美联储加息对中国金融资产价格的冲击效应研究  

Shock effect of Fed rate rise on Chinas financial asset prices

作　　者：方先明[1] 唐冠宸 FANG Xian-ming;TANG Guan-chen

机构地区：[1]南京大学经济学院

出　　处：《东南大学学报（哲学社会科学版）》2019年第3期32-43,146,共13页Journal of Southeast University(Philosophy and Social Science)

基　　金：国家社会科学基金项目“‘影子银行’交叉传染风险度量及控制机制研究”(14BGL031);江苏2011计划“区域经济转型与管理变革协同创新中心”重大招标课题——防止发生区域性、系统性金融风险研究”(2015-11)阶段性成果;中国特色社会主义经济建设协同创新中心资助

摘　　要：在中国经济深度融入世界经济的进程中,美联储加息对我国金融资产价格的冲击效应值得高度关注。为此,将利率、汇率以及股票价格纳入统一的分析框架,构建TVP-FAVAR模型,基于1999年1月至2018年10月的月度数据,检验美联储加息对中国利率、人民币汇率和股票价格等金融资产价格的冲击效应。实证研究结果发现:中国利率在美联储加息的冲击下表现为正向反应,持续期接近一年,且存在一定程度的时滞;人民币实际汇率在美联储加息的冲击下表现为负向反应,持续期相对于中国利率反应的持续期稍短,但不存在时滞;样本期内,中国股票价格在美联储加息冲击下由前两轮加息周期的正向反应转变为新一轮加息周期的负向反应,持续期不长,且不存在时滞。总体来看,美联储加息对中国三种金融资产价格的冲击效应在不同时点表现出明显的时变特征,这种时变特征与美联储每轮加息周期所处的国际宏观环境和中国国内经济发展状况有关。Against the backdrop of China′s closer integration into the world economy,the shock effect of the Fed rate rise on China′s financial asset prices deserves attention.This paper firstly integrates interest rates,exchange rates,and stock prices into a unified theoretical framework to establish a TVP-FAVAR model.Based on the monthly data from January 1999 to October in 2018,it then empirically tests the shock effect of Fed rate rise on China′s financial asset prices,such as China′s interest rate,RMB exchange rate and China′s stock price.It draws the following conclusions.China′s interest rate has shown a positive response under the shock,with a duration of nearly one year and a certain degree of time-lag.The RMB real exchange rate has exhibited a negative reaction under the impact with no time lag.Compared to the duration of the Chinese interest rate,the RMB real exchange rate is slightly shorter.During the sample period,the reaction of China′s stock price under the influence of Fed rate rise has changed from positive(the first two rounds of Fed rate rise)to negative(the last new round of Fed rate rise).Besides,there is no time delay,and its duration is the shortest.Overall,the shock effect of the Fed rate rise on the above three China′s financial asset prices shows time-varying characteristics,decided by the international macro environment and China’s domestic economic development.

关 键 词：美联储加息 金融资产价格 冲击效应 TVP-FAVAR 

分 类 号：F827.12[经济管理—财政学]