Impacts of conventional and unconventional US monetary policies on global financial markets
Impacts of conventional and unconventional US monetary policies on global financial markets
复制标题
美国常规和非常规货币政策对全球金融市场的影响
DOI：
10.1007/s10368-019-00456-z
复制
发表时间：
2020
影响因子：
1.7
通讯作者：
大野成樹
中科院分区：
文献类型：
--
作者：
Thu Ha Vu;Duc Anh Tran;Daisaku Goto;Keisuke Kawata;Thiptaiya Sydavong and Daisaku Goto;Duc Anh Tran and Daisaku Goto;大野成樹
本文使用2004年至2017年的全球向量自回归（GVAR）模型，研究了美国传统和非传统货币政策对全球金融市场的影响。脉冲响应的结果表明，非常规宽松政策对股票价格的影响很小，而在传统的宽松政策，而利率的反应表明，流动性提供了世界各地。美国非常规的货币紧缩政策冲击可能会有效地影响全球股票价格，就像美国传统的货币紧缩冲击一样。此外，美国货币政策冲击通过汇率传递到股票价格，往往会削弱股票价格在常规和非常规紧缩（退出零利率）阶段的下跌。另一方面，在常规、非常规货币宽松和非常规紧缩（影子利率为负）阶段，这种传导往往会压低股价。
This paper investigates the impacts of conventional and unconventional US monetary policies on global financial markets, using the global vector autoregressive (GVAR) model from 2004 through 2017. The impulse response results suggest unconventional easing had little effect on stock prices as in conventional easing while the responses of interest rates indicate liquidity was provided throughout the world. An unconventional US monetary tightening policy shock could effectively affect the stock prices of the world as is the case with a conventional US monetary tightening shock. Furthermore, the transmission of a US monetary policy shock to stock prices via exchange rates tends to attenuate the decrease in stock prices both in the conventional and unconventional tightening (the exit from a zero rate) phases. On the other hand, the transmission tends to push down stock prices in the conventional, unconventional monetary easing and the unconventional tightening (the shadow rate is negative) phases.