Monetary shocks and asymmetric effects in an emerging stock market: The case of China

In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and market cycles. The effects of shocks from interest rate and reserve rate vary across market cycles but effects from money supply and exchange rate do not. Empirical evidence from the non-linear model shows that monetary policy changes increase stock market volatility, even though these monetary policies are often aimed at stabilizing macro-economic activities. The evidence suggests that both the market conditions and the effects on stock markets should be taken into consideration in monetary policy design and implementation.     

股票价格、实体经济与货币政策研究——基于我国1997-2011年的经验证据

本文运用格兰杰因果关系检验和向量自回归方法分析了1997年1月至2011年6月我国股票价格、GDP、通货膨胀率和货币政策的关系,实证结果表明,在中国,股票价格对通货膨胀的效应为正向,即股市上涨能带动通货膨胀水平的上涨。股票市场对GDP的影响短期内主要表现为替代效应,长期来看,则是财富效应和投资效应占主导;同时,货币供应量和利率对股票价格均有影响,但影响均不显著。通过格兰杰因果关系检验发现,利率变动导致货币供应量和股票价格发生变化。而货币供应量的变化影响着通货膨胀,也一定程度影响利率和股票价格。通过广义脉冲响应发现,中国人民银行紧缩性的利率政策并不能抑制股票价格上涨。增加货币供给短期内能够推动股市上涨,但长期对股市仍没有效果。     

股票市场的货币政策传导分析

货币政策的传导机制不是唯一的，金融市场的种种特征造成了货币政策传导的多样性，股票市场中的货币政策传导就具有独特的规律，在不与银行信贷的创造机制相连的前提下，信贷资金和股市资金的沟通是合理的，目前中国信贷市场和股票市场之间千丝万缕的关系，并没有为货币政策传导创造更加有效的机制基础，股票市场还不能成为货币政策的有效传导渠道。     

The Sovereign Yield Curve and the Macroeconomy in China

A dynamic Nelson–Siegel model is adopted to estimate three time‐varying factors of yield curves, the level, the slope and the curvature, and a vector autoregressive model is built to study interactions between macro variables and the yield curve. Results show that, first, money supply growth is a more effective instrument to curb inflation than the monetary policy interest rate; however, the central bank also adjusts the interest rate to stabilize money supply. Second, investment is an important measure to stimulate the Chinese economy, but it also pushes up money supply growth, which results in higher inflation. Third, the yield curve reacts significantly to innovations to investment growth and money supply growth. The segmentation of China's bond market hinders the efficient implementation of monetary policy, and the monetary policy transmission mechanism is still weak in China. Finally, interactions between the yield curve and the macroeconomy in China are nearly unidirectional. Macroeconomic variables reshape the yield curve, but direct adjustments of the yield curve do not significantly change macroeconomic variables. Due to the incomplete liberalization of financial markets, there exists a wide disjunction between the real economy and financial markets in China.     

论股票市场对扩张性货币政策效力的影响及相应对策

面对我国20世纪90年代中期以来的通货紧缩状况，货币当局实施了一系列扩张性货币政策。由于我国股票市场在发展过程中的一些问题、银行体制上的缺陷以及宏观经济环境的影响等因素，股票市场并不能在货币政策和实体经济之间有效地发挥传导作用；货币政策本身也受到了股票市场发展的重要影响。为解决问题，应当在股票市场、企业投资环境和货币政策本身三个方面进行完善。     

我国货币政策与股票市场的实证分析

资本市场是现代金融市场最主要构成部分之一,对实际经济生活的影响日益增大。通过我国股票市场与经济增长的实证检验可知,货币政策与资本市场是一种互动关系。一方面,中央银行的货币政策会直接或间接地影响资本市场;另一方面,资本市场的发展对货币政策及其传导机制有深刻的影响。     

The effectiveness of monetary policy in steering money market rates during the financial crisis

The financial crisis has deeply affected money markets and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, we analyze the effectiveness of monetary policy in steering euro area money market rates by looking at (i) the predictability of money market rates on the basis of monetary policy expectations and (ii) the impact of extraordinary central bank measures on money market rates. We find that during the crisis money market rates up to 12 months still respond to revisions in the expected path of future rates, even though to a lesser extent than before August 2007. We attribute part of the loss in monetary policy effectiveness to money market rates being driven by higher liquidity premia and increased uncertainty about future interest rates. Our results also indicate that the ECB’s non-standard monetary policy measures as of October 2008 were effective in addressing the disruptions in the euro area money market. In fact, our estimates suggest that non-standard monetary policy measures helped to lower Euribor rates by more than 80 basis points. These findings show that central banks have effective tools at hand to conduct monetary policy in times of crises.     

货币供给量对资本市场收益的影响——基于中国股票市场的分析

当一个经济体中存在股票市场时,货币政策的传导机制显得非常复杂。本文就货币供给量对股票市场收益的影响进行了经验研究,得出狭义货币供应量（M1）和广义货币供应量（M2）均对市场有正向影响的结论;同时发现,市场对现有影响因素的反应有过度的倾向,但长期内会恢复均衡。因此,在制定货币政策时,需要考虑货币供应量对证券市场特别是股票市场的影响。     

我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.     

资本市场发展影响货币需求的实证研究

从理论上分析,资本市场发展对货币需求存在正向影响的财富效应和负向影响的替代效应,但对中国的资本市场发展及货币需求数据进行实证分析发现,资本市场发展提高了经济体的货币需求;股票成交金额的变动有助于我们对于狭义货币供应量的预测,不过在统计上无助于我们对于广义货币供应量的预测。考虑到资本市场发展因素,货币政策从紧的力度应该比单纯考虑实体经济货币需求的从紧力度略松。     

Empirical analysis of the monetary policy transmission through interest rate channel in China

With the deregulation of interest rates in China, the interest rate channel of monetary policy transmission is becoming more and more important. Firstly, this paper makes empirical studies on the transmission mechanism in China represented by the conventional interest rate channel of monetary policy transmission by using the Granger causality test. The result shows that there is no causality neither between investment expenditure and the market interest rate nor between household consumption and the market interest rate, which suggests that the transmission of monetary policy in China is impeded. Then the reasons from three aspects including interest rate liberalization, asset-backed securitization and household consumption behavior are analyzed.     

Monetary transmission with multiple policy rates: evidence from Turkey

Quantitative easing policies have led to persistent divergence between officially announced policy rates and short-term money market rates in many economies, making it challenging to assess the stance of monetary policy in the aftermath of the global financial crisis. Lack of data variation in short-term interest rates across time dimension has made it difficult to identify the monetary transmission mechanisms. In order to shed some light on this topic, we make advantage of a specific period from Turkey during which the central bank deliberately allowed the policy rates to diverge frequently from the interbank rates due to capital flow management purposes. Using bank-level flow data from this episode, we investigate the relationship between various short-term interest rate measures and bank loan/deposit rates through panel estimation methods. Our findings suggest that interbank rates are more relevant than central bank’s officially announced rates for the transmission of monetary policy when the two diverge from each other persistently. Interbank rates particularly play a key role in the pricing of loans and deposits. These findings provide helpful guidance for evaluating the monetary stance under unconventional policies.     

Housing,consumption and monetary policy: how different are the first-, second- and third-tier cities in China?

This article presents an empirical analysis of the relationship between house prices and the real economy in China’s first-, second- and third-tier cities. A Structural Vector Autoregression model is applied to study the impacts of monetary policy shocks and housing demand shocks on various housing markets across China. We also investigate the role of house prices in the transmission mechanism of monetary policy. The results reveal that in first-tier cities, raising interest rates has a stronger negative effect on house prices. Also, as house prices decrease in first-tier cities, private consumption declines sharply. There is a stronger role of housing markets in the transmission of monetary policy shocks in these cities. Our findings indicate that interest rate adjustment could effectively curb spikes in housing prices in the first-tier cities, but the impact of such adjustments on household consumption must also be considered.     

Impact of US monetary policy rate shock and other external shocks on the Hong Kong economy: A factor‐augmented vector autoregression approach

This paper uses the factor‐augmented vector autoregression framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, the European Central Bank (ECB) and the Bank of Japan as well as the slowdown of the Mainland economy. The empirical results show that shocks in US monetary policy rate mainly affect interest rate‐sensitive sectors in Hong Kong and that monetary easing from the European Central Bank and the Bank of Japan somewhat offsets the impact of tightening of the Fed. The transmission of external shocks is through trade and capital markets. Real variables such as real GDP growth and the unemployment rate are more sensitive to the economic slowdown in Mainland China. It is estimated that the combined effect of the four external shocks will on average lower Hong Kong's quarterly GDP growth by 0.6 percentage points and quarterly inflation by 0.2 percentage points in the first four quarters. However, Hong Kong's financial stability, particularly with regard to loan quality, banks’ capital and liquidity, is well maintained by macroprudential policies, suggesting that Hong Kong's financial system is resilient to external shocks.     

Stochastic and structural fiscal policy in a monetary stationary economy

In the framework of a monetary asset pricing model which is simple enough to generate closed form formulae for equilibrium price functions the interactions between output, fiscal policy, and asset markets is investigated. With money yielding liquidity services in the exchange process real stock prices are negatively correlated with anticipated (stochastic) fiscal policy changes, while the impact of unanticipated (structural) fiscal policy on the stock market depends qualitatively on the ‘business cycle’ of the economy. It is shown that the monetary character of the economy, more precisely the role of money in the exchange process, is critical for the relationship between fiscal policy and real share prices. Moreover, while contingent fiscal policy measures may be successful in stabilizing the real interest rate on money they are incapable of achieving a stable term structure of the real rate on stocks. In contrast, uncontingently higher public expenditures generally promote the volatility of the real rates on financial assets.     

Financial market imperfections and monetary policy strategy

In a model with imperfect money, credit and reserve markets, we examine if an inflation-targeting central bank applying the funds rate operating procedure to indirectly control market interest rates also needs a monetary aggregate as policy instrument. We show that if private agents use information extracted from money and financial markets to form inflation expectations and if interest rate pass-through is incomplete, the central bank can use a narrow monetary aggregate and the discount interest rate as independent and complementary policy instruments to reinforce the credibility of its announcements and the role of inflation target as a nominal anchor for inflation expectations. This study shows how a monetary policy strategy combining inflation targeting and monetary targeting can be conceived to guarantee macroeconomic stability and the credibility of monetary policy. Friedman's k-percent money growth rule, which can generate dynamic instability, and two alternative stabilizing feedback monetary targeting rules are examined.     

基于VAR的货币供应量对我国上证指数的影响力分析

货币政策会通过货币供应量的变动发挥其政策效果,并借助一定的传导机制,影响一国经济的各个层面,其供应量的变动对资产价格的变动也会造成一定的影响。应用VAR模型,选择一定的变量以及对数据进行整理,对货币供应量对我国上证指数的影响力进行实证分析,发现货币供应一般通过进入经济实体和股市两种途径影响股票市场,M1的增减方向与股市涨跌方向基本同步,M2对上证指数波动的贡献率最大。     

人民币汇率、国际资本流动与货币政策有效性研究*——基于修正BGT模型的实证分析

本文采用修正的BGT模型,实证研究了国际资本流动影响因素以及央行在面对国内外资本市场波动、金融体系变迁等情形下,货币政策实施方式及其效果。结果显示,随着意愿结售汇制度的实行和人民币汇率弹性的增强,央行的货币自主性得以加强;在开放环境下,国际资本流动受国内外利差、资本市场溢价、货币政策及汇率制度和外汇管理制度的影响。面对这些国内外冲击,央行进行了央票冲销或调整准备金率等的反向货币政策操作,以实现货币政策目标。     

资本市场通胀理论与宏观调控

中国资本市场近年来快速膨胀又大幅调整,不断流出、流入这个市场的资金给宏观调控带来了前所未有的考验.通过分析Minsky的资本市场通胀理论以及对货币政策有效性的影响,对如何宏观调控中国资本市场和防止资本市场的大起大落提出了建议和意见.     

P2P网络借贷市场对资本市场的风险溢出效应

构建Copula-GARCH模型,并利用2013—2016年中国P2P网络借贷市场、股票市场和债券市场的日收益率数据,实证研究了P2P网络借贷市场对资本市场的风险溢出效应。结果显示:P2P网络借贷市场与股票市场之间存在"跷跷板"效应,与债券市场之间呈现出较弱的联动效应;P2P网络借贷市场与股票市场和债券市场的上、下尾部相关性均很弱,风险溢出效应不显著。结论表明:在确保金融系统稳定的同时,中国可以适度发展P2P网络借贷行业。