when laying down capital market regulation and control policies, government needs to consider the dual asymmetric effects of monetary policy shock, and adopts appropriate monetary policies.
Key words: Monetary policy shocks; Dual asymmetric effects; Two-step OLS method; Empirical test

Keywords


Monetary policy shocks; Dual asymmetric effects; Two-step OLS method; Empirical test

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DOI: http://dx.doi.org/10.3968%2Fj.mse.1913035X20110503.1z430

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