中国货币政策对股票市场影响的再考察

本文运用DAG方法、VAR模型和马尔科夫转换模型考察了货币政策对股市价格水平的影响,结果表明中短期内货币政策对股票市场价格水平存在影响显著,并表现出较强的非对称效应.股市低迷期的紧缩性货币政策会进一步降低股市收益率,减小股市从熊市转入牛市的概率;相反,股市繁荣期的紧缩性货币政策将增加股市从牛市转入熊市的概率.     

货币政策对股市的影响对称吗?

本文将预期理论引入货币政策和股市关系研究中,分别采用带哑变量的线性回归模型和扩展的马尔可夫转换模型考察未预期到的货币政策对股市影响。研究结果显示:未预期到的货币政策对股市的影响存在明显的非对称性,即熊市时能够对股市产生显著的影响,而牛市时这种影响较弱且不显著,投资者情绪和借贷约束是造成非对称性的原因。     

我国股市波动趋势分析与预测——基于马尔科夫区制转换模型

股市波动状态和趋势分析,既可以为投资者投资行为提供信息,又可为监管部门市场调控提供决策参考。文章通过多个检验指标选择最优马尔科夫区制转换模型对我国股市波动状态和未来趋势进行分析。研究发现我国股市大部分时候以熊市和平稳市场为主,牛市出现的频率虽然比较低但是持续时间却比较长。我国股市状态在熊市和平稳市间容易出现相互转移,从平稳市场转变为熊市的概率明显高于转变为牛市的概率。从当前的股市状态情况来看,我国股市在未来一定时期内仍然以熊市为主,随着熊市状态的持续平稳市场出现的概率将逐渐加大。     

分阶段的沪市波动不对称性的实证研究

本文以上证综合指数为研究对象,将股票市场波动划分为牛市和熊市两个阶段,采用GARCH模型族研究沪市的波动性特征,以及在牛市和熊市两个阶段股市的不平衡性反应。结果表明在牛市中,利好消息对股市的影响大于利空消息的影响;而在熊市中,利空消息的影响大于利好消息的影响。因此,管理层在出台相关政策时,应当判断市场消化政策冲击的能力,从而把握好政策调节市场的力度。     

我国央行货币政策调节方式对股票市场的影响——基于央行行为指数与央行沟通指数的比较

本文基于我国央行《货币政策执行报告》这一权威的书面沟通材料,构建了央行沟通指数,又基于传统货币政策调节方式构建了央行行为指数,实现了对不同货币政策调节方式、内容和方向的量化;同时,运用SVAR模型探讨了不同货币政策调节方式对沪深两市收益率和波动率的影响.研究发现,央行行为产生的作用要大于并快于央行沟通.从作用方向看,央行行为和央行沟通在对股市收益率具有正向作用的同时,都能够在一定程度上降低股市波动;从政策调节内容看,传递宽松信号的货币政策调节方式对股市的影响程度大于传递紧缩信号的货币政策调节方式;从股市周期看,熊市时期央行行为对股市收益率的影响程度大于央行沟通,而牛市时期央行沟通对股市收益率的影响程度则大于央行行为;从沪深两市看,两种货币政策调节方式对深市波动率的影响程度要大于对沪市波动率的影响.     

中国股市波动率的年线效应

本文以上证综合指数年线作为标准,把股市划分为牛市和熊市两种状态,并采用ARMA-EGARCH-M模型分别研究了牛市和熊市的股市波动率,称为年线效应。通过实证分析,得到以下主要结论：无论是牛市还是熊市,中国股市的日历效应都不显著;熊市的收益率序列几乎不存在任何的序列相关性;牛市波动率更容易受到坏消息的影响,而在熊市中,好消息的影响较大。如果不对消息内容进行区分,牛市会更容易受消息的冲击,加剧市场波动;而熊市中好消息和坏消息对市场波动的影响并不存在显著的差别。     

我国融资融券助涨助跌了吗?--基于波动非对称性视角北大核心CSSCISSCI

2014-2015年我国股市剧烈波动期间,融资融券是否助涨助跌曾引发激烈争论。本文基于波动非对称性视角,运用EGARCH模型研究融资融券对我国股市周期性波动的影响。实证结果表明,我国股市波动存在显著的双重非对称性,但融资融券对熊市波动非对称性和牛市反向波动非对称性都没有显著影响;我国融资融券既没有助推牛市上涨,也没有加剧熊市下跌,它对股市周期性波动的影响是中性的。     

货币政策对股市波动和相关性的混频非对称影响研究

货币政策作为需求管理的重要宏观经济调控政策，对股市走势和波动有着非常重要的影响。随着海峡两岸经济的蓬勃发展，中国内地(大陆)、中国香港、中国台湾股市在全球金融市场中的地位越来越重要。本文采用DCC-MIDAS模型全面分析了低频货币政策对高频中国内地(大陆)与港台股市波动及相关性的非对称性影响，克服了传统同频数据模型无法处理月度货币政策与日度股市数据所带来的频次不匹配和信息损失问题。研究结果表明：货币政策变化对于中国内地(大陆)与港台股市不同成分的波动影响具有显著的非对称性和异质性。在短期波动中，货币政策在香港和台湾股市存在非对称性；在长期波动中，扩张性和紧缩性的单一货币政策均会增大股市波动，但影响程度有所不同，而同时考虑数量型和价格型货币政策时，紧缩性货币政策会抑制内地(大陆)股市的长期波动。股市间长期相关性的结果表明，无论扩张性还是紧缩性的货币政策都将抑制中国内地(大陆)与港台股市间长期相关性。     

中国股票市场、债券市场和证券投资基金市场的动态相关性研究

本文基于向量自回归(VAR)模型,从投资收益波动性角度研究了我国股票、债券和基金市场分别在熊市、牛市、震荡市中的动态相关性,研究发现:股票市场、债券市场和基金市场的收益率在三种行情下基本都呈现双向的波动溢出效应,只是相互之间影响的程度、滞后持续时间和冲击的方向有所不同。股票市场收益率的波动主要来自本身系统性的风险,且对基金市场的影响大于基金市场对股市的影响。债券市场收益率波动主要受其自身波动影响,并在熊市中受股市波动的正影响,牛市中受基金市场负向影响,震荡市中同时受股市和基金市场的影响。而基金市场收益率在三种行情下主要受股市波动的正影响(90%以上),其次是自身市场波动的正影响(5%左右),受债券市场的影响最小。     

中国股票市场、债券市场和证券投资基金市场的动态相关性研究

本文基于向量自回归(VAR)模型,从投资收益波动性角度研究了我国股票、债券和基金市场分别在熊市、牛市、震荡市中的动态相关性,研究发现:股票市场、债券市场和基金市场的收益率在三种行情下基本都呈现双向的波动溢出效应,只是相互之间影响的程度、滞后持续时间和冲击的方向有所不同.股票市场收益率的波动主要来自本身系统性的风险,且对基金市场的影响大于基金市场对股市的影响.债券市场收益率波动主要受其自身波动影响,并在熊市中受股市波动的正影响,牛市中受基金市场负向影响,震荡市中同时受股市和基金市场的影响.而基金市场收益率在三种行情下主要受股市波动的正影响(90%以上),其次是自身市场波动的正影响(5%左右),受债券市场的影响最小.     

The Impact of Monetary and Fiscal Policy Shocks on Stock Markets: Evidence from China

We study the impact of Chinese monetary and fiscal policy shocks and the interaction of the two policies on stock markets. We find that, first, when we focus on the contemporaneous correlation, Chinese fiscal policy has significant, negative contemporaneous relationships with stock market performance, while monetary policy’s impact on stock market performance varies, depending on the fiscal policy. Second, with respect to the lagged variables, Chinese monetary and fiscal policy both have a significant and direct positive effect on stock market performance. Meanwhile, interaction between the two policies plays an extremely important role in explaining the development of stock markets.     

Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models

This study applies the Cointegrated Vector-Autoregressive (CVAR) model to analyze the long-run relationships and short-run dynamics between stock markets and monetary policy across five developed and three emerging economies. Our main aim is to check whether monetary policy plays an important role for stock market developments. As an innovation, monetary policy enters the analysis from three angles: in the form of a broad monetary aggregate, short-term interest rates and net capital flows. Based on this framework, we analyze whether central banks are able to influence stock market developments. Our findings suggest different patterns and causalities for emerging and industrial economies with the stock markets of the former economies more frequently related to monetary aggregates and capital flows. A direct long-run impact from short-term interest rates on stock prices is only observed for 3 out of 8 economies.     

美联储货币政策对我国资产价格的影响

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。     

Monetary policy and stock market dynamics across monetary regimes

This paper examines the dynamic linkages between monetary policy and the stock market during the three distinct monetary regimes of Burns, Volcker and Greenspan since the 1970s. Some major findings are the following. First, in the 1990s it appears that there was a disconnection between Federal Reserve actions (via the federal funds rate) and responses by the stock market. Second, the impact of inflation on the stock market did not surface as significant in the later parts of 1980s and the 1990s. And third, significant asymmetric effects of monetary policy on the stock markets were observed throughout each monetary regime but these were more pronounced during bear markets than bull markets. These results suggest that there was no consistent dynamic relationship between monetary policy and the stock market and that the nature of such dynamics was different in each of the three monetary regimes.     

法定存款准备金率的调整对我国股票市场影响效应的实证研究

作为货币政策的三大基本工具之一,法定存款准备金率一向被认为对于货币供给量有着强烈的收缩能力,在国外通常不会轻易使用。但我国进入2006年以来,中国人民银行频繁动作,短短几年间调整达24次之多。为何我国会如此频繁使用这一工具？这种政策的调整对股票市场影响如何？股票市场这一传导渠道是否畅通？针对这一系列问题,本文采用事件研究法、干预分析模型与GARCH簇模型相结合对2006年以来法定存款准备金率的24次调整对股票市场的影响进行了实证分析。研究发现：从短期来看,法定存款准备金率的调整对我国股市的影响非常微弱;但对银行板块却有比较显著的公告效应,并且这种效应具有一定的滞后性。同时对同等幅度的政策调整,银行板块的反应比大盘更为剧烈。从长期来看,法定存款准备金率的调整对股票市场及银行板块的影响是长期存在的。从波动性的反应来看,法定存款准备金率的调整能有效降低银行板块股价的波动性,但对整个大盘而言则影响甚微。     

Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.

This paper studies the relationship between monetary policy and stock market return in the U.S. using nonlinear econometric models. It first employs a univariate Markov-switching model on each of the three stock indices and three monetary policy variables, displaying significant regime-switching patterns and common movements. This paper then uses a Markov-switching dynamic bi-factor model to simultaneously extract two latent common factors from stock indices and monetary policy variables to represent monetary policy changes and stock market movements separately. The smoothed probabilities of regimes demonstrate that expansionary monetary policy regimes follow economic recessions, but bear stock markets usually occur before economic recessions. The maximum likelihood estimation results show that expansionary monetary policy such as a decrease in the federal funds rate raises stock returns, but stock returns don't directly influence monetary policy decision.     

美联储利率承诺的宏观经济效应

作为金融危机后美联储非常规货币政策的重要手段之一,利率承诺对美国宏观经济变化的影响颇受关注。本文选取美国2001年1月至2011年8月的月度数据,以2008年12月为分界点,采用VAR模型实证检验了美联储非常规货币政策实施前后利率承诺政策对金融市场和实体经济的影响。研究结果表明:(1)零利率承诺缩短了金融市场对基准利率变动响应的时滞,但作用持续期明显缩短,其中股票市场和商业房地产市场的响应尤为明显;(2)零利率承诺政策有利于提升消费者信心,并抑制通货紧缩;(3)零利率承诺措施对实体经济的影响要大于对金融市场的影响。     

Dynamic linkages between monetary policy and the stock market

This paper examines the dynamic linkages between the federal funds rate and the stock market during the 1970–2004 period using the VAR methodology. We detected a disconnection between Fed actions and market responses in the 1990s relative to the 1970s and 1980s. Upon further analyses, we observed asymmetric effects of monetary policy actions on the stock market and that such actions were more turbulent during bear markets than bull markets. Overall, our results appear to suggest that there was consistent dynamic relationship between the conduct of monetary policy and the corresponding behavior by the stock market during the last three decades.     

Stock market reactions to monetary policy surprises under uncertainty

This article investigates how uncertainty impacts the effect of monetary policy surprises on stock returns. Using high-frequency US data, we demonstrate that stock markets respond more aggressively to monetary policy surprises during periods of high uncertainty. We also show that uncertainty asymmetrically influences the transmission of positive and negative monetary policy surprises to stock market prices. The amplifying effect of uncertainty is found to be stronger for expansionary shocks than for contractionary shocks. Our robustness analysis confirms that financial uncertainty has a significant role in shaping the influence of monetary policy on the stock market.     

Does monetary policy determine stock market liquidity? New evidence from the euro zone

The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as a determinant of commonality in liquidity. Our results suggest that an expansionary monetary policy of the European Central Bank leads to an increase of aggregate stock market liquidity in the German, French and Italian markets. Furthermore, the effect of monetary policy is significantly stronger for smaller stocks, suggesting a non-linear impact of monetary policy on stock liquidity.