美联储加息对我国股市波动溢出效应研究——基于DAG-SVAR和溢出指数的考证

A Study of Spillover Effect of Fed Rate Raising on the Volatility of China’s Stock Market——Based on DAG-SVAR and Spillover Index

2014年末美联储退出量化宽松进入加息周期,诱发全球资本回流,而我国正值金融风险集聚、实体经济增长乏力和资产价格剧烈波动阶段,国内经济更易受国外货币政策冲击的影响。本文运用基于DAG-SVAR的溢出指数建模方法,分析2014年11月—2018年3月美联储加息对我国股票市场波动溢出的影响。结果表明:(1)加息周期下联邦基金利率上升通过汇率渠道和投资者情绪渠道加大了中美股市波动溢出强度,但这种正向激励效应并非长期存在。(2)美元第二次加息后,激励效应由正转负出现了拐点。(3)我国提高长端利率水平会加剧资本市场波动溢出,金融强监管政策不利于我国经济抵御外部新信息冲击。为更好应对美联储加息对我国股市波动的影响,央行等部门应进一步增强货币政策的国际协调性,加强内部优化,向市场提供充裕的流动性;同时,投资者也应加强对美国货币政策冲击风险的评估与管理。

At the end of 2014, the Fed withdrew from quantitative easing and entered a cycle of interest rate hikes, which led to the return of global capital. While China is at a stage of agglomeration of financial risks, weakness of the real economy and violent fluctuations in asset prices, and the domestic economy was more vulnerable to the impact of foreign monetary policies. This paper uses the DAG-SVAR-based spillover index method to analyze the impact of the Fed rate hike from November 2014 to March 2018 on the volatility spillovers of China’s stock market. The results show that:(1) The rise in the federal funds rate under the interest rate hike cycle intensifies the volatility spillover intensity of the Chinese and US stock markets, through channels of RMB depreciation and investor risk aversion, but the positive incentives do not exist for a long time.(2) After the US dollar raised interest rates for the second time, this incentive turned from positive to negative, and there was an inflection point effect.(3) China’s increase in long-term interest rates intensifies the spillover intensity of capital market volatility, and the policy of strong financial supervision is not conducive to China’s economy against new external information shocks. The research results of this paper provide new evidence for the impact of the Fed rate hike on China’s financial market, which is of great significance for the monetary authorities to improve the coordination of monetary policy regulation and risk supervision.