This paper investigates the relationship between monetary policy and the stock market using weekly U.S. data, following the work of Serletis and Istiak (2016). In doing so, vector autoregression (VAR) is adopted, and we allow rich interdependence between monetary policy and the stock market. The model is identified by exploiting the conditional heteroscedasticity of the reduced form VAR error terms. Two structural shocks – money demand and supply shocks – are extracted. The findings show a positive money demand shock, which increases the interest rate, decreases the stock price. On the other hand, a positive money supply shock does not significantly increase the stock price. We find that the impulse responses of stock prices are symmetric in positive and negative money supply shocks. It follows that money supply shocks do not have asymmetric effects on the stock market in general.

本文遵循 Serletis 和 Istiak（2016 年）的工作，使用美国每周数据调查货币政策与股市之间的关系。在这样做时，采用了向量自回归 (VAR)，我们允许货币政策与股票市场之间存在丰富的相互依存关系。该模型是通过利用简化形式的 VAR 误差项的条件异方差性来识别的。提取了两种结构性冲击——货币需求和供给冲击。研究结果表明，正的货币需求冲击会提高利率，降低股价。另一方面，积极的货币供应冲击不会显着提高股价。我们发现股票价格的脉冲响应在正负货币供应冲击中是对称的。