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Analysis of the Relation between Interest Rate Policy and the Stock Market in China |
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| Authors: | WANG Jun|bo DENG Shu|hui Laboratory of Management Decision Information Systems Institute of System Science Academia Sinica Beijing China |
| Affiliation: | WANG Jun|bo, DENG Shu|hui Laboratory of Management,Decision and Information Systems Institute of System Science,Academia Sinica,Beijing 100080,China |
| Abstract: | Based on the modern monetary theory, this paper analyze the relation between interest rate policy and Shanghai and Shenzhen Stock Exchange by using event study and co|integration model method. We point out that the interest rate policy have some abnormal effects on the stock market in short time and have negative effects on the stock market in long run. The influence of the interest rate is different on Shanghai Stock Exchange and Shenzhen Stock Exchange. |
| Keywords: | interest rate policy event study co|integration and error|correction model stock market |
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