基于货币政策异质信念的资产定价

This project will build up a general equilibrium asset pricing model in which investors have different opinions on monetary policy. We will study the impact of the difference in opinions on on the return and volatility of Chinese stock market and use Chinese data to empirically test the results, and then provide the suggestions for the Central Bank to make policy decision and for financial institutions to stabilize the financial market. When the monetary policy becomes more transparent, its undertainty will be reduced,the difference in opinions among investors can be decreased，the volatility of the stock market can be reduced, and thus this can help stablize the flutuation of the stock market. We will extend the model to the international markets by including Chinese stock market, and examine the impact of the difference in opinions on both the volatility and comovement of stock markets and the fluctuation of foreign exchange rates. This will help the Central Bank to well understand the impact of the inflow of foreign assets on both the flutuatation of Chinese stock market, the comovement between stock markets, and the currency risk.

本项目拟建立一个基于投资者关于货币政策异质信念的一般均衡资产定价模型，拟研究货币政策信念差异对我国股票市场的收益和波动的影响, 同时利用数据进行实证分析，从而为中央银行制定货币政策和金融部门稳定金融市场提供理论和实证的依据。当货币政策变得更加透明时，货币政策的不确定性减少，投资者对货币政策的信念差异会降低，从而股票市场的波动率降低，这将有助于股票市场的稳定。在此基础上，我们拟把模型扩展到国际资本市场，建立包括我国在内的两国（或者多国）货币政策异质信念的资产定价模型，研究投资者关于各国货币政策的异质信念对各个国家股票市场的波动，国家之间股票市场的互动，以及汇率波动的影响。这将有助于中央银行了解外资的流入对我国股票市场的稳定，我国股票市场与其他国家股票市场的互动，以及带来的外汇风险。

由于央行的货币政策存在不确定性，市场参与者会有不同程度的预期，从而对资本市场产生一定的影响。本项目（基于货币政策异质信念的资产定价）主要研究了，当投资者对未来货币政策的预期存在差异时，股票市场和债券市场的收益以及波动会如何受到影响？基于理论和实证分析，我们发现，投资者的信念差异会导致股票和债券的预期收益上升，同时它们的波动率也上升。这具有很强的政策性含义：为了稳定资本市场的波动，央行应该增加货币政策的透明度，降低投资者的信念差异，从而降低资本市场的波动。