太阳官网姜富伟副教授、郭豫媚讲师和硕士研究生郭鹏合作撰写的论文《美联储货币政策对我国资产价格的影响》发表在《金融研究》2019年第5期。郭鹏是太阳官网2016级学术硕士，该论文也是其主持的太阳集团tyc539研究生创新基金的最终成果。
近年来，随着经济和金融全球化的加深，货币政策调控表现出明显的跨国溢出效应，美联储货币政策对其他国家金融市场的溢出效应尤其受到关注。因此，研究美联储货币政策调控如何影响我国资产价格和金融市场稳定对于有效防范外部风险冲击，维护我国金融市场稳定和经济平稳运行具有重要意义。鉴于此，本文用事件研究法重新研究了美联储货币政策溢出对我国资产价格的影响是否存在，以及如何影响我国资产价格。
本文以美联储议息会议决议公布作为事件，研究了2003年1月到2016年12月期间美联储货币政策对我国债券市场和股票市场的影响，样本总计117个。不同于已有研究侧重于美联储货币政策的长期影响，本文使用了事件研究法检验了美联储货币政策溢出对我国资产价格的短期影响。事件研究法的优势在于聚焦短时间内资产价格变动对美联储货币政策信息的反应，剔除长期数据中无关噪音的影响。此外，本文借鉴Kuttner（2001）和Gürkaynak et al.（2005）的做法，构建了测度美联储预期到的货币政策、未预期到的货币政策以及前瞻性指引的指标，分别研究其对我国资产价格的影响，以探究预期在货币政策中的作用。
研究结果表明，美联储货币政策调整会显著影响我国债券和股票回报。具体来说，美联储加息会使我国债券和股票回报下降，而降息则会带来债券和股票回报上升。这一发现与Hausman and Wongswan（2011）的发现不同，原因在于Hausman and Wongswan（2011）采用日度回报计算股票回报，而本文使用了隔夜回报。值得注意的是，由于中美交易时间的差别，股票价格的前一日收盘价在会议决议未公布前形成，当日开盘价则包括了美联储货币政策信息。因此，相比与已有文献中使用的日度回报，本文使用的隔夜回报更能有效测度美联储货币政策对我国资产价格的冲击。
本文发现预期到的美联储货币政策调整对我国债券和股票回报都有显著影响，资产回报会随着预期到的政策调整幅度的提高而降低，而已有文献发现预期到的美联储货币政策对股票市场影响不显著（Bernanke and Kuttner，2005）。这说明尽管美联储货币政策调整已经被市场所预期到，但仍然会对我国资产价格造成影响。这一实证结果从开放经济的视角为新凯恩斯主义的观点提供了新的经验支持，即货币政策是有效的。此外，本文发现未预期到的美联储货币政策会显著影响我国债券价格，而且影响程度大于预期到的货币政策。进一步地，本文还发现美联储前瞻性指引也会影响我国资产价格，但只有债券市场的反应显著。本文还发现只要美联储货币政策进行调整，股票市场波动率就会增大，而且波动幅度随着政策调整幅度的增加而增大。与股票回报的实证结果不同的是，未预期到的货币政策调整和前瞻性指引对股票波动率影响的系数都显著为正，说明美联储货币政策会给我国经济和政策带来不确定性，进而给股票市场带来较大的波动风险。
本文认为货币当局应注意加强货币政策的国际协调，防止货币政策协调不当引发的我国金融市场波动。同时，货币当局也要加强预期管理，利用前瞻性指引和预期管理加强政策沟通，以提高货币政策有效性，从而更加有效应对和平滑国际货币政策冲击。此外，本文认为投资者应当关注美联储货币政策冲击对我国资产价格的影响，根据市场预期动态调整投资组合，以达到降低风险提高投资回报的目的。
The Impacts of Federal Reserve’s MonetaryPolicy
on Chinese Asset Prices
A great deal of attention has been paid tounderstand the Federal Reserve (Fed) monetary policy’s spillover effects oninternational financial markets, with the increasing economic and financialglobalization. Extensive studies have documented that the Fed’s monetary policyhas significant impact on international asset prices (e.g., Hausman andWongswan, 2011). China is the largest trading partner of the US, thus it isreasonable that the Fed’s monetary policy should have impacts on Chinese assetprices. However, Hausman and Wongswan (2011) recently document that Chineseasset prices do not respond to Fed’s monetary policies. It is important to notethat their sample periods are mainly prior to 2005, in which Goh et al. (2013)find weak correlation between US economy and Chinese asset prices due to theunderdeveloped financial market in China. In this paper, we re-test whether theFed’s monetary policies can have impacts on Chinese asset prices using theevent study approach with extended longer sample periods.
We take the FOMC statement release as events toinvestigate the impacts of Fed on Chinese bond and stock markets from January2003 to December 2016. The advantage of the approach is that we can focus onthe responses of asset prices to the Fed's monetary policy over a short windowof time to eliminate other unrelated information. In addition, followingKuttner (2001) and Gürkaynak et al.(2005), we also test the effects ofthe anticipated monetary policy (AMP), unanticipated monetary policy (UMP) andforward guidance (FG) to explore the role of expectation in monetary policy.
The main findings of this paper can besummarized as follows. First, we find that Fed’s monetary policy does havesignificant effects on Chinese asset prices. In particular, an interest raterise reduces bond and stock returns, while an interest rate cut increases bondand stock returns. This finding is different from the previous literature thatdocuments no impact of Fed’s monetary policy on Chinese asset prices. To dothis, we use close-to-open overnight returns instead of daily returns as shownin Hausman and Wongswan (2011).Note that the Chinese close price is not affected by FOMC due to the laggedtrading time in US, but the Chinses open price will incorporate information ofFed’s monetary policy. As a result, close-to-open overnight returns will beclean enough to estimate the spillover effects of Fed’s monetary policy accurately.In addition, earlier researches are conducted before 2005 when the Chinesefinancial market is still immature and the transmission mechanism of the Fed’smonetary policy is underdeveloped.
Second, we also document that the AMP has asignificant impact on bond and stock returns, and positive AMP generatesnegative asset returns. It indicates that although the Fed's monetary policyhas been expected by the market, it still has significant impacts on Chineseasset prices when interest rates are adjusted as the market expects. This paperprovides empirical facts that supports the New Keynesian theory from theperspective of open economy, that is, monetary policy is effective. Inaddition, the reaction of Chinese bond market to Fed’s UMP is stronger than AMP,in line with the results in Kuttner (2001). And, we find that Chinese bondreturns tend to increase when Fed conveys that there will be an interest rate hike in the future based on FG.
Third, we also uncover that the Chinese stockmarket volatility will increase once the Fed’s monetary policy is adjusted. Inaddition, the stock volatility reactions to UMP and FG are significantlypositive, indicating that the Fed's monetary policy will increase Chineseeconomic policy uncertainty and stock market volatility.
Our findings have important implications forinvestors and regulators.First, this papershows significant spillover effects of Fed’s monetary policy, so the Chinesepolicy makers should take it into account when making Chinese monetary policy.Second, monetary policy makers should take advantage of the expectationmanagement to improve the effectiveness of monetary policy, so as to smooth theinternational monetary policy shock properly. Third, that the Chinese marketinvestors should pay attention to the impacts of Fed's monetary policy onChinese asset prices to improve their returns on investment.
