利率政策调整对证券市场影响的国别差异研究——基于未预期利率分解方法

Research on Country Differences of Interest Rate Policy Adjustment on Capital Market——Based on An Unexpected Perspective

运用中国不同期限的银行同业拆借利率和美国短期国债收益率分解出利率政策调整未预期部分。基于EGARCH模型,绘制中美两国证券市场信息冲击曲线,探究未预期视角下利率政策调整对两国证券市场影响的差异化。结果显示:未预期视角下利率政策调整与证券市场收益率负相关,中国证券市场波动幅度大于美国;中美两国证券市场的波动具有非对称效应,即利空冲击加剧两国证券市场的波动,但美国证券市场的波动比中国证券市场的波动更为强烈,利好冲击能够缓解美国证券市场的波动,但会加剧中国证券市场的波动。

The use of China’s different periods of time interbank offered rates and US short-term government bond yield for breaking down the unanticipated portion of interest rate policy adjustments. Based on the EGARCH model, the impact curve of capital market information between China and the United States is drawn, and the impact of unforeseen interest rate policy adjustment on the capital markets of the two countries is analyzed. The results show that the unforeseen interest rate policy adjustment is negatively correlated with the capital market return rate. China’s capital market volatility is greater than that of the United States. Secondly, the volatility of capital markets in China and the United States has an asymmetric effect, which is manifested in: the negative impact of the capital market fluctuations, but the volatility of the US capital market is more intense than the volatility of China’s capital market;good shocks can alleviate the volatility of the US capital market, but will increase the volatility of China’s capital market.