It is crucial to explore how credit fluctuations impact stock market through production networks.This paper constructs a production network based static general equilibrium model to study the direct and network effects of credit fluctuations on stock re-turns in 20 major countries during 2002-2022.It is found that the movements of stock market in various countries are not only di-rectly affected by the fluctuation of domestic credit.About 62％of the stock market movements is caused by the fluctuation of foreign credit through the production network.Specifically,Russia,China,and the United States have a larger share of direct effects,indicat-ing stronger monetary policy autonomy.The main findings during different financial cycle of The Fed are summarized as follows.First,the significant credit fluctuations in the United States during the subprime crisis leads to strong credit spillover effects.Second,we compare interest rate lift cycles among the three periods,severe inflation inhibited the effectiveness of monetary policy and credit spillover effects.Third,compared with two quantitative easing periods,the stability of the financial system is vital to ensuring the ef-fectiveness of domestic monetary policy.While China's monetary policy autonomy has significantly improved,its effectiveness still needs enhancement.It is recommended to improve macro-prudential supervision from the perspective of production network,which will help reduce the possibility of external financial risks spreading to China and enhance the timeliness of internal monetary policy adjustments.
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