日本量化宽松政策的特征及对股票市场短期影响研究——基于事件分析法  

The Characteristics of Japan's Quantitative Easing Policy and the Short-Term Impact on the Stock Market——Based on the Event Study

作　　者：郭红玉[1] 许争[1] 佟捷然 

机构地区：[1]对外经济贸易大学金融学院 [2]普华永道会计师事务所

出　　处：《国际金融研究》2016年第5期38-47,共10页Studies of International Finance

基　　金：国家社会科学基金项目"日本量化宽松政策溢出效应及东亚主要经济体货币政策协调研究"(13BGJ042);辽宁省社会科学规划基金项目"辽宁省房地产业可持续发展问题研究"(L14CJL034)

摘　　要：日本量化宽松货币政策具有目标明确、实现路径清晰和风险容忍度提高等特征,本文将日本量化宽松政策实施以来的代表性货币政策公告作为事件窗,运用事件分析法,考察了量化宽松政策对日本股票市场的短期影响。本文的研究结果显示:(1)联合声明和QQE2事件对日本股票市场存在显著的正向影响;(2)两次事件发生期间,日本股票市场累计超额收益率走势几乎一致;(3)从行业来看,QQE2对行业的影响程度比联合声明更加显著。实证结果表明,量化宽松政策对日本股票市场产生了积极的影响,货币政策作用得到有效发挥。结合我国股票市场当前情况,日本央行经验对改善我国货币政策操作手段和方法具有现实参考意义。This paper argued that the quantitative easing monetary policy in Japan had the characteristics of clear objectives, clear path and risk tolerance. This paper selected two typical monetary policy announcements since the quantitative and qualitative monetary easing. By using event study, this paper analyzed the short-term impacts of these two events on stock markets. The results showed： （1） All two events had significant positive impacts on domestic stock market. （2） During the event periods, the cumulative abnormal returns appeared to move unanimously. （3） From the industry point of view, the impact of QQE2 on the industry is more significant than the joint statement. We could reach a conclusion that an explicit policy orientation and continuous expectation management would deepen the monetary policy impact on the stock market？ In the context of the acute fluctuation of the current Chinese stock market, BOJ＇ s experience is worthy of learning.

关 键 词：量化宽松 货币政策 事件分析法股票市场 累积超额收益率 

分 类 号：F832.31[经济管理—金融学]