China’s Monetary Policy Impacts on Money and Stock Markets

This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.

Spillovers of US unconventional monetary policy:quantitative easing,spreads,and international financial markets

This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

Analysis of the Relationship between Monetary Policy and Stock Market Liquidity

After the 19th National Congress of the Chinese Communist Party,the introduction of the economic theory has promoted the integration of the global socialist market economy.Thereafter,this integration of the domestic and international market has been preliminarily completed,the role of the factor market in resource allocation has been improved,and a sturdy environment has been established for the development of Chinese enterprises.With the effective implementation of a series of policies after the financial system reform,the roles of the financial market in regulating macro-economy and revitalizing the market have become increasingly prominent.In regard to that,it has effectively promoted the financial market as a trade to"enrich people."This paper analyzes the relationship between monetary policy and stock market liquidity in terms of the influence of the former on the latter and suggests strategies to enhance the liquidity effect of monetary policy.

The Impact of New Monetary Policy Instruments on the Bond Market

Establishing a modern central banking system in China necessitates the deployment of a novel suite of monetary policy instruments and unencumbering of the channels through which these policies are transmitted.A critical aspect of evaluating the soundness and efficacy of monetary policy is to examine its capacity for tempering non-stationary volatility in the bond market.We use a synthetic difference in differences model(SynthDid),which draws upon panel data from eight countries spanning October 2011 to June 2022 period,to accurately determine the efficiency of the transmission of these monetary policy instruments.The Medium-term Lending Facility(MLF)can mitigate fluctuations in both medium-and long-term bond markets.Implementing a unified lending cycle of one year and expanding MLF collateral enhance the transmission efficiency of the newly established monetary policy instruments to the bond market.Additionally,the utilization of the Standing Lending Facility(SLF)substantially reduces the risk associated with short-and medium-term bond markets.Nevertheless,the efficacy of monetary policy transmission via different instruments varies in different periods.

货币政策支持对公司债信用利差的影响

使用我国沪深上市公司2019—2022年债券发行月度数据,利用双重差分法探讨货币政策支持对公司债信用利差的影响。结果表明:政策实施显著收窄了债券信用利差,且实施效果在不同资产规模、发债规模、劳动密集度、资本密集度下具有一定异质性;将信用利差分解为流动性利差与违约利差后,发现其主要通过降低违约利差来收窄信用利差。进一步对观测期内具体货币政策工具操作进行短期事件研究发现,下调中期借贷便利利率与常备借贷便利利率对信用利差的收窄作用呈现国有企业与高信用评级“偏好”,而下调金融机构存款准备金率引起的收窄作用并未有明显差异。为更好地发挥货币政策对直接融资市场调控的功能,应着力完善货币政策对债券市场信用利差结构的影响框架,加快构筑市场风险协同监测机制。

Effectiveness of China’s Monetary Policy and Reform of Its Foreign Exchange System

This paper examines the effectiveness of China＇s monetary policy in curbing the overheating and speculation problems under the current foreign exchange system. The paper stresses the necessity of capital controls in China＇s gradual foreign exchange reform and the importance of credible government policy in guiding market expectations. Also, the paper discusses the persistence of China＇s external imbalance, and provides policy recommendations for its reduction.

央行政策对汇率稳定的非线性调控效果——来自中国、日本和英国的证据

如何有效调控汇率稳定是推动高质量发展和高水平对外开放的重要现实议题之一。本文构建了包含央行汇率稳定政策的内生理论模型,并基于时变参数结构向量自回归模型(TVP-SVAR),采用1985—2021年我国、日本和英国的季度数据集,检验了价格型货币政策、数量型货币政策和外汇干预三类央行政策对汇率的非线性影响效应和传导效率,得出如下结论:(1)我国货币政策对宏观经济的整体调控效果优于日本和英国,且数量型货币政策优于价格型货币政策;(2)与其他国家不同,我国价格型货币政策对本国汇率的平均调控效果优于数量型货币政策,体现出稳定的逆向调控作用;(3)外汇干预与货币政策协调,能够有效维护人民币汇率稳定,但其调控效果具有短期性和“靶向性”。基于此,本文进一步从优化货币政策调控机制、加强外汇干预的定向性和时机选择、制定长期战略规划等方面提出了政策建议,旨在为有效调控汇率,防范化解重大风险提供政策启示。

货币政策公告、信号传递与股市公告溢价效应——来自沪深A股上市公司的证据

基于信号传递的资产定价模型,从理论层面剖析了货币政策公告溢价效应产生的内在机制,并数值模拟出相关变量改变后货币政策公告溢价效应的变化情况;使用2010—2021年沪深A股上市公司的日度数据,实证研究了中国股票市场是否存在公告溢价效应。理论建模和实证分析的结果表明:中国人民银行的货币政策公告确实在A股市场上存在公告溢价效应,且效应随着个股风险系数的提升而加强。另外发现,公告溢价现象产生的根源在于未预期到的货币政策公告向市场释放了一种信号,此种信号传递给投资者带来了不确定性从而需要更大的风险溢价补偿。为防范此类系统性金融风险,建议应当提高中国货币政策公告的前瞻性、透明性和规律性。

中美货币政策分化溢出效应与我国应对措施

本文将中美货币政策分化划分为“分化-趋同-分化-趋同-分化”五个阶段,并从两国在经济形势、金融市场发展、货币政策与传导机制三方面差异对造成中美货币政策分化的原因进行分析。同时对中美两国货币政策分化所带来的金融市场波动,金融风险加大;人民币资产吸引力降低,外资流向美国;我国熊猫债的发展,推动人民币成为国际融资货币;美国短期减少中国进口,中国实体经济发展不确定性增加等溢出效应进行分析,提出面对中美货币政策分化,我国应增强货币政策的自主性与灵活性、金融市场改革、供给侧结构改革等措施建议。

The Role of Institutions:A Cross-country Analysis of Renminbi Trading in Foreign Exchange Markets

We explore how China's geographically targeted policies impact RMB overseas use individually or in combination.The policies include swap agreements,clearing banks,investment quotas,and direct trading between Chinese renminbi(RMB)and non-USD currencies.Adopting a fuzzy-set qualitative comparative analysis and using Bank of International Settlements cross-country data on foreign exchange markets,we find that institution building has lowered the barriers to international adoption of the RMB.Specifically,for countries economically close to China,high RMB trading is explained by either(i)having a clearing bank in the host market and direct quotations between the RMB and the local currency,or(ii)being a financial center and having access to the Chinese capital market.This combination of policies is explained by the creation of(i)"trading posts"that provide RMB liquidity abroad,and(ii)channels that allow actors to " recycle" offshore RMB funds.We triangulate our results with interviews conducted with senior People’s Bank of China officials.

Monetary Policies versus Regulatory Policies:Management of Peer to Peer Market Interest Rates

This paper studies how monetary and regulatory policies manage peer to peer(P2P)interest rates.Based on selected representative monetary and regulatory policies,this paper finds that easy monetary policies reduce the demand for online loans,thus reducing the market s interest rates.Monetary policies may increase the supply of online loans through rational expectation channels or reduce the demand for online loans through bank risk-taking channels.Normative market-based regulatory policy enables the P2P market to return to rationality,eliminates high-risk investors and borrowers,and subsequently reduces market interest rates.Risk disposal-based regulatory policy reduces market supply to some extent,resulting in a small increase in interest rates.Both easy monetary policies and regulatory policies have a great impact on the normal platforms.The interest rate of high-risk platforms is less affected by the relevant policies,which is evidence that such platforms do not behave in accordance with the financial rules in general.Monetary policies mainly affect platforms with interest rates in a relatively normal range,while regulatory policies mainly focus on platforms with abnormal interest rates.

The Effects of FED’s and ECB’s QE Announcements on Exchange Rates of Bitcoin,Euro,and Dollar in the Period of COVID-19:An Event Study Approach

Corresponding to the pandemic COVID-19,both FED and ECB were committed to using their full range of tools,such as the helicopter money policy and a new quantitative easing programme to support the economy in this challenging time.The goal of this study is to explore the impact of ECB’s and FED’s COVID-19 Quantitative Easing(QE)announcements on exchange rates.Using an event study with daily data from 01/10/2019 to 02/05/2020,it investigates the impact of these“Odyssean shocks”on EUR/USD,BTC/EUR,and BTC/USD.The empirical results show an unexpected behavior of exchange rates in response to monetary policy actions.More specifically,the ECB’s announcement led to appreciation of the Euro against the Dollar.On the other hand,the FED’s announcement leads to depreciation of the Euro.The virtual exchange rates of Bitcoin do not seem to be affected by the announcements of the ECB and the FED,confirming the role of Bitcoin as a decentralised currency and independent of Central Banks and governments.The conclusions of the study are useful for investors and policy makers,as the unforeseen COVID-19 crisis has disturbed and modified investor behavior.

央行行长口头沟通的股票市场效应研究

金融市场是货币政策传导的重要环节,研究信息沟通这一新的货币政策工具的股票市场效应,对于理解货币政策的有效性以及金融稳定具有重要意义.在各种沟通方式中,尤以央行行长的口头沟通最为及时和权威,本文通过有监督的词典分析方法,对中国人民银行行长2003年1月—2019年2月间所有口头沟通事件进行量化,进而考察央行行长信息沟通的股票市场效应.研究结果表明,央行行长信息沟通的股票市场效应主要体现在影响日内价格波动和收益率波动,并且这种波动效应存在多个层面的异质性:从沟通内容看,相比经济形势沟通,货币政策沟通对股票市场收益率波动的影响更为显著;从沟通方向看,相比宽松倾向沟通,货币政策的紧缩倾向沟通引起了更大的波动;从时效性和针对性来看,央行沟通具备预期管理功能,但仍存在明显的改进空间,特别是沟通当天反而加剧了股票价格的震荡,并且影响力度小于实际干预.