美联储货币政策对我国资产价格的影响

The Impacts of Federal Reserve’s Monetary Policy on Chinese Asset Prices

本文利用事件研究法考察了美联储货币政策对我国资产价格的影响。研究发现美联储货币政策会显著影响我国资产价格,美联储加息会降低我国债券和股票回报,降息则会提高债券和股票回报。将美联储货币政策进行细分后发现,预期到的货币政策调整对债券市场和股票市场的回报都有显著影响,而未预期到的货币政策调整和前瞻性指引只影响债券市场。进一步的研究表明,未预期到的美联储货币政策调整和前瞻性指引还会加剧我国金融市场的波动率。本文的研究结论为美联储货币政策对我国经济金融的影响提供了新的证据,对于投资者提高投资收益、降低投资风险以及货币当局完善我国货币政策调控和维护我国金融市场稳定具有重要意义。

A great deal of attention has been paid to understand the Federal Reserve (Fed) monetary policy's spillover effects on international financial markets, with the increasing economic and financial globalization. Extensive studies have documented that the Fed's monetary policy has significant impact on international asset prices (e.g., Hausman and Wongswan, 2011;Rosa, 2011). China is the largest trading partner of the US, thus it is reasonable that the Fed's monetary policy should have impacts on Chinese asset prices. However, Hausman and Wongswan (2011) and Rosa (2011) recently document that Chinese asset prices do not respond to Fed's monetary policies. It is important to note that their sample periods are mainly prior to 2005, in which Goh et al.(2013) find weak correlation between US economy and Chinese asset prices due to the underdeveloped financial market in China. In this paper, we re-test whether the Fed's monetary policies can have impacts on Chinese asset prices using the event study approach with extended longer sample periods. We take the FOMC statement release as events to investigate the impacts of Fed on Chinese bond and stock markets from January 2003 to December 2016. The advantage of the approach is that we can focus on the responses of asset prices to the Fed's monetary policy over a short window of time to eliminate other unrelated information. In addition, following Kuttner (2001) and Gürkaynak et al.(2005), we also test the effects of the anticipated monetary policy (AMP), unanticipated monetary policy (UMP) and forward guidance (FG) to explore the role of expectation in monetary policy. The main findings of this paper can be summarized as follows. First, we find that Fed's monetary policy does have significant effects on Chinese asset prices. In particular, an interest rate rise reduces bond and stock returns, while an interest rate cut increases bond and stock returns. This finding is different from the previous literature that documents no impact of Fed's monetary policy on Chinese asset prices. To do this, we use close-to-open overnight returns instead of daily returns as shown in Hausman and Wongswan (2011). Note that the Chinese close price is not affected by FOMC due to the lagged trading time in US, but the Chinses open price will incorporate information of Fed's monetary policy. As a result, close-to-open overnight returns will be clean enough to estimate the spillover effects of Fed's monetary policy accurately. In addition, earlier researches are conducted before 2005 when the Chinese financial market is still immature and the transmission mechanism of the Fed's monetary policy is underdeveloped. Second, we also document that the AMP has a significant impact on bond and stock returns, and positive AMP generates negative asset returns, which is in sharp contrast to the evidence as shown in Bernanke and Kuttner (2005) that find the relationship between AMP and asset prices is insignificant. It indicates that although the Fed's monetary policy has been expected by the market, it still has significant impacts on Chinese asset prices when interest rates are adjusted as the market expects. This paper provides empirical facts that supports the New Keynesian theory from the perspective of open economy, that is, monetary policy is effective. In addition, the reaction of Chinese bond market to Fed's UMP is stronger than AMP, in line with the results in Kuttner (2001). And, we find that Chinese bond returns tend to increase when Fed conveys that there will be an interest rate hike in the future based on FG. Third, we also uncover that the Chinese stock market volatility will increase once the Fed's monetary policy is adjusted. In addition, the stock volatility reactions to UMP and FG are significantly positive, indicating that the Fed's monetary policy will increase Chinese economic policy uncertainty and stock market volatility. Our findings have important implications for investors and regulators. First, this paper shows significant spillover effects of Fed's monetary policy, so the Chinese policy makers should take it into account when making Chinese monetary policy. Second, monetary policy makers should take advantage of the expectation management to improve the effectiveness of monetary policy, so as to smooth the international monetary policy shock properly. Third, that the Chinese market investors should pay attention to the impacts of Fed's monetary policy on Chinese asset prices to improve their returns on investment.