Abstract
We use TVP-VAR model to study the relationship between the scissors difference of money growth and stock returns in different financial cycles from February 2001 to October 2022. The results show that the scissors difference of money growth rate has a positive effect on the stock return rate that lags behind for one month, but a negative effect on the stock return rate that lags behind for three months. The impact on the half-year lag is almost negligible. In addition, during the financial cycle contraction, the scissors difference of money growth rate has a greater impact on stock returns; In the period of financial cycle expansion, its impact is small. During the financial shock, its impact is between the first two.
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