美联储货币政策溢出效应的异质性——来自中国股票市场流动性的经验证据

The Heterogeneous Spillover Effects of the U. S. Federal Reserve’s Monetary Policy:Experience in Evidence from China’s Stock Market Liquidity

基于沪市和深市换手率、非流动比率、流动强度的视角,构建时变参数计量经济模型,实证分析美联储货币政策对中国股票市场流动性的异质性溢出效应。研究结果发现,异质性溢出效应体现在:1)政策模式异质性。美联储数量型宽松货币政策主要会降低中国股票市场流动性,而价格型宽松货币政策主要会提高中国股票市场流动性。2)传导机制异质性。美联储数量型货币政策主要通过汇率渠道影响上市公司投资信心,进而影响中国股票市场流动性,而价格型货币政策主要通过利率渠道影响国际资本的套利行为,进而影响中国股票市场流动性。3)冲击时期异质性。美联储货币政策对中国股票市场流动性的冲击,在全球经济新常态时期的响应幅度最大、持续时间最短;在亚洲金融危机时期的响应幅度最小、持续时间最长;而在全球经济危机时期的响应幅度和持续时间都较为适中。

Based on the view of turnover rate,non-current ratio and liquidity intensity of both Shanghai and Shenzhen Stock Market,this research constructs a time-varying parameter econometric model,and explores the heterogeneous impact effect of the Fed’s monetary policy on the liquidity of China’s stock market.The study found that the heterogeneous impact effects are reflected as follows:1)Heterogeneity of policy modes.The Fed’s quantitative easing monetary policy will mainly reduce the liquidity of the China’s stock market;while the price-based easing monetary policy will mainly improve it.2)Heterogeneity of the conduction mechanism.The Fed’s quantitative monetary policy mainly affects the investment confidence of listed companies through exchange rate channels,which in turn affects the liquidity of the stock market.The price-based monetary policy mainly affects the arbitrage behavior of international capital through interest rate channels,which in turn affects the liquidity of the stock market.3)Heterogeneity of the impact period.The Fed’s monetary policy shocks caused the largest and shortest duration affect on liquidity of China’s stock market during the period of global economic new normal,smallest and longest duration affect during the period of Asian financial crisis,and moderate affect during the period of global economic crisis.