貨幣政策的影響股票價格【外文翻譯】

1、外文翻譯原文the impact of monetary policy on stock pricesmaterial source:chool of management, university of bath, bath, uk；department of economics,university of glasgow,glasgow,ukautor:christos ioannidis and alexandros kontonikas b* previous empirical evidence broadly supports the notion that restrictive

2、. monetary policy decreases (increases) contemporaneous stock returns, as well as expected stock returns. these studies typically relate stock returns to measures of monetary policy stringency in the context of single equation specifications and/or multivariate vector autoregressions.in this paper w

3、e take a closer look at the impact of monetary policy on stock returns by utilising thirty years of data across thirteen oecd countries. given the considerable debate on the relative merits of money aggregates during the late 1970s and early 1980s, we adopt the nowadays standard approach of measurin

4、g monetary policy using interest rate variables. we expand previous work by examining the sensitivity of our findings to the inclusion of dividend payments in the stock returns calculation, while considering both nominal and real returns. our results indicate that for the majority of the countries u

5、nder investigation the monetary environment is an important determinant of investors required returns. we also examine the contemporaneous effect of monetary policy on stock returns taking into account the non-normality typically inherent in such data as well as the significant co-movement of intern

6、ational stock markets. the main result, that expansionary monetary policy boosts the stock market, remains largely robust in most sample countries. the implications of such findings for monetary policy making and investor portfolio formation are highly important.central bankers and stock market part

7、icipants should be aware of the relationship between monetary policy and stock market performance in order to better understand the effects of policy shifts. monetary authorities in particular face the dilemma of whether to react to stock price movements, above and beyond the standard response to in

8、flation and output developments. there is an ongoing debate in the monetary policy rules literature between the proactive and reactive approach. on the one hand, the proactive view advocates that monetary policymakers should alter interest rates in response to developing stock price bubbles in order

9、 to reduce overall macroeconomic volatility . on the other hand, according to the reactive approach, monetary authorities should wait and see whether the stock price reversal occurs, and if it does, to react accordingly to the extent that there are implications for inflation and output stability. he

10、nce, the reactive approach is consistent with an accommodative expost response to stock price changes . despite the difference in the timing of the reaction, both approaches effectively assume that the monetary authorities can affect stock market value. it is apparent then, that the empirical verifi

11、cation of this assumption is important for monetary policy formulation. the rest of the paper is organised as follows. the next section discusses the theoretical framework underlying the relationship between monetary policy and the stock market. the present value or discounted cash flow model offers

12、 useful insights on the stock market effects of monetary policy changes. according to this widely used model the stock price is the present value of expected future dividends . thorbecke (1997) employs a number of alternative methodologies to examine the relationship between monetary policy and stoc

13、k prices in the united states. using a var system that includes monthly equity returns, output growth, inflation, and the federal funds rate, he finds that monetary policy shocks, measured by orthogonalized innovations in the federal funds rate, have a greater impact on smaller capitalisation stocks

14、, this is in line with the hypothesis that monetary policy affects firms access to credit (see gertler and gilchrist,1993). in the same paper, thorbecke (1997) adopts the boschen and mills (1995) index as an alternative measure of monetary policy conditions. in line with his var estimates, he finds

15、that expansionary monetary policy exerts a large and statistically significant positive effect on monthly stock returns. in a recent study, cassola and morana (2004) also employ the var methodology. in particular, they use a cointegrated var system including real gdp, inflation, real m3 balances, sh

16、ort term interest rate, bond yield, and real stock prices in order to examine the transmission mechanism of monetary policy in the euro area. their results from impulse response analysis indicate that a permanent positive monetary shock has a temporary positive effect on real stock prices. patelis (

17、1997) examines whether some portion of the observed predictability in excess us stock returns can be attributed to shifts in the monetary policy stance. following fama and french8 (1989), he employs the long-horizon regression methodology, using two sets of explanatory variables: monetary policy var

18、iables and financial variables. he finds that monetary policy variables are significant predictors of future returns, although they cannot account fully for the observed stock return predictability. patelisexplanation for the finding that monetary policy indicators are significant predictors of exce

19、ss stock returns relates to the financial propagation mechanism (bernanke and gertler, 1989) and to the credit channel of monetary policy transmission (bernanke and gertler, 1995)jensen and johnson (1995) also find that monetary policy developments are associated with patterns in stock returns. they

20、 show that long-term stock returns following discount rate decreases are higher and less volatile than returns following rate increases. their motivation for the employment of the discount rate as a proxy for the stance of monetary policy follows from the view that the discount rate is typically reg

21、arded as a signal of monetary and possibly economic developments. this argument is based on wauds (1970) suggestion that discount rate changes affect market participants expectations about monetary policy. since rate changes are made only at substantial intervals, they represent a somewhat discontin

22、uous instrument of monetary policy, and they are established by a public body perceived as being competent in judging the economys cash and credit needs. financial economists discuss various reasons why changes in the discount rate may affect stock returns. for example, discrete policy rate changes

23、influence forecasts of market determined interest rates and the equity cost of capital. also, changes in the discount rate possibly affect expectations of corporate profitability (waud, 1970). in a subsequent study, jensen, mercer and johnson (1996) extend the fama and french (1989) analysis by sugg

24、esting that the monetary environment affects investorsrequired returns. monetary policy stance is proxied by a binary dummy variable indicating discount rate changes jensen et al. (1996) find that predictable variation in stock returns depends on monetary as well as business conditions, with expecte

25、d stock returns being higher in tight money periods than in easy money periods. the results also indicate an asymmetry in the relation between business conditions and stock returns: business conditions could predict future stock returns only in periods of expansive monetary policy. conover, jensen a

26、nd johnson (1999) argue that not only us stock returns, but also returns on foreign markets are related with us monetary environments . they find that stock returns in twelve oecd countries over the period 1956-1995 are generally higher in expansive us and local monetary environments than they are i

27、n restrictive environments. 譯文貨幣政策的影響股票價格資料來源: school of management, university of bath, bath, uk； department of economics, university of glasgow, glasgow, uk作者：christos ioannidis and alexandros kontonikas b*以前的經(jīng)驗證據(jù)廣泛支持觀念貨幣政策的限制能同時降低股票的回報率,以及預(yù)期的股票收益。這些研究涉及到典型的股票收益的貨幣政策措施的語境中,規(guī)格單方程或多元向量風(fēng)險價值模型。在本文中,我們

28、可以利用十三經(jīng)合組織國家三十年的數(shù)據(jù)，近距離觀察的影響貨幣政策對股票的回報。討論了可觀的錢相對的價值在70年代晚期和80年代早期,我們采用了標(biāo)準(zhǔn)的方法測量現(xiàn)在貨幣政策變量使用利率。我們把以前的工作通過檢查的敏感性,我們的研究,包括股利發(fā)放股票收益的計算,在考慮兩個名詞詞組和真正的回報。我們的研究結(jié)果表明,大多數(shù)的國家接受調(diào)查的貨幣環(huán)境對投資者要求的回報是一個重要的決定因素 。同時我們還會檢測效果的貨幣政策對股票收益的非常態(tài)性通常考慮自身的重要數(shù)據(jù),以及同步性國際股票市場。其主要的結(jié)果,擴張性的貨幣政策推動了股市,但仍存在在大多數(shù)樣本國家在很大程度上的背道而馳。這樣的結(jié)果的對貨幣政策制定和投資者

29、的投資組合是有非常重要意義的。中央銀行家和股票市場參賽者還是應(yīng)該充分認(rèn)識到貨幣政策和股市表現(xiàn)之間關(guān)系,以更好地了解政策變化的影響。貨幣當(dāng)局面臨著困境,特別是是否對股票價格的變動,超越標(biāo)準(zhǔn)響應(yīng)的通貨膨脹和輸出的發(fā)展。有一種持續(xù)爭論的貨幣政策規(guī)則之間的“先發(fā)制人式”的文學(xué)及無功補償?shù)姆椒?。另一方?“先發(fā)制人式”觀點的基調(diào),貨幣政策制定者應(yīng)該改變利率以應(yīng)對發(fā)展中股價泡沫,以降低整體宏觀經(jīng)濟波動。另一方面,根據(jù)無功的方法,貨幣當(dāng)局應(yīng)該等待,看看是否在股票價格逆轉(zhuǎn)發(fā)生了,而如果是,這在一定程度上反應(yīng)有意義的通貨膨脹和輸出的穩(wěn)定性。因此,無功的方法是一致的,與一個寬松的開放的股票價格的變化反應(yīng)。盡管是不

30、同反應(yīng)時間的影響,這兩種方法都有效地假定貨幣當(dāng)局會影響股票的市場價值。然后,很明顯這個假設(shè)的實證驗證,是一種重要的貨幣政策的制定。接下來的文章是有組織的如下。在下一章節(jié)討論了潛在的關(guān)系的理論框架的貨幣政策與股票市場。當(dāng)前值或現(xiàn)金流量折現(xiàn)模型提供了在股票市場貨幣政策變動的影響有用的洞察在股票市場貨幣政策變動的影響。根據(jù)股票價格是模型的現(xiàn)值預(yù)期未來的股息這一廣泛使用的理論。 在同樣的調(diào)查中,thorbecke(1997)采用boschen與mills(1995)的指數(shù)作為一種替代措施,貨幣政策的條件。符合他的風(fēng)險價值模型估計,他發(fā)現(xiàn)擴張性的貨幣政策產(chǎn)生了大量具有積極的影響非常明顯,具有統(tǒng)計學(xué)顯著差異月度股票的回報。在一個最近的研究中,cassola和morana(2004)也利用了風(fēng)險價值模型方法。特別是,他們使用一個國內(nèi)生產(chǎn)總值風(fēng)險價值模型系統(tǒng)包括實際國內(nèi)生產(chǎn)總值、通脹、真正的m3、短期投資利率,債券收益率