傳統與非傳統貨幣政策之影響:以美國經濟為例

The impact of traditional and unconventional monetary policies: Take US economy as an example

劉懷謙(Huai-Qian Liu)

指導教授 ： 陳旭昇

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202201634

摘要

美國聯準會的貨幣政策主要有兩大目標，第一是穩定物價水準，第二是達到充分就業。本篇研究主要探討推出非傳統貨幣寬鬆政策之後，貨幣政策是否有效地將效果顯現在實體經濟上，而非大部分顯現在股票市場上。本篇參考 Chen (2007) 使用 Markov switching model，以 1971 年到 2021 年資料探討貨幣政策在牛熊市中對股市報酬的影響。首先研究貨幣政策對不同指數報酬率的影響，得出利率上升對不同指數報酬率都具有顯著下降效果。接著將政策時期分為 2008 年前後，分析推出非傳統性貨幣政策後的影響力是否擴大，發現熊市時貨幣政策的影響力在 2008 年後擴大數倍，且那斯達克影響相較於 S\ P500 更為明顯。接著放寬轉換機率假設後發現非傳統性貨幣政策影響股票市場由牛市轉為熊市的效果超出實體經濟。最後藉由研究工業生產指數與股票市場報酬率發現兩者報酬率在 2008 年後的熊市也出現顯著差異。

關鍵字

貨幣政策 ； 股市報酬 ； 量化寬鬆 ； 非對稱性影響 ； 美國經濟 ； 馬可夫轉換模型

並列摘要

The US Federal Reserve's monetary policy has two main goals, first goal is to stabilize the price level, and the second goal is to achieve full employment. Paper's main goal is to find out whether monetary policy can effectively affect the real economy more than stock market, especially after 2008, when the US Federal Reserve implement non-traditional monetary easing policies. This paper reference Chen (2007), used markov switching model to investigate the impact of monetary policy on stock market returns in both bull and bear markets. First, the effect of monetary policy on different index returns is studied, the result shows that increase in interest rate has a significant negative effect on different index returns. Then, divide the period to pre-2008 \ post-2008, analyze whether the monetary policy effect expanded or not after introduce non-traditional monetary easing policies. It is found that the effect of monetary policy in the bear market has expanded several times after 2008, and the effects on Nasdaq is higher than S\ P500. Then, after relaxing the assumption of constant changing probability, it is found that the regime changing effect of non-traditional monetary policy on stock market is greater than the real economy. Finally, by studying the industrial production index and the stock market return, it shows that the effect of monetary policy also significant expanded in the bear market after 2008.

並列關鍵字

Monetary policy ； Stock market return ； Quantitative easing ； Asymmetric effect ； US economy ； Markov switching model

參考文獻

Chen, S.S. (2007) "Does Monetary Policy Have Asymmetric Effects on Stock Returns?" Journal of Money, Credit and Banking, 39, 667–68

Bernanke, B.S., and Kuttner, K.N. (2005) "What Explains the Stock Market's Reaction to Federal Reserve Policy?" Journal of Finance 60(3): 1221-1257

Bernanke, B.S., and Alan S. Blinder (1992) "The Federal Funds Rate and the Channels of Monetary Transmission." American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.

Kim,Chang Jin (1994) "Dynamic Linear Models with Markov-Switching." Journal of Econometrics, 60:1-2,

Rigobon,Roberto and Sack,Brian (2003)"Measuring the reaction of monetary policy to the stock market." Quarterly Journal of Economics, 118 (2003), pp. 639-669