Abstract
In this paper, we apply the Structure Vector Autoregression (SVAR) model to analyze the impact of U.S. monetary policy on China's stock market. We selected Shanghai Composite Index as a representative of China's stock market. Sample period is from 2007 Q3 to 2019 Q3. Empirical results show that there exist strong evidences of spillover effect and Granger-causal relation between the Shanghai Composite Index and U.S. monetary policy. Compared with interest rate, money supply has a deeper influence on the Shanghai Composite Index. Generally, the expansionary monetary policy has a negative influence while the effect of contractionary one is positive.
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