 Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR ModeYunpeng Sun () and Xueying Wang () Asian Economic and Financial Review, 2018, vol. 8, issue 6, 745-761 Abstract: This study uses Markov switching vector autoregression (MS-VAR) model to explore the asymmetric effects of China’s monetary policy on the stock market in the bull market and the bear market. With China’s economy in a rapid development, China’s stock market as the main representative of the virtual economy has attracted large assets. Since 1990 to the present, China’s stock market has experienced several times states’ change between the bull market and bear market. The results indicate that China’s quantity-based direct instrument and price-based indirect instrument have asymmetric effects on the stock market in the bull market and the bear market. Moreover, the relationship between China’s economy and stock market exist a degree of dichotomy. Furthermore, China’s monetary policy has stronger effects on the bull market than the bear market. Keywords: Chinas monetary policy; Chinas economy; Stock market; Bull market; Bear market; Quantity-based direct monetary instruments; Price-based indirect monetary instruments; Asymmetric effects; MS-VAR model. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:8:y:2018:i:6:p:745-761:id:1708 Access Statistics for this article More articles in Asian Economic and Financial Review from Asian Economic and Social Society |
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