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    题名: 預期及非預期之貨幣政策對美國股票市場衝擊之研究
    The effects of anticipated versus unanticipated monetary shocks on the U.S. stock market
    作者: 張晶晶
    Chang, Ching-Ching
    贡献者: 楊建成
    Yang, C. C.
    張晶晶
    Chang, Ching-Ching
    关键词: 貨幣政策
    資本資產定價模型
    美國股票市場
    Monetary policy
    CAPM
    US. stock market
    日期: 2020
    上传时间: 2020-09-02 12:47:42 (UTC+8)
    摘要: 本文探究貨幣政策如何經由Fama 及French (2016) 的資產訂價模型，將未預期到的貨幣政策衝擊傳導至美國股票市場，進而造成產業的投資組合超額報酬的變化。並依循Bernanke and Kuttner (2007)、Nakamura and Steinsson (2018)及 Bu, Rogers, and Wu (2019)等作者建構出多元化的貨幣政策衝擊變數，並發現在引入貨幣衝擊後，特別在零利率下限期間，五因子模型可以精準地預測到美國十大產業的超額報酬。此外，本文也針對六個因子溢價及十大產業的超額報酬進行多元迴歸，迴歸結果發現在2008年金融海嘯前，採行傳統聯邦貨幣基金利率的調整政策對於股票市場擁有較大的影響力，而在2008年金融海嘯後，則是採取宣告政策更為有效。本文更發現在未達零利率下限前，聯邦貨幣基金利率的調整政策與宣告政策，兩者對於產業的超額報酬及六因子溢價擁有逆向的關係；而在零利率下限期間，此兩種政策對於產業的超額報酬及六因子溢價則擁有同向的關係。本文的最後，更探究貨幣政策對於標準普爾500指數的影響，且進一步導引出衝擊反應函數，並發現在零利率下限前，兩種貨幣政策衝擊對於標準普爾500指數存在適度且較為延遲的效果；而在零利率下限期間，此兩種政策對於標準普爾500指數發生顯著且短暫的衝擊效果。
    My thesis examines the augmented CAPM (Capital Asset Pricing Model) of Fama and French (2016) to determine the impact of changes in monetary policy on equity prices, with the objective of understanding the links between monetary policy changes and stock prices. I follow Bernanke and Kuttner (2007), Nakamura and Steinsson (2018), and Bu, Rogers, and Wu (2019), to construct a diversified of the monetary policy shocks. I find that the five-factor model that accounting the monetary policy shocks can explain the variation across excess industrial returns in the period of zero lower bound (ZLB). By employing the regressions of factor premiums and ten industrial excess returns on the monetary policy shocks to convince that the traditional monetary policy is critical before the 2008 financial crisis but after the financial crisis, the untraditional monetary policy becomes intensification. The type of target rate shocks causes a reverse effect on most of the industrial excess returns and factor premiums to the type of information shocks in the pre-ZLB period. Both types of monetary shocks cause the same sign on all industrial excess returns and factor premiums in the ZLB period. Additionally, by employing the local projection method to discover the IRFs of S&P 500 index and six-factor premiums to find that both types of shocks have a modest and prolonged effect on S&P 500 index in the pre-ZLB period but they have a significant and transitory impact in the ZLB period.
    參考文獻: Bernanke B. S. and Kuttner K. N. 2007. “What explains the stock market`s reaction to federal reserve policy?’ The Journal of Finance, 60(3), 1221-1257.
    Bu C., Rogers J. and Wu W. 2019. “A unified measure of Fed monetary policy shocks.” FEDS working paper, No. 2019-043.
    Campbell J. Y. and Ammer J. 1993. “What moves the stock and bond markets? a variance decomposition for long-term asset returns.” The Journal of Finance, 48(1), 3-37.
    Campbell J. Y. and Ammer J. 1991. “Yield spreads and interest rate movements, a bird`s eye view.” Review of Economic Studies, 58(3), 495-514.
    Carhart M. M. 1997. “On persistence in mutual fund performance.” The Journal of Finance, 52(1), 57-82.
    Cragg J. and Donald S. 1997. “Inferring the rank of a matrix.” Journal of Econometrics, 76(1-2), 223-250.
    Fama E. F. and French K. R. 2016. “Dissecting anomalies with a five-factor model.” Review of Financial Studies, 29(1), 69-103.
    Fama E. F. and French K. R. 1993. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics, 33(1), 3-56.
    Gürkaynak R. S., Sack B. and Swanson E. 2005. “Do actions speak louder than words? the response of asset prices to monetary policy actions and statements.” International Journal of Central Banking, 1(1), 55-93.
    Hou K., Xue C., and Zhang L. 2015. “Digesting anomalies: an investment approach.” The Review of Financial Studies, 28(3), 650-705.
    Jarocinski M. and Karadi P. 2020. “Deconstructing monetary policy surprises - the role of information shocks.” American Economic Journal: Macroeconomics, 12(2), 1-43.
    Jorda O. 2005. “Estimation and inference of impulse responses by local projections.” American Economic Review, 95(1), 161-182.
    Kuttner K. N. 2001. “Monetary policy surprises and interest rates: evidence from the fed funds futures market.” Journal of Monetary Economics, 47(3), 523-544.
    Krueger J. T. and Kuttner K. N. 1996. “The Fed funds futures rate as a predictor of federal reserve policy.” Journal of Futures Markets, 16(8), 865-879.
    Nakamura E. and Steinsson J. 2018. “High frequency identification of monetary nonneutrality: the information effect.” The Quarterly Journal of Economics, 133(3), 1283-1330.
    Ozdagli A. K. and Velikov M. 2020. “Show me the money: the monetary policy risk premium.” Journal of Financial Economics, 135(2), 320-339.
    Pascal P. 2020. “The time-varying effect of monetary policy on asset prices.” Review of Economics and Statistics, 102(4), 1-15.
    Rigobon R. and Sack B. 2003. “Measuring the reaction of monetary policy to the stock market.” The Quarterly Journal of Economics, 118(2), 639-669.
    Romer C. D. and Romer D. H. 2000. “Federal reserve information and the behavior of
    interest rates.” American Economic Review, 90(3), 429-457.
    Swanson E. 2017. “Measuring the effects of federal reserve forward guidance and asset purchases on financial markets.” NBER Working Paper, No.23311.
    描述: 博士
    國立政治大學
    財政學系
    100255501
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100255501
    数据类型: thesis
    DOI: 10.6814/NCCU202001437
    显示于类别:[財政學系] 學位論文

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