美联储加息对资本市场的影响研究——基于时变视角下的分析  

Research on the Impact of Federal Reserve Rate Increase on Capital Market——Analysis based on time-varying perspective

作　　者：刘传哲[1] 陈慧莹 

机构地区：[1]中国矿业大学管理学院

出　　处：《价格理论与实践》2018年第5期107-110,共4页Price:Theory & Practice

基　　金：中国矿业大学双一流建设项目(2018WHCC07)

摘　　要：自2015年12月美联储启动新一轮的加息周期以来,截至2018年3月,美联储已加息6次,意味着美国逐步退出超宽松的货币政策,这对于国际资本流动配置将会产生广泛影响。本文利用时变参数向量自回归(TVP-VAR)模型,探究了美联储加息对资本市场的动态传递效应,并以汇率为传导渠道对该效应进行分析。结果得出,美联储加息在不同时点对资本市场存在不同方向和不同程度的影响。美联储加息对我国股票市场的影响程度要高于对我国债券市场的影响程度,且对股票市场的影响具有滞后性,对股票市场和债券市场的影响均存在时变性特征。Since the Fed officially launched a new round of interest rate hike in December 2015, as of March 2018, the Fed has raised interest rates five times,which means that the United States has gradually withdrawn from the ultra-loose monetary policy, which will result in the allocation of international capital flows. Widely affected. In this paper, we use the time-varying parameter vector autoregressive(TVP-VAR) model to explore the dynamic transmission effect of the Fed’s interest rate hike on the capital market, and analyze the effect by using the exchange rate as the transmission channel. As a result, the Fed’s interest rate hike has different directions and different degrees of influence on the capital market at different points in time. The impact of the Fed rate hike on China’s stock market is higher than that of China’s bond market, and the impact on the stock market is lagging. The impact on the stock market and bond market is characterized by time-varying.

关 键 词：美联储加息 金融资产价格 汇率渠道 TVP-VAR模型 

分 类 号：F827.12[经济管理—财政学] F832.51