Unconventional monetary policy and stock repurchases: Firm-level evidence from a comparison between the United States and Japan

This paper is the first comparative study examining the determinants of stock repurchases during the period of unconventional monetary policy. By constructing a vast firm-level dataset of the U.S. and Japan and conducting multivariate Tobit and probit analyses, this paper presents evidence that during the period of unconventional monetary policy, in both the U.S. and Japan, firms with more free cash flow and lower borrowing costs are more likely to repurchase stock, firms with higher financial leverage are more likely to abstain from stock repurchases, and firms coordinate dividends and stock repurchases to please shareholders. I also find striking contrasts between the results of U.S. and Japanese firms, and show the importance of financial structure in explaining the contrasting results. From a micro perspective, this paper provides new insight and evidence to support the view that financial structure should be thought of as an important factor determining the effects of unconventional monetary policy.     

Corporate debt and unconventional monetary policy: The risk-taking channel with bond and loan contracts

We investigate the effects of unconventional monetary policies on corporate debt through the risk-taking channel using corporate bond and syndicated loan contracts from 2000 to 2016 in Japan. In this period, the policy rate remained fixed near the zero bound. Using the daily changes in the yield curve on monetary policy meeting days, we identify one call rate shock and two unconventional monetary policy shocks that do not affect short-term rates. We find that QE shocks, which move all medium-to-long-term rates, increase the maturity of debt contracts, especially for syndicated loans. In addition, such QE shocks decrease the size of corporate bonds with short maturity. On the other hand, QQE shocks, which raise medium-term rates and lower long-term rates, decrease the size of loans and corporate bonds with longer maturity. These effects imply the existence of the risk-taking channel of unconventional monetary policy: it stimulates investment in longer-maturity assets and decreases investment in assets with lower yields. Our findings show that unconventional policies affect debt contracts even in an extremely low interest rate environment.     

论双支柱政策调控

货币政策的理论脉络是基于需求不足。凯恩斯学派与弗里德曼的思维逻辑差别是利率主要直接由什么决定,利率的作用会被什么因素抵消。货币政策的当代实践值得关注的问题:一是作用的对象、范围、力度、效应;二是西方货币政策传导理论的新进展;三是中国货币政策怎样传导;四是要关注货币政策作用的差别。货币政策调控的中国创造即社会融资规模。结合中国实际,中国系统性的金融风险主要是金融机构大面积的不健康;2015年中国股灾,是系统性金融风险的集中表现;要认知在中国特色社会主义制度下,金融风险和金融周期形成的特殊机制;对怎样衡量适度货币供给进行分析。     

U.S. monetary policy indicators and international stock returns: 1970-2001

It is documented in the literature that U.S. and many international stock returns series are sensitive to U.S. monetary policy. Using monthly data, this empirical study examines the short-term sensitivity of six international stock indices (the Standard & Poor 500 [S&P] Stock Index, the Morgan Stanley Capital International [MSCI] European Stock Index, the MSCI Pacific Stock Index, and three MSCI country stock indices: Germany, Japan, and the United Kingdom) to two major groups of U.S. monetary policy indicators. These two groups, which have been suggested by recent research to influence stock returns, are based on the U.S. discount rate and the federal funds rate. The first group focuses on two binary variables designed to indicate the stance in monetary policy. The second group of monetary indicators involves the federal funds rate and includes the average federal funds rate, the change in the federal funds rate, and the spread of the federal funds rate to 10-year Treasury note yield. Dividing the sample period (1970-2001) into three monetary operating regimes, we find that not all policy indicators influence international stock returns during all U.S. monetary operating periods or regimes. Our results imply that the operating procedure and/or target vehicle used by the Federal Reserve Board (Fed) influences the efficacy of the policy indicator. We suggest caution in using any monetary policy variable to explain and possibly forecast U.S. and international stock returns in all monetary conditions.     

Firm-specific information and the efficiency of investment

In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 4.1 percentage points. Cross-sectional changes in investment are significantly correlated with the signals about fundamentals embedded in the stock price changes that occur upon liberalization. Panel-data estimations show that a 10-percentage point increase in a firm's expected future sales growth predicts a 2.9- to 3.5-percentage point increase in the growth rate of its capital stock. Country-specific changes in the cost of capital drive changes in investment but firm-specific changes in the cost of capital do not.     

货币政策对中国股市连续性波动和跳跃性波动的影响研究

股票价格包括连续和跳跃两个部分,本文基于股市高频数据将中国股市的已实现波动分解为连续性波动和跳跃性波动,通过建立多元线性回归模型和Tobit模型,研究了存款准备金政策和利率政策对不同类型股市波动的影响。研究表明,存款准备金率调整的信息发布对连续性波动没有显著影响,但对跳跃性波动存在显著的影响;存款准备金率的实际调整对连续性波动、跳跃性波动均存在显著影响,但跳跃性波动更多地受到了信息发布时的影响;利率政策的调整对连续性波动和跳跃性波动存在显著影响,中国股市对利率政策变化提前作出反应。     

近期债券市场基本面分析与展望

该文认为，外需放缓导致国内经济增速放缓，年内通货膨胀将呈前高后低走势，1季度将成为通胀高点，加息概率依然较大，短期内债券市场将维持当前的震荡格局，但仍不失资金配置良机，相对而言，长期国债，短期融资券的投资价值较大。     

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.     

我国货币政策对投资和消费的影响——基于VECM的实证研究

本文运用1996—2012年月度数据建立VECM模型,分析了货币政策对投资和消费的影响,结果显示:(1)货币政策对投资及消费的刺激作用存在非对称性,货币政策对投资的刺激作用比对消费的拉动作用强很多。(2)货币和信贷都可以对消费发挥积极作用,信贷的作用稍强,货币对投资的刺激作用几乎为零,而信贷对投资的拉动作用很明显。(3)利率对投资和消费都有一定影响,但不显著。分析表明,我国货币政策主要通过信贷渠道拉动投资来促进经济增长。通过进一步分析投资与消费的关系,发现当前应着力于扩大消费需求,而且目前财政政策对消费的刺激作用比货币政策有效。     

央行沟通、宏观经济环境与企业投资——利率渠道、信贷渠道与预期渠道货币政策的对比分析

本文对比研究央行沟通对企业投资的短周期引导能力。结果显示:在短周期内由于传导时滞,利率渠道的货币政策难以引导企业增加投资;信贷渠道的货币政策对企业投资有一定的引导作用;央行沟通能够通过预期渠道引导企业投资,但单独实行央行沟通的引导作用仍然有限。如果在进行央行沟通的同时配合信贷政策影响企业持有现金,就可能在短周期引导企业增加投资。此外,企业财务杠杆会减弱央行沟通的效果,企业投资价值对央行沟通效果没有显著影响。     

我国货币政策对股票市场非对称影响的实证研究——基于马尔可夫区制转换VAR模型

本文基于1997年1月至2012年4月的数据,使用三区制滞后两阶的MS（3）-VAR（2）模型,对三种区制下货币政策对股票市场的影响进行分析。研究发现,在不同状态下,货币政策变量的变动对上址综指收益的影响在时间、方向和效果上是非对称的。在高收益、低波动状态与低亏损、低波动状态下,利率的变动对股票市场并不存在显著的影响;在高亏损、高波动状态下,利率的变动滞后一期对股票市场有较小的正向影响,但滞后二期时存在较大的负向影响。货币供应量变动对股票市场的影响在高亏损、高波动行情时比在高收益、低波动和低亏损、低波动行情时更加显著。总体来看,利率和货币供应量对股票市场的影响任高亏损、高波动行情下是显著的。     

银行间债市收益率上扬的成因及后市展望

自2013年6月以来,利率的上行趋势已从货币市场利率扩散到中长端国债收益率,并蔓延到短端收益率。回归分析结果表明,经济基本面和资金面仅可部分解释国债收益率的上涨。文章进一步分析指出,货币政策维持中性偏紧趋向、金融机构调整资产配置结构削减债券投资额度、银行筹资方式多元化推高资金成本这三大因素,也是引起本轮利率接力上行的显著外力。中长期看,债券市场收益率中枢将随之抬升。在中性偏紧的货币政策基调没有改变前,债券市场将只有阶段性回嗳而无趋势性好转的行情。     

UK Stock Returns and the Impact of Domestic Monetary Policy Shocks

Abstract:  We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors.     

中国货币政策传导变量的区域结构效应研究

本文基于2007-2019年的数据实证分析利率、信贷、汇率、股票市场和房地产市场等货币政策传导变量对中国八大综合经济区经济增长和物价的影响.研究发现,中国货币政策传导存在明显的区域非对称效应;银行信贷和利率渠道对各区域经济增长和物价影响的方向基本一致,影响幅度存在较大差异;汇率对各区域经济增长、物价影响的方向和幅度均存...     

新常态下中国货币政策的宏观经济效应研究 ——基于不同中介目标的实证检验

以中国2003-2020年的季度宏观经济数据为样本,通过构建时变系数向量自回归模型分析银行间同业拆借利率、M2、信贷规模、社会融资规模四项货币政策中介目标对实际产出、通货膨胀、房地产市场以及股票市场的动态影响效应.结果表明:同业拆借利率对产出的影响呈增强趋势,M2、信贷以及社会融资规模等数量型货币政策对产出的影响效应更显著;信贷与社会融资规模对通货膨胀的影响效应较显著;同业拆借利率对房地产市场的短期影响效应较大;M2、信贷与社会融资规模对房地产与股票市场的长期影响效应较大.     

开放经济下中国货币政策独立性分析——兼论通货膨胀

开放经济下,中国货币供应量受制于外汇储备使货币政策丧失独立性。双顺差积聚起的巨额外汇储备是影响中国货币政策独立性的主要因素,通货膨胀也与货币政策的内生有关。应该改善一直以来实施的强制结售汇制度为意愿结售汇制度,加速利率市场化进程,尽快打通货币市场利率与金融机构存贷款利率的传导渠道,提高货币政策的效率,才能从根本上避免长期使用外汇冲销干预带来的各种政策弊端和机制扭曲。     

参股保险业与企业流动性风险管理:基于货币政策变更背景

现阶段宏观经济政策不断变更给企业经营带来诸多不确定性,从而增加了流动性风险,而通过参股保险公司所建立的产融结合平台能使企业降低制度调整的风险成本。我们对此进行了实证分析,以2006年～2010年上市公司季度数据为样本,利用倾向概率配对模型控制样本内生性问题后实证检验发现:参股保险公司的上市公司日常现金持有水平和调整水平较未参股公司低,且在面对从紧货币政策时,这种流动性风险管理的提升效果更加突出。结论显示,上市公司与保险公司建立产融结合平台具有财务协同效应,部分抵消了货币政策变更不确定性的冲击。这一研究对于企业产融结合实践策略部署有着重要的现实意义,对保险行业引导产融结合趋势也有较强的实践参考价值。     

美国量化宽松货币政策对中国溢出效应研究——基于贸易渠道分析

基于2008年10月~2014年3月的30个工业行业出口面板数据,运用FGLS方法,根据不同工业行业要素密集度考量美国量化宽松货币政策对我国工业出口贸易的影响。结果表明,美国量化宽松货币政策通过人民币汇率对我国资本密集型、劳动密集型和技术密集型行业的出口呈现出显著负面影响,通过国际大宗商品价格指数对我国劳动密集型和技术密集型行业出口产生显著负面影响,美国实际工业产出对我国三类工业行业出口呈现出显著正面影响。     

中国股市行业风险与宏观经济之间的风险传导机制

本文采用行业收益率溢出指数度量股市行业风险,并进一步研究中国股市行业风险与宏观经济的相互影响,同时引入股息率和利率两个中介渠道深入挖掘其传导机制。我们运用GARCH-in-Mean模型对股市行业风险和宏观经济变量之间的一阶矩和二阶矩相互关系同时进行分析,结果发现,股市行业风险和宏观经济变量之间水平值和波动率都存在双向影响,对外溢出效应较大的行业起主导作用。此外,股市行业风险对宏观经济变量的影响方面,股息率和利率均起到中介渠道作用;宏观经济变量对股市行业风险的影响方面,只是利率起到中介渠道作用。股市行业风险与宏观经济的传导效应在不同时期差异显著。本文研究结论有助于深刻理解金融与实体经济之间的风险传导机制,对防范系统性风险、防止金融和实体经济“风险共振”以及提升金融服务实体经济能力等具有参考意义。     

The effects of U.S. quantitative easing on South Africa

This paper investigates the impact of the Federal Reserve’s monetary policy on the economy of South Africa, particularly during the period of quantitative easing and thereafter from 2009 to 2018. A VAR model, including South Africa’s inflation, output, a stock market index, exchange rate, and South Africa’s policy rate is examined to determine the impact of the Federal Reserve’s actions. Our results show that the Federal Reserve’s quantitative easing programs had only slight overall effects on South Africa’s economy. However, the way monetary policy is measured appears to have important effects for studies of international monetary spillovers as the results differ depending on the type of monetary policy measure used.