中国货币政策会冲击到美国股票市场吗——基于效应外溢视角

Does China's Monetary Policy Impact US's Stock Market?: An Analysis From the Perspective of Spillover Effect

作为世界货币大国,美国的货币政策会对全球股票市场产生冲击。然而,随着中国经济的崛起,中国的货币政策是否也会对美国股票市场产生溢出影响?本研究运用事件分析法,试图挖掘超短期内美国股票市场针对中国货币政策调整做出的反应状态。研究结果表明,中国货币政策的实施对美国股票市场的收益率和波动性均存在显著的溢出影响,溢出程度有明显增强趋势,且数量型货币政策较价格型货币政策的溢出效应更为强烈。

As a superpower with the status of world currency, US＇s monetary policy can impact the global stock market. However, with the rise of Chinese economy, will China＇s monetary policy affect US＇s stock market？ This paper tries to analyze how US＇s stock market reacts to the change of China＇s monetary policy in the ultra-short term with the method of event analysis. The results show that China＇s monetary policy has a significant spillover effect on the rate of return and the volatility of American stock market, and the degree of the spillover effect exhibits an enhanced trend. Furthermore, the spillover effect of the quantitative monetary policy instrument is stronger than the price monetary policy instrument.