货币政策在国际间股票市场的外溢性研究

Research on the Spillover Effect of Monetary Policy on International Stock Markets

本文运用全球30个国家和地区的股票市场及货币政策数据,实证研究货币政策在国际间股票市场的外溢性。研究发现,一国货币政策在国际间股票市场确实存在显著的溢出效应,其宽松的货币政策会引起其他国家和地区股票市场收益率提高,紧缩的货币政策会引起其他国家和地区股票市场收益率降低。而在经济危机时期,一国货币政策的外溢性更大。本文利用各国的产业股票市场数据,研究发现货币政策对贸易品产业及非贸易品产业均存在显著的外溢性,但其对贸易品产业的溢出效应更大。

This article investigates into the spillover effect of monetary policy on the international stock markets. Usingthirty countries＇ monetary policy data and country-level stock data, we found that monetary policy statements do spill over tointernational stock markets. There is a negative reaction （two-day return spread vis-a＇-vis the US） to the increase ofinterest rate in a common information spillover around the world. Also, crises amplified the spillover effect. In the meantime, itanalyzed the spillover effects at the industry level and found that the spillover effect was more pronounced in traded goods.