央行汇率沟通与股票市场波动
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摘要
本文基于2005年7月至2017年2月的日度数据,检验中国央行汇率沟通对于股票市场波动率的影响,研究结果发现:(1)央行汇率沟通会对本国股票市场产生明显的溢出效应,并显著增加股票市场的波动率,B股市场波动率反应程度显著强于A股市场。(2)书面沟通的效果强于口头沟通,口头沟通中行长沟通效果强于非行长沟通;汇率贬值的沟通效果显著强于汇率升值沟通。(3)汇率沟通对于股票市场波动率的影响存在着明显的非线性。
Based on the daily data during July 2005-February 2017, the authors of this paper examine the impacts of exchange rate communication of China's central bank on stock market volatility. The results of the paper show that,(1) the exchange rate communication has a significant spillover effect on the domestic stock market, and significantly increases the volatility of the stock market, and the response of the B-share market volatility is significantly stronger than that of the A-share market;(2) the effect of written communication is stronger than that of oral communication; as to the oral communication, the effect of president communication is stronger than that of non-president communication; the effect of exchange rate devaluation communication is stronger than that of exchange rate appreciation communication;(3) the effect of exchange rate communication on stock market volatility is significantly non-linear.
Based on the daily data during July 2005-February 2017, the authors of this paper examine the impacts of exchange rate communication of China's central bank on stock market volatility. The results of the paper show that,(1) the exchange rate communication has a significant spillover effect on the domestic stock market, and significantly increases the volatility of the stock market, and the response of the B-share market volatility is significantly stronger than that of the A-share market;(2) the effect of written communication is stronger than that of oral communication; as to the oral communication, the effect of president communication is stronger than that of non-president communication; the effect of exchange rate devaluation communication is stronger than that of exchange rate appreciation communication;(3) the effect of exchange rate communication on stock market volatility is significantly non-linear.
引文
邓燊、杨朝军,2008.汇率制度改革后中国股市与汇市关系实证研究[J].金融研究,(1):29-41.
谷宇、王轶群、翟羽娜,2016.中国央行汇率沟通的有效性及作用渠道研究[J].经济科学,(1):66-75.
何运信,2012.货币政策透明性制度的国际比较:以央行沟通方式为基调[J].改革,(4):74-83.
冀志斌、周先平,2011.中央银行沟通可以作为货币政策工具吗---基于中国数据的分析[J].国际金融研究,(2):25-34.
冀志斌、宋清华2012.中央银行沟通的金融市场效应---基于中国数据的实证分析[J].宏观经济研究,(9):45-53.
林建浩、赵文庆,2015.中国央行沟通指数的测度与谱分析[J].统计研究,(1):52-58.
刘柏、张艾莲,2014.中国股价与汇率非线性累积过程的非对称迭代影响[J].国际金融研究,(10):87-96.
鲁臻、成明杰,2015.宏观经济形势影响央行货币政策沟通的效果吗---基于中国数据的实证分析[J].宏观经济研究,(7):52-58.
王博、刘翀,2016.央行沟通的金融市场效应---来自中国的证据[J].经济学动态,(11):22-32.
汪冬华、汪辰,2012.汇改后不同市态下汇市与股市溢出效应的异化[J].管理科学学报,(11):91-103.
吴国培、潘再见,2014.中央银行沟通对金融资产价格的影响---基于中国的实证研究[J].金融研究,(5):34-47.
曾刚、万志宏,2014.中央银行沟通与货币政策:最新实践与启示[J].国际金融研究,(2):11-18.
张兵、封思贤、李心丹等,2008.汇率与股价变动关系:基于汇改后数据的实证研究[J].经济研究,(9):70-81.
史焕平、陈琪、胡滨,2015.中央银行沟通对货币市场影响的有效性研究---基于中国2006-2014年数据的实证分析[J].经济问题,(11):30-34,39.
张勇,梁燚焱,2018.中央银行宏观经济信息沟通有效性研究---基于信息精确度检验的视角[J].经济学动态,(4):43-56.
Beine,M.,et al.,2009.Should Central Bank Talk to the Foreign Exchange Markets?[J].Journal of International and Finance,28(5):776-803.
Brand,C.,Buncic,D.,and Turunen,J.,2010.The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve[J].Journal of the European Economic Association,8(657):1266-1298.
Branson,W.H.,1981.Macroeconomic Determinants of Real Exchange Rates[R].NBER Working Paper,No.801.
Chan,F.,and McAleer,M.,2003.Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers[J].Applied Financial Economics,13(8):581-592.
Demiralp,S.,Kara,H.,and zlü,P.,2012.Monetary Policy Communication in Turkey[J].European Journal of Political Economy,28(4):540-556.
Dornbusch,R.,and Fischer,S.,1980.Exchange Rates and the Current Account[J].The American Economic Review,70(5):960-971.
Dumas,B.,and Solnik,B.,1995.The World Price of Foreign Exchange Risk[J].Journal of Finance,50:445-477.
Egert,B.,and Kocenda,E.,2014.The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets[J].Economic Systems,38(1):73-88.
Ehrmann,M.,and Fratzscher,M.,2007.Communication by Central Bank Committee Members:Different Strategies,Same Effectiveness?[J].Journal of Money,Credit and Banking,39(2-3):509-541.
Flavin,T.J.,Panopoulou,E.,and Unalmis,D.,2008.On the Stability of Domestic Financial Market Linkages in the Presence of Time-varying Volatility[J].Emerging Markets Review,9:280-301.
Frankel,J.A.,1992.Monetary and Portfolio-Balance Models of Exchange Rate Determination[M]//International Economic Policies and their Theoretical Foundations(Second Edition):793-832.
Fratzscher,M.,2006.On the Long-term Effectiveness of Exchange Rate Communication and Interventions[J].Journal of International Money and Finance,25(1):146-167.
Guglielmo,M.C.,Hunter,J.,and Ali,F.M.,2014.On the Linkages between Stock Prices and Exchange Rates:Evidence from the Banking Crisis of 2007-2010[J].International Review of Financial Analysis,(33):87-103.
Hansen,S.,and McMahon,M.,2016.Shocking Language:Understanding Tthe Macroeconomic Effects of Central Bank Communication[J].Journal of International Economics,99:S114-S133.
Hayo,B.,Kutan,A.,and Neuenkrich,M.,2012.Federal Reserve Communications and Emerging Equity Markets[J].Southern Economic Journal,78(3):1041-1056.
Jansen,D.,and Haan,J.D.,2005.Talking Heads:The Effects of ECB Statements on the Euro-dollar Exchange Rate[J].Journal of International Money and Finance,24(2):343-361.
Rosa,C.,2011.Words That Shake Traders:The Stock Market’s Reaction to Central Bank Communication in Real Time[J].Journal of Empirical Finance,18(5):915-934.
Roll,R.,1992.Industrial Structure and the Comparative Behavior on International Stock Market Indices[J].Journal of Finance,47:3-41.
Swanson,E.T.,2006.Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts[J].Journal of Money,Credit and Banking,38(3):791-819.
Terasvirta,T.,1994.Specification,Estimation and Evaluation of Smooth Transition Autoregressive Models[J].Journal of the American Statistical Association,89:208-218.
Walid,C.,Chaker,A.,Masood,O.,et al.,2011.Stock Market Volatility and Exchange Rates in Emerging Countries:A Markovstate Switching Approach[J].Emerging Markets Review,12(3):272-292.
Wei,W.,2002.Forecasting Stock Market Volatility with Non-linear GARCH Models:A Case for China[J].Applied Economics Letters,9(3):163-166
Woodford,M.,2005.Central Bank Communication and Policy Effectiveness[R].NBER Working Paper,No.11898.
Yang,S.Y.,and Doong,S.C.,2004.Price and Volatility Spillovers between Stock Prices and Exchange Rates:Empirical Evidence from the G-7 Countries[J].International Journal of Business and Economics,3:139-153.
Zhao,H.,2010.Dynamic Relationship between Exchange Rate and Stock Price:Evidence from China[J].Research in International Business and Finance,24:103-112.
谷宇、王轶群、翟羽娜,2016.中国央行汇率沟通的有效性及作用渠道研究[J].经济科学,(1):66-75.
何运信,2012.货币政策透明性制度的国际比较:以央行沟通方式为基调[J].改革,(4):74-83.
冀志斌、周先平,2011.中央银行沟通可以作为货币政策工具吗---基于中国数据的分析[J].国际金融研究,(2):25-34.
冀志斌、宋清华2012.中央银行沟通的金融市场效应---基于中国数据的实证分析[J].宏观经济研究,(9):45-53.
林建浩、赵文庆,2015.中国央行沟通指数的测度与谱分析[J].统计研究,(1):52-58.
刘柏、张艾莲,2014.中国股价与汇率非线性累积过程的非对称迭代影响[J].国际金融研究,(10):87-96.
鲁臻、成明杰,2015.宏观经济形势影响央行货币政策沟通的效果吗---基于中国数据的实证分析[J].宏观经济研究,(7):52-58.
王博、刘翀,2016.央行沟通的金融市场效应---来自中国的证据[J].经济学动态,(11):22-32.
汪冬华、汪辰,2012.汇改后不同市态下汇市与股市溢出效应的异化[J].管理科学学报,(11):91-103.
吴国培、潘再见,2014.中央银行沟通对金融资产价格的影响---基于中国的实证研究[J].金融研究,(5):34-47.
曾刚、万志宏,2014.中央银行沟通与货币政策:最新实践与启示[J].国际金融研究,(2):11-18.
张兵、封思贤、李心丹等,2008.汇率与股价变动关系:基于汇改后数据的实证研究[J].经济研究,(9):70-81.
史焕平、陈琪、胡滨,2015.中央银行沟通对货币市场影响的有效性研究---基于中国2006-2014年数据的实证分析[J].经济问题,(11):30-34,39.
张勇,梁燚焱,2018.中央银行宏观经济信息沟通有效性研究---基于信息精确度检验的视角[J].经济学动态,(4):43-56.
Beine,M.,et al.,2009.Should Central Bank Talk to the Foreign Exchange Markets?[J].Journal of International and Finance,28(5):776-803.
Brand,C.,Buncic,D.,and Turunen,J.,2010.The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve[J].Journal of the European Economic Association,8(657):1266-1298.
Branson,W.H.,1981.Macroeconomic Determinants of Real Exchange Rates[R].NBER Working Paper,No.801.
Chan,F.,and McAleer,M.,2003.Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers[J].Applied Financial Economics,13(8):581-592.
Demiralp,S.,Kara,H.,and zlü,P.,2012.Monetary Policy Communication in Turkey[J].European Journal of Political Economy,28(4):540-556.
Dornbusch,R.,and Fischer,S.,1980.Exchange Rates and the Current Account[J].The American Economic Review,70(5):960-971.
Dumas,B.,and Solnik,B.,1995.The World Price of Foreign Exchange Risk[J].Journal of Finance,50:445-477.
Egert,B.,and Kocenda,E.,2014.The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets[J].Economic Systems,38(1):73-88.
Ehrmann,M.,and Fratzscher,M.,2007.Communication by Central Bank Committee Members:Different Strategies,Same Effectiveness?[J].Journal of Money,Credit and Banking,39(2-3):509-541.
Flavin,T.J.,Panopoulou,E.,and Unalmis,D.,2008.On the Stability of Domestic Financial Market Linkages in the Presence of Time-varying Volatility[J].Emerging Markets Review,9:280-301.
Frankel,J.A.,1992.Monetary and Portfolio-Balance Models of Exchange Rate Determination[M]//International Economic Policies and their Theoretical Foundations(Second Edition):793-832.
Fratzscher,M.,2006.On the Long-term Effectiveness of Exchange Rate Communication and Interventions[J].Journal of International Money and Finance,25(1):146-167.
Guglielmo,M.C.,Hunter,J.,and Ali,F.M.,2014.On the Linkages between Stock Prices and Exchange Rates:Evidence from the Banking Crisis of 2007-2010[J].International Review of Financial Analysis,(33):87-103.
Hansen,S.,and McMahon,M.,2016.Shocking Language:Understanding Tthe Macroeconomic Effects of Central Bank Communication[J].Journal of International Economics,99:S114-S133.
Hayo,B.,Kutan,A.,and Neuenkrich,M.,2012.Federal Reserve Communications and Emerging Equity Markets[J].Southern Economic Journal,78(3):1041-1056.
Jansen,D.,and Haan,J.D.,2005.Talking Heads:The Effects of ECB Statements on the Euro-dollar Exchange Rate[J].Journal of International Money and Finance,24(2):343-361.
Rosa,C.,2011.Words That Shake Traders:The Stock Market’s Reaction to Central Bank Communication in Real Time[J].Journal of Empirical Finance,18(5):915-934.
Roll,R.,1992.Industrial Structure and the Comparative Behavior on International Stock Market Indices[J].Journal of Finance,47:3-41.
Swanson,E.T.,2006.Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts[J].Journal of Money,Credit and Banking,38(3):791-819.
Terasvirta,T.,1994.Specification,Estimation and Evaluation of Smooth Transition Autoregressive Models[J].Journal of the American Statistical Association,89:208-218.
Walid,C.,Chaker,A.,Masood,O.,et al.,2011.Stock Market Volatility and Exchange Rates in Emerging Countries:A Markovstate Switching Approach[J].Emerging Markets Review,12(3):272-292.
Wei,W.,2002.Forecasting Stock Market Volatility with Non-linear GARCH Models:A Case for China[J].Applied Economics Letters,9(3):163-166
Woodford,M.,2005.Central Bank Communication and Policy Effectiveness[R].NBER Working Paper,No.11898.
Yang,S.Y.,and Doong,S.C.,2004.Price and Volatility Spillovers between Stock Prices and Exchange Rates:Empirical Evidence from the G-7 Countries[J].International Journal of Business and Economics,3:139-153.
Zhao,H.,2010.Dynamic Relationship between Exchange Rate and Stock Price:Evidence from China[J].Research in International Business and Finance,24:103-112.