央行ETF购买政策对股市波动的影响研究:来自日本的经验证据

A Study on the Impact of Central Bank ETF Purchases on Stock Market Volatility:Empirical Evidence from Japan

在非常规货币政策下,日本央行推出了大规模长期性股票ETF购买政策来降低股市风险溢价,以此促进经济中“健康”的冒险行为,摆脱通货紧缩和经济低迷。本文基于公告效应和执行效果,分别采用事件研究法和EGARCH模型考察其政策公告和执行对股市收益和波动的影响。研究发现:(1)ETF购买政策公告显著提高了股市收益,央行释放的积极信号在短期内改善了投资者预期;(2)日本央行通常选择在股市较为低迷、波动率较高的交易日,进行ETF购买政策的实际运作;(3)日本央行进行ETF实际购买有效地降低了股市收益率下跌幅度,降低了收益率的波动。本文进一步丰富了非常规货币政策措施传导路径及政策效果的研究,为我国货币政策实践及防范和化解重大系统性风险提供了启示。

Under the unconventional monetary policy,the Bank of Japan has introduced a large and long-term policy of ETF purchasing to reduce equity risk premiums and promote"healthy"risk-taking behaviors,thus shaking off deflation and economy downturn.Based on announcement effect and execution effect,event study and EGARCH model were used to investigate the effect of policy announcements and implementation on stock returns and volatility.The results show that:(1)the ETF purchase policy announcement significantly improves the stock market returns,and the positive signals released by the central bank improve investors'expectations in the short term;(2)the Bank of Japan usually chooses to carry out the actual operation of ETF purchase policy on the trading day with relatively low stock market and high volatility;(3)the Bank of Japan's actual purchase of ETF effectively reduces the decline in the stock market and the volatility of yield.This paper further enriches the research on the transmission path and the effect of unconventional monetary policy.And it provides enlightenment for China's monetary policy practice and prevention and resolution of major systemic risks.