基于多中介变量的货币市场利率及预期波动对股票收益率冲击效应分解

Decomposition of Shock Effect of Spot Interest Rates and Expected Interest Rates in Money Market to Stock Returns-based on Several Intermediary Variables

笔者利用2003年1月—2014年6月的月度数据,分析了不同市场环境下货币市场利率水平及长短期预期波动对股票收益率的冲击效应,并对其进行了分解研究。结果显示:货币市场即期利率水平、短期和长期利率预期都会对股市收益率和投资者情绪等多个中介变量产生显著影响,但长期利率预期的冲击效应相对较弱;不同市场环境下的冲击效应显示出非对称性,熊市中股票市场收益率和情绪更容易受到货币市场利率及预期波动的影响;进一步的冲击效应分解表明,对投资者情绪、信贷环境预期、系统风险、期限溢价更敏感的股票的收益率,更容易受到货币市场利率及预期波动的冲击。这些结果表明货币市场利率波动对股票收益率的影响很大程度上是通过对投资者情绪、信贷环境预期等中介变量的影响来实现的。

This paper use the monthly data in January 2003—June 2014 to analyze the shock effect of the volatility of money market spot interest rates and expected short-term and long-term interest rate in different market conditions on stock returns,and decompose the shock effect. The result shows： the spot interest rates and short-term and long-term expected interest rates have a significant impact on the stock market return and investor sentiment. But the shock effect of long-term expected interest rate is weaker than that in the spot rate and the expected short-term interest rate; The shock effect of different market environment also shows the asymmetry,the stock market returns and the investor sentiment are more vulnerable influenced by the volatility of money market spot interest rates and expected interest rates in the bear market. Further,decomposition of the shock effect shows： The sample stock returns which are more sensitive to investor sentiment,the market excess return,default spread factor and term spread factor are more vulnerable shocked by the volatility of spot interest rates and expected interest rates in money market. These results indicate that the influences of the volatility of interest rates on the stock returns are achieved largely through the influence of investor sentiment and the credit environment.