《Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach》

此篇论文发表在2015年Applied Economics Letters上。作者使用Symmetrized Joe-Clayton copula模型来分析中国股票市场流动性和货币政策的依附结构。 作者发现中国货币市场的起伏对其股票市场流动性有着不对称的影响以及金融危机后中国货币流通性和股票市场流动性的分布左尾依赖性加强。

简介

This article investigates the dependence structure between monetary policy and stock market liquidity in China. The dynamic ‘symmetrized JC’ copula copula is applied to capture evolving asymmetric behaviours and tail dependence. The empirical evidence shows that less liquid stock markets are influenced by contractionary monetary policy, and highly liquid stock markets are dependent on expansionary monetary policy. The asymmetric effect of monetary shocks on stock market liquidity is also found. The empirical results also indicate that the strength of lower-tail dependence between monetary liquidity and stock liquidity rises significantly for the post-crisis period.