我院姜富偉副教授、郭豫媚講師和碩士研究生郭鵬合作撰寫的論文《美聯儲貨币政策對我國資産價格的影響》發表在《金融研究》2019年第5期。郭鵬是我院2016級學術碩士，該論文也是其主持的bevictor伟德官网研究生創新基金的最終成果。
近年來，随着經濟和金融全球化的加深，貨币政策調控表現出明顯的跨國溢出效應，美聯儲貨币政策對其他國家金融市場的溢出效應尤其受到關注。因此，研究美聯儲貨币政策調控如何影響我國資産價格和金融市場穩定對于有效防範外部風險沖擊，維護我國金融市場穩定和經濟平穩運行具有重要意義。鑒于此，本文用事件研究法重新研究了美聯儲貨币政策溢出對我國資産價格的影響是否存在，以及如何影響我國資産價格。
本文以美聯儲議息會議決議公布作為事件，研究了2003年1月到2016年12月期間美聯儲貨币政策對我國債券市場和股票市場的影響，樣本總計117個。不同于已有研究側重于美聯儲貨币政策的長期影響，本文使用了事件研究法檢驗了美聯儲貨币政策溢出對我國資産價格的短期影響。事件研究法的優勢在于聚焦短時間内資産價格變動對美聯儲貨币政策信息的反應，剔除長期數據中無關噪音的影響。此外，本文借鑒Kuttner（2001）和Gürkaynak et al.（2005）的做法，構建了測度美聯儲預期到的貨币政策、未預期到的貨币政策以及前瞻性指引的指标，分别研究其對我國資産價格的影響，以探究預期在貨币政策中的作用。
研究結果表明，美聯儲貨币政策調整會顯著影響我國債券和股票回報。具體來說，美聯儲加息會使我國債券和股票回報下降，而降息則會帶來債券和股票回報上升。這一發現與Hausman and Wongswan（2011）的發現不同，原因在于Hausman and Wongswan（2011）采用日度回報計算股票回報，而本文使用了隔夜回報。值得注意的是，由于中美交易時間的差别，股票價格的前一日收盤價在會議決議未公布前形成，當日開盤價則包括了美聯儲貨币政策信息。因此，相比與已有文獻中使用的日度回報，本文使用的隔夜回報更能有效測度美聯儲貨币政策對我國資産價格的沖擊。
本文發現預期到的美聯儲貨币政策調整對我國債券和股票回報都有顯著影響，資産回報會随着預期到的政策調整幅度的提高而降低，而已有文獻發現預期到的美聯儲貨币政策對股票市場影響不顯著（Bernanke and Kuttner，2005）。這說明盡管美聯儲貨币政策調整已經被市場所預期到，但仍然會對我國資産價格造成影響。這一實證結果從開放經濟的視角為新凱恩斯主義的觀點提供了新的經驗支持，即貨币政策是有效的。此外，本文發現未預期到的美聯儲貨币政策會顯著影響我國債券價格，而且影響程度大于預期到的貨币政策。進一步地，本文還發現美聯儲前瞻性指引也會影響我國資産價格，但隻有債券市場的反應顯著。本文還發現隻要美聯儲貨币政策進行調整，股票市場波動率就會增大，而且波動幅度随着政策調整幅度的增加而增大。與股票回報的實證結果不同的是，未預期到的貨币政策調整和前瞻性指引對股票波動率影響的系數都顯著為正，說明美聯儲貨币政策會給我國經濟和政策帶來不确定性，進而給股票市場帶來較大的波動風險。
本文認為貨币當局應注意加強貨币政策的國際協調，防止貨币政策協調不當引發的我國金融市場波動。同時，貨币當局也要加強預期管理，利用前瞻性指引和預期管理加強政策溝通，以提高貨币政策有效性，從而更加有效應對和平滑國際貨币政策沖擊。此外，本文認為投資者應當關注美聯儲貨币政策沖擊對我國資産價格的影響，根據市場預期動态調整投資組合，以達到降低風險提高投資回報的目的。
The Impacts of Federal Reserve’s MonetaryPolicy
on Chinese Asset Prices
A great deal of attention has been paid tounderstand the Federal Reserve (Fed) monetary policy’s spillover effects oninternational financial markets, with the increasing economic and financialglobalization. Extensive studies have documented that the Fed’s monetary policyhas significant impact on international asset prices (e.g., Hausman andWongswan, 2011). China is the largest trading partner of the US, thus it isreasonable that the Fed’s monetary policy should have impacts on Chinese assetprices. However, Hausman and Wongswan (2011) recently document that Chineseasset prices do not respond to Fed’s monetary policies. It is important to notethat 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 theunderdeveloped financial market in China. In this paper, we re-test whether theFed’s monetary policies can have impacts on Chinese asset prices using theevent study approach with extended longer sample periods.
We take the FOMC statement release as events toinvestigate the impacts of Fed on Chinese bond and stock markets from January2003 to December 2016. The advantage of the approach is that we can focus onthe responses of asset prices to the Fed's monetary policy over a short windowof time to eliminate other unrelated information. In addition, followingKuttner (2001) and Gürkaynak et al.(2005), we also test the effects ofthe anticipated monetary policy (AMP), unanticipated monetary policy (UMP) andforward guidance (FG) to explore the role of expectation in monetary policy.
The main findings of this paper can besummarized as follows. First, we find that Fed’s monetary policy does havesignificant effects on Chinese asset prices. In particular, an interest raterise reduces bond and stock returns, while an interest rate cut increases bondand stock returns. This finding is different from the previous literature thatdocuments no impact of Fed’s monetary policy on Chinese asset prices. To dothis, we use close-to-open overnight returns instead of daily returns as shownin Hausman and Wongswan (2011).Note that the Chinese close price is not affected by FOMC due to the laggedtrading time in US, but the Chinses open price will incorporate information ofFed’s monetary policy. As a result, close-to-open overnight returns will beclean enough to estimate the spillover effects of Fed’s monetary policy accurately.In addition, earlier researches are conducted before 2005 when the Chinesefinancial market is still immature and the transmission mechanism of the Fed’smonetary policy is underdeveloped.
Second, we also document that the AMP has asignificant impact on bond and stock returns, and positive AMP generatesnegative asset returns. It indicates that although the Fed's monetary policyhas been expected by the market, it still has significant impacts on Chineseasset prices when interest rates are adjusted as the market expects. This paperprovides empirical facts that supports the New Keynesian theory from theperspective of open economy, that is, monetary policy is effective. Inaddition, 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 bondreturns 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 stockmarket volatility will increase once the Fed’s monetary policy is adjusted. Inaddition, the stock volatility reactions to UMP and FG are significantlypositive, indicating that the Fed's monetary policy will increase Chineseeconomic policy uncertainty and stock market volatility.
Our findings have important implications forinvestors and regulators.First, this papershows significant spillover effects of Fed’s monetary policy, so the Chinesepolicy makers should take it into account when making Chinese monetary policy.Second, monetary policy makers should take advantage of the expectationmanagement to improve the effectiveness of monetary policy, so as to smooth theinternational monetary policy shock properly. Third, that the Chinese marketinvestors should pay attention to the impacts of Fed's monetary policy onChinese asset prices to improve their returns on investment.
