Research Article
Whether the Implementation of the New Monetary Policy can Reduce the Volatility of Stock Market Yield-Based on Experimental and Mathematical Statistics Analysis
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327172, author={Tong Xiao and Pei-shen Cao}, title={Whether the Implementation of the New Monetary Policy can Reduce the Volatility of Stock Market Yield-Based on Experimental and Mathematical Statistics Analysis}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={new monetary policy tools stock market egarch}, doi={10.4108/eai.18-11-2022.2327172} }- Tong Xiao
Pei-shen Cao
Year: 2023
Whether the Implementation of the New Monetary Policy can Reduce the Volatility of Stock Market Yield-Based on Experimental and Mathematical Statistics Analysis
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327172
Abstract
The role of the new monetary policy tools in regulating the economy are obvious to all. The stock market, as a barometer of the economy, reflects the situation of economic operation. In this paper, the EGARCH model is used to explore the impact of different types and maturities of new monetary policy instruments on the volatility of the stock market returns. The results show that short-term loan instruments can not reduce the volatility of stock market returns, but will increase the volatility of the stock market returns. Short-term liquidity adjustment is ineffective in reducing volatility of the stock market return. Medium-term loan instruments can effectively reduce the volatility of the stock market returns, and the longer the term, the better the policy effect.