Effect of monetary policy on the capital market

Author: Lu Rong
Publisher:
Publish Date: 2003-09-01
Features: This book reviews and analyzes major literature on the effects of capital markets and monetary policy, combining the actual conditions of China's economy and capital markets to study the effects of monetary policy on China's capital markets. By establishing Vector Error Correction Models (VECM) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, and employing impulse response techniques and event study methods, it explores the reactions of China's capital markets to changes in variables such as interest rates, money supply, and loan balances, measuring the impact and effectiveness of monetary policy on capital markets.