美联储货币政策对我国资产价格的影响
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摘要
本文利用事件研究法考察了美联储货币政策对我国资产价格的影响。研究发现美联储货币政策会显著影响我国资产价格,美联储加息会降低我国债券和股票回报,降息则会提高债券和股票回报。将美联储货币政策进行细分后发现,预期到的货币政策调整对债券市场和股票市场的回报都有显著影响,而未预期到的货币政策调整和前瞻性指引只影响债券市场。进一步的研究表明,未预期到的美联储货币政策调整和前瞻性指引还会加剧我国金融市场的波动率。本文的研究结论为美联储货币政策对我国经济金融的影响提供了新的证据,对于投资者提高投资收益、降低投资风险以及货币当局完善我国货币政策调控和维护我国金融市场稳定具有重要意义。
A great deal of attention has been paid to understand the Federal Reserve( Fed) monetary policy's spillover effects on international financial markets,with the increasing economic and financial globalization.Extensive studies have documented that the Fed's monetary policy has significant impact on international asset prices( e. g.,Hausman and Wongswan,2011; Rosa,2011). China is the largest trading partner of the US,thus it is reasonable that the Fed's monetary policy should have impacts on Chinese asset prices. However,Hausman and Wongswan( 2011) and Rosa( 2011) recently document that Chinese asset prices do not respond to Fed's monetary policies. It is important to note that their sample periods are mainly prior to 2005,in which Goh et al.( 2013) find weak correlation between US economy and Chinese asset prices due to the underdeveloped financial market in China. In this paper,we re-test whether the Fed's monetary policies can have impacts on Chinese asset prices using the event study approach with extended longer sample periods.We take the FOMC statement release as events to investigate the impacts of Fed on Chinese bond and stock markets from January 2003 to December 2016. The advantage of the approach is that we can focus on the responses of asset prices to the Fed's monetary policy over a short window of time to eliminate other unrelated information. In addition,following Kuttner( 2001) and Gürkaynak et al.( 2005),we also test the effects of the anticipated monetary policy( AMP),unanticipated monetary policy( UMP) and forward guidance( FG) to explore the role of expectation in monetary policy.The main findings of this paper can be summarized as follows. First,we find that Fed's monetary policy does have significant effects on Chinese asset prices. In particular,an interest rate rise reduces bond and stock returns,while an interest rate cut increases bond and stock returns. This finding is different from the previous literature that documents no impact of Fed's monetary policy on Chinese asset prices. To do this,we use close-to-open overnight returns instead of daily returns as shown in Hausman and Wongswan( 2011). Note that the Chinese close price is not affected by FOMC due to the lagged trading time in US,but the Chinses open price will incorporate information of Fed's monetary policy. As a result,close-to-open overnight returns will be clean enough to estimate the spillover effects of Fed's monetary policy accurately. In addition,earlier researches are conducted before 2005 when the Chinese financial market is still immature and the transmission mechanism of the Fed's monetary policy is underdeveloped.Second,we also document that the AMP has a significant impact on bond and stock returns,and positive AMP generates negative asset returns,which is in sharp contrast to the evidence as shown in Bernanke and Kuttner( 2005) that find the relationship between AMP and asset prices is insignificant. It indicates that although the Fed's monetary policy has been expected by the market,it still has significant impacts on Chinese asset prices when interest rates are adjusted as the market expects. This paper provides empirical facts that supports the New Keynesian theory from the perspective of open economy,that is,monetary policy is effective.In addition,the reaction of Chinese bond market to Fed's UMP is stronger than AMP,in line with the results in Kuttner( 2001). And,we find that Chinese bond returns tend to increase when Fed conveys that there will be an interest rate hike in the future based on FG.Third,we also uncover that the Chinese stock market volatility will increase once the Fed's monetary policy is adjusted. In addition,the stock volatility reactions to UMP and FG are significantly positive,indicating that the Fed's monetary policy will increase Chinese economic policy uncertainty and stock market volatility.Our findings have important implications for investors and regulators. First,this paper shows significant spillover effects of Fed's monetary policy,so the Chinese policy makers should take it into account when making Chinese monetary policy. Second,monetary policy makers should take advantage of the expectation management to improve the effectiveness of monetary policy,so as to smooth the international monetary policy shock properly. Third,that the Chinese market investors should pay attention to the impacts of Fed's monetary policy on Chinese asset prices to improve their returns on investment.
A great deal of attention has been paid to understand the Federal Reserve( Fed) monetary policy's spillover effects on international financial markets,with the increasing economic and financial globalization.Extensive studies have documented that the Fed's monetary policy has significant impact on international asset prices( e. g.,Hausman and Wongswan,2011; Rosa,2011). China is the largest trading partner of the US,thus it is reasonable that the Fed's monetary policy should have impacts on Chinese asset prices. However,Hausman and Wongswan( 2011) and Rosa( 2011) recently document that Chinese asset prices do not respond to Fed's monetary policies. It is important to note that their sample periods are mainly prior to 2005,in which Goh et al.( 2013) find weak correlation between US economy and Chinese asset prices due to the underdeveloped financial market in China. In this paper,we re-test whether the Fed's monetary policies can have impacts on Chinese asset prices using the event study approach with extended longer sample periods.We take the FOMC statement release as events to investigate the impacts of Fed on Chinese bond and stock markets from January 2003 to December 2016. The advantage of the approach is that we can focus on the responses of asset prices to the Fed's monetary policy over a short window of time to eliminate other unrelated information. In addition,following Kuttner( 2001) and Gürkaynak et al.( 2005),we also test the effects of the anticipated monetary policy( AMP),unanticipated monetary policy( UMP) and forward guidance( FG) to explore the role of expectation in monetary policy.The main findings of this paper can be summarized as follows. First,we find that Fed's monetary policy does have significant effects on Chinese asset prices. In particular,an interest rate rise reduces bond and stock returns,while an interest rate cut increases bond and stock returns. This finding is different from the previous literature that documents no impact of Fed's monetary policy on Chinese asset prices. To do this,we use close-to-open overnight returns instead of daily returns as shown in Hausman and Wongswan( 2011). Note that the Chinese close price is not affected by FOMC due to the lagged trading time in US,but the Chinses open price will incorporate information of Fed's monetary policy. As a result,close-to-open overnight returns will be clean enough to estimate the spillover effects of Fed's monetary policy accurately. In addition,earlier researches are conducted before 2005 when the Chinese financial market is still immature and the transmission mechanism of the Fed's monetary policy is underdeveloped.Second,we also document that the AMP has a significant impact on bond and stock returns,and positive AMP generates negative asset returns,which is in sharp contrast to the evidence as shown in Bernanke and Kuttner( 2005) that find the relationship between AMP and asset prices is insignificant. It indicates that although the Fed's monetary policy has been expected by the market,it still has significant impacts on Chinese asset prices when interest rates are adjusted as the market expects. This paper provides empirical facts that supports the New Keynesian theory from the perspective of open economy,that is,monetary policy is effective.In addition,the reaction of Chinese bond market to Fed's UMP is stronger than AMP,in line with the results in Kuttner( 2001). And,we find that Chinese bond returns tend to increase when Fed conveys that there will be an interest rate hike in the future based on FG.Third,we also uncover that the Chinese stock market volatility will increase once the Fed's monetary policy is adjusted. In addition,the stock volatility reactions to UMP and FG are significantly positive,indicating that the Fed's monetary policy will increase Chinese economic policy uncertainty and stock market volatility.Our findings have important implications for investors and regulators. First,this paper shows significant spillover effects of Fed's monetary policy,so the Chinese policy makers should take it into account when making Chinese monetary policy. Second,monetary policy makers should take advantage of the expectation management to improve the effectiveness of monetary policy,so as to smooth the international monetary policy shock properly. Third,that the Chinese market investors should pay attention to the impacts of Fed's monetary policy on Chinese asset prices to improve their returns on investment.
引文
[1]陈彦斌和刘哲希,2017,《推动资产价格上涨能够“稳增长”吗?--基于含有市场预期内生变化的DSGE模型》,《经济研究》第7期,第49~64页。
[2]郭豫媚、陈伟泽和陈彦斌,2016,《中国货币政策有效性下降与预期管理研究》,《经济研究》第1期,第28~41,83页。
[3]郭豫媚和周璇,2018,《央行沟通、适应性学习和货币政策有效性》,《经济研究》第4期,第77~91页。
[4]韩豫峰、汪雄剑、周国富和邹恒甫,2014,《中国股票市场是否存在趋势?》,《金融研究》第3期,第152~163页。
[5]侯成琪和龚六堂,2014,《货币政策应该对住房价格波动作出反应吗?--基于两部门动态随机一般均衡模型的分析》,《金融研究》第10期,第15~33页。
[6]姜富伟、David Rapach、Jack Strauss、凃俊和周国富,2011,《中国股票市场可预测性的实证研究》,《金融研究》第9期,第107~121页。
[7]金春雨和张龙,2017,《美联储货币政策对中国经济的冲击》,《中国工业经济》第1期,第25~42页。
[8]刘金全,2002,《货币政策作用的有效性和非对称性研究》,《管理世界》第3期,第43~51页。
[9]徐忠,2017,《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》第1期,第1~21页。
[10]Ammer,J.,Vega C.,and J.Wongswan.2010.“International Transmission of U.S.Monetary Policy Shocks:Evidence from Stock Prices”,Journal of Money,Credit and Banking,42(6):179~196.
[11]Bernanke,B.and M.Gertler.2001.“Should Central Banks Response to Movements in Asset Prices?”American Economic Review,91(2):253~257.
[12]Bernanke,B.and K.Kuttner.2005.“What Explains the Stock Market’s Reaction to Federal Reserve Policy?”Journal of Finance,60(3):1221~1257.
[13]Campbell,J.R.,Evans C.L.,Fisher J.D.,and A.Justiniano.2012.“Macroeconomic Effects of Federal Reserve Forward Guidance”,Brookings Papers on Economic Activity:1~80.
[14]Canova,F..2005.“The Transmission of U.S.Shocks to Latin America”,Journal of Applied Econometrics,20(2):229~251.
[15]Chen,J.,Jiang F.,Liu Y.,and J.Tu.2017.“International Volatility Risk and Chinese Stock Return Predictability”,Journal of International Money and Finance,70(2):183~203.
[16]Ehrmann,M.and M.Fratzscher.2009.“Global Financial Transmission of Monetary Policy Shocks”,Oxford Bulletin of Economics and Statistics,71(6):739~759.
[17]Fatum,R.and B.Scholnick.2008.“Monetary Policy News and Exchange Rate Responses:Do Only Surprises Matter?”Journal of Banking and Finance,32(6):1076~1086.
[18]Goh,J.,Jiang F.,Tu J.,and Y.Wang.2013.“Can US Economic Variables Predict the Chinese Stock Market?”,Pacific-Basin Finance Journal,22(4):69~87.
[19]Gupta,R.,Chi K.M.L.,Liu R.,and H.A.Marfatia.2017.“Price Jumps in Developed Stock Markets:The Role of Monetary Policy Committee Meetings”.Working Paper.
[20]Gürkaynak,R.,Sack B.,and E.Swanson.2005.“Do Actions Speak Louder than Words?The Response of Asset Prices to Monetary Policy Actions and Statements”,International Journal of Central Banking,1:55~93.
[21]Gürkaynak,R.,Sack B.,and E.Swanson.2007.“Market-Based Measures of Monetary Policy Expectations”.Journal of Business and Economic Statistics,25(2):201~212.
[22]Hausman,J.and J.Wongswan.2011.“Global Asset Prices and FOMC Announcements”,Journal of International Money and Finance,30(3):547~571.
[23]Jiang,F.and G.Tong.2016."Monetary Policy Uncertainty and Bond Risk Premium",Working Paper.
[24]Kuttner,K..2001.“Monetary Policy Surprises and Interest Rates:Evidence from the Fed Funds Futures Market”,Journal of Monetary Economics,47(3):523~544.
[25]Laeven,L.and H.Tong.2012.“US Monetary Shocks and Global Stock Prices”,Journal of Financial Intermediation,21(3):530~547.
[26]Mishkin,F.S..2001.“The Transmission Mechanism and the Role of Asset Prices in Monetary Policy”,NBERWorking Paper,No.8617.
[27]Parkinson,M..1980.“The Extreme Value Method for Estimating the Variance of the Rate of Return”,Journal of Business,53(1):61~65.
[28]Taylor,J.B..2007.“Housing and Monetary Policy”,NBER Working Paper,No.13682.
[29]Wongswan,J..2006.“Transmission of Information across International Equity Markets”.Review of Financial Studies,19(4):1157~1189.
[30]Wongswan,J..2009.“The Response of Global Equity Indexes to U.S.Monetary Policy Announcements”,Journal of International Money and Finance,28(2):344~365.
[31]Woodford,M..2012.“Inflation Targeting and Financial Stability”.NBER Working Paper,No.17967.
1本文在计算未预期到的货币政策调整时使用的是日度数据,而Gurkaynak et al.(2005)、Wongswan(2009)等则通过30分钟和60分钟的事件窗口研究美联储货币政策对资产价格的影响。后文中的欧洲美元期货与联邦利率期货的时间设置相同。
2如果美联储议息会议决议在当月第一天公布,未预期到的货币政策等于当天期货的收盘利率与t-1期(上月月末)利率的差。如果会议决议日期在当月最后一天,那么■,详见Kuttner(2001)。
3 Gurkaynak et al.(2007)发现在6个月以上期限的利率预测中欧洲美元期货表现更好。
1估计的方程为△=-0. 04+0.52~*UMP,R~2是0. 39,单位是基点(Basis Point)。
1篇幅限制,未在文中列出。
1当地时间2017年3月15日,美联储宣布将联邦基金目标利率提高25个基点。在美联储加息后,北京时间2017年3月16日,我国货币当局全面上调逆回购和常备借贷便利(MLF)中标利率。
1本文也计算了包含开盘价和收盘价的调整的极差波动率以及根据股票指数5分钟分时数据计算得到的日度已实现波动率(Realized Volatility),二者的回归结果与文中一致。
1篇幅限制,未在文中列出。
[2]郭豫媚、陈伟泽和陈彦斌,2016,《中国货币政策有效性下降与预期管理研究》,《经济研究》第1期,第28~41,83页。
[3]郭豫媚和周璇,2018,《央行沟通、适应性学习和货币政策有效性》,《经济研究》第4期,第77~91页。
[4]韩豫峰、汪雄剑、周国富和邹恒甫,2014,《中国股票市场是否存在趋势?》,《金融研究》第3期,第152~163页。
[5]侯成琪和龚六堂,2014,《货币政策应该对住房价格波动作出反应吗?--基于两部门动态随机一般均衡模型的分析》,《金融研究》第10期,第15~33页。
[6]姜富伟、David Rapach、Jack Strauss、凃俊和周国富,2011,《中国股票市场可预测性的实证研究》,《金融研究》第9期,第107~121页。
[7]金春雨和张龙,2017,《美联储货币政策对中国经济的冲击》,《中国工业经济》第1期,第25~42页。
[8]刘金全,2002,《货币政策作用的有效性和非对称性研究》,《管理世界》第3期,第43~51页。
[9]徐忠,2017,《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》第1期,第1~21页。
[10]Ammer,J.,Vega C.,and J.Wongswan.2010.“International Transmission of U.S.Monetary Policy Shocks:Evidence from Stock Prices”,Journal of Money,Credit and Banking,42(6):179~196.
[11]Bernanke,B.and M.Gertler.2001.“Should Central Banks Response to Movements in Asset Prices?”American Economic Review,91(2):253~257.
[12]Bernanke,B.and K.Kuttner.2005.“What Explains the Stock Market’s Reaction to Federal Reserve Policy?”Journal of Finance,60(3):1221~1257.
[13]Campbell,J.R.,Evans C.L.,Fisher J.D.,and A.Justiniano.2012.“Macroeconomic Effects of Federal Reserve Forward Guidance”,Brookings Papers on Economic Activity:1~80.
[14]Canova,F..2005.“The Transmission of U.S.Shocks to Latin America”,Journal of Applied Econometrics,20(2):229~251.
[15]Chen,J.,Jiang F.,Liu Y.,and J.Tu.2017.“International Volatility Risk and Chinese Stock Return Predictability”,Journal of International Money and Finance,70(2):183~203.
[16]Ehrmann,M.and M.Fratzscher.2009.“Global Financial Transmission of Monetary Policy Shocks”,Oxford Bulletin of Economics and Statistics,71(6):739~759.
[17]Fatum,R.and B.Scholnick.2008.“Monetary Policy News and Exchange Rate Responses:Do Only Surprises Matter?”Journal of Banking and Finance,32(6):1076~1086.
[18]Goh,J.,Jiang F.,Tu J.,and Y.Wang.2013.“Can US Economic Variables Predict the Chinese Stock Market?”,Pacific-Basin Finance Journal,22(4):69~87.
[19]Gupta,R.,Chi K.M.L.,Liu R.,and H.A.Marfatia.2017.“Price Jumps in Developed Stock Markets:The Role of Monetary Policy Committee Meetings”.Working Paper.
[20]Gürkaynak,R.,Sack B.,and E.Swanson.2005.“Do Actions Speak Louder than Words?The Response of Asset Prices to Monetary Policy Actions and Statements”,International Journal of Central Banking,1:55~93.
[21]Gürkaynak,R.,Sack B.,and E.Swanson.2007.“Market-Based Measures of Monetary Policy Expectations”.Journal of Business and Economic Statistics,25(2):201~212.
[22]Hausman,J.and J.Wongswan.2011.“Global Asset Prices and FOMC Announcements”,Journal of International Money and Finance,30(3):547~571.
[23]Jiang,F.and G.Tong.2016."Monetary Policy Uncertainty and Bond Risk Premium",Working Paper.
[24]Kuttner,K..2001.“Monetary Policy Surprises and Interest Rates:Evidence from the Fed Funds Futures Market”,Journal of Monetary Economics,47(3):523~544.
[25]Laeven,L.and H.Tong.2012.“US Monetary Shocks and Global Stock Prices”,Journal of Financial Intermediation,21(3):530~547.
[26]Mishkin,F.S..2001.“The Transmission Mechanism and the Role of Asset Prices in Monetary Policy”,NBERWorking Paper,No.8617.
[27]Parkinson,M..1980.“The Extreme Value Method for Estimating the Variance of the Rate of Return”,Journal of Business,53(1):61~65.
[28]Taylor,J.B..2007.“Housing and Monetary Policy”,NBER Working Paper,No.13682.
[29]Wongswan,J..2006.“Transmission of Information across International Equity Markets”.Review of Financial Studies,19(4):1157~1189.
[30]Wongswan,J..2009.“The Response of Global Equity Indexes to U.S.Monetary Policy Announcements”,Journal of International Money and Finance,28(2):344~365.
[31]Woodford,M..2012.“Inflation Targeting and Financial Stability”.NBER Working Paper,No.17967.
1本文在计算未预期到的货币政策调整时使用的是日度数据,而Gurkaynak et al.(2005)、Wongswan(2009)等则通过30分钟和60分钟的事件窗口研究美联储货币政策对资产价格的影响。后文中的欧洲美元期货与联邦利率期货的时间设置相同。
2如果美联储议息会议决议在当月第一天公布,未预期到的货币政策等于当天期货的收盘利率与t-1期(上月月末)利率的差。如果会议决议日期在当月最后一天,那么■,详见Kuttner(2001)。
3 Gurkaynak et al.(2007)发现在6个月以上期限的利率预测中欧洲美元期货表现更好。
1估计的方程为△=-0. 04+0.52~*UMP,R~2是0. 39,单位是基点(Basis Point)。
1篇幅限制,未在文中列出。
1当地时间2017年3月15日,美联储宣布将联邦基金目标利率提高25个基点。在美联储加息后,北京时间2017年3月16日,我国货币当局全面上调逆回购和常备借贷便利(MLF)中标利率。
1本文也计算了包含开盘价和收盘价的调整的极差波动率以及根据股票指数5分钟分时数据计算得到的日度已实现波动率(Realized Volatility),二者的回归结果与文中一致。
1篇幅限制,未在文中列出。