基于西方四国的利率调整与股市门限效应分析

An Analysis of the Threshold Effects of Interest Rate Adjustment based on the Western Four Countries

本文以美国、英国、加拿大及新西兰为研究对象,利用周度LIBOR、汇率、石油价格及股票价格指数,构建估计门限协整及门限误差修正模型,按照LIBOR的变化趋势划分为利率上调期与下调期,研究利率调整对股市的影响。研究表明无论是利率上调期还是下调期,四国利率对股票价格的影响都存在着显著的门限效应,利率对股票价格的影响除了受利率调整方向的影响外,还与利率调整的高低区制密不可分;无论是低利率区制还是高利率区制,四国股票价格在利率下调期的收敛速度明显快于利率上调期内的股价收敛速度;市场主体对利率调整空间的预期以及由此产生的股票与债券之间的替代效应,可以解释利率调整初期与股票价格的同向变化现象。

The paper builds threshold cointegration and threshold error correction model and divides it into interest rate increasing and decreasing periods, by using weekly LIBOR, exchange rate, petroleum price and stock price index, and by taking USA, UK, Canada and New Zealand as cases. The results show that： interest rate affects stock market with significant threshold effect during both interest rate increasing and decreasing periods ; the speed of converge toward new equilibrium of stock market during interest rate decreasing period is faster than that during increasing period in both high interest rate regime and low interest rate regime ; the expectation for adjustment room of interest rate and the substitution effects between bond and stock lead to the same direction of change at the beginning of interest rate adjustment.