关键词: 理性资产价格泡沫理论,TVP-SV-VAR模型,货币政策,金融稳定

Abstract: Based on TVP-SV-VAR model, this paper takes the monthly data of Shanghai composite index from 2002 to 2014 as the samples to test the time-varying characteristics of the impact of China’s monetary policy on stock market bubbles. The results show that the impact of China’s interest rate shock on stock market bubbles is consistent with the theory of rational asset price bubbles. The impact of interest rate shock on observed stock prices has time-varying characteristics and structural changes, and the degree of the impact depends on whether the possible positive impact of interest rate shock on the bubbles is enough to offset the negative impact on the base component. The test result of Shanghai and Shenzhen 300 index and Shenzhen component index keeps stable. This means that the central bank has to recognize once again the traditional view that the tight-money policy can alleviate the asset bubbles to some extent, and the counter-cyclical monetary policies should be adopted prudently.

Key words: rational asset price bubbles theory; TVP-SV-VAR model; monetary policy; financial stability