Monitoring Real Time Responses of Financial Markets to Monetary Policy Actions
本文从一个新的角度研究了货币政策的改变对金融市场的冲击。借助实时监控检验这种新的计量方法，我们发现了一些反对市场对货币政策的反应是一成不变的证据。这种时变的性质在之前的文献中很少涉及。 我们也考虑了美国债券市场，可以认为结构性突变的检测结果与美国股票市场情况一致。在1989至2009的样本历史中，2001年至2007年7年的时间里市场对货币政策的反应呈现出不同的模式，市场对于货币政策宣布的反应更为剧烈。这一现象是第一次被发现。我们对分段后的样本重新进行了估计，给出了相对于现有文献来说更加精确的结果。 至于背后的经济解释，我们在经过多方面考察之后认为原因是在这段时期内，对于未来的经济走势，美联储的政策动作拥有更大的影响力。市场是理性的，因此反应变得更加敏感。本文可以作为批评美联储政策的论据之一，也可向未来各国央行制定货币政策提供富有价值的参考。This paper studies the impact of monetary policy change to financial markets form a new view. With the help of a new econometric tool- real time monitoring test, we find some evidence that is against only one response pattern to monetary policy announcements. This time-varying property is rally discussed in the literature. This paper discusses the equity market and bond market of U.S., and finds the similar scenarios in two markets. In our sample which is consisting of events in the period from 1989 to 2009, the response pattern is significantly different in the 7 years starting form 2001- it was more sensitive. This phenomenon is reported for the first time here. After that, we estimate 3 subsamples separately again, and provide a more accurate result compared with the existing literatures. So as to the economic reasoning behind, we conclude that it attributes to that the Fed’s policy is more influential on the macro-economy during that period. The market is rational, thus became implicitly more sensitive to the announcement in that period. This paper can be one of the evidence for criticizing the Federal Reserve’s policy, and it will provide valuable reference to central banks of the world when they are making monetary policies.