美联储货币政策变化对国际股票市场的影响

The Impact of Changes in the Federal Reserve’s Monetary Policy on the International Stock Market

2018年美联储动作频频,加息、缩表多次引起国际金融市场投资者关注,对国际股票市场产生很大影响。在此背景下,文章基于VAR模型(向量自回归模型),依次采用ADF检验、Johanson协整检验、脉冲响应函数和方差分解等方式对时间序列进行分析,研究不同阶段下美联储广义货币量、美联储资产负债表、联邦基金利率的变化对国际股票市场股票价格溢出效应的差异,分析不同货币政策变化对各国股票市场产生溢出效应持续的时间、股价波动等方面的差异,分析三者对不同国家股市股价变化的解释程度。研究结果表明美联储货币政策的变化对各个国家的股市都有一定的溢出效应,美联储货币政策变化与各个国家股市之间存在长期的稳定的协整关系。美联储资产负债表的变化对大多数国家股市的溢出效应为正负交替进行,但是影响的持续时间有限,发达国家的股市相较于新兴国家股市受到冲击后做出的反应更加不敏感。

In 2018,the Fed’s actions were frequent,and interest rate hikes and contractions repeatedly attracted the attention of investors in the international financial market,which has impacts on the international stock market.In this context,based on the VAR model(vector autoregressive model),ADF Test,Johanson Co-integration Test,Impulse Response Function and Variance Decomposition are used to study and analyze time series,and other aspects,including the difference among the Fed’s broad money volume,the Fed’s balance sheet,the changes in the federal funds’interest rate on the stock price of international stock markets,the differences in the duration of the spillover effects of different monetary policy changes on stock markets in various countries,stock price fluctuations,and the extent to which the three explain the stock price changes in different countries.The results show that the changes in the Fed‘s monetary policy have a certain spillover effect on the stock markets of various countries.There is a long-term and stable cointegration relationship between the Fed’s monetary policy changes and the stock markets of various countries.Changes in the Fed’s balance sheet have positively and negatively impacted the stock markets’spillover effects in most countries,but the duration of the impact is limited.The stock markets in developed countries are less sensitive than those in emerging countries’stock markets.