基于多重预期与不确定性的货币政策和金融市场非线性关系研究

The global financial markets have experienced the turbulent and irrational exuberance ages. As such, understanding the links between monetary policy and asset prices is crucially important for understanding the policy transmission mechanism and for using monetary policy to stabilize the financial markets. This study therefore analyzes the impact of monetary policy actions on equity prices, futures prices, and credit spreads. However, estimating the response of asset prices to monetary policy actions is complicated by the fact that the market is unlikely to respond to policy actions that were already anticipated. Distinguishing between expected and unexpected monetary policy actions is therefore important for discerning their effects. In this study, we use the real market forecasts made by financial institutions and published in newspapers and journals to distinguish monetary policy surprises from expectations. Then, we examine the nonlinear reaction of the financial markets to monetary policy actions, by distinguishing between anticipated and unanticipated monetary policy actions. In addition, this study attempts to understand the economic sources of the stock market's reaction to monetary policy actions. Specifically,using an accounting identity, we docompose the stock returns into three components: future excess returns, the real interest rates, and the revision of the expectation of discounted future dividends. Based on this decomposition, we investigate the main economic source of the stock market's reaction to monetary policy actions. According to the conventional wisdom, changes in monetary policy are transmitted through the stock market via changes in the values of private portfolios (the "wealth effect"), changes in the cost of capital, and by other mechanisms as well. Our investigation based on the accounting identity therefore sheds light on the transmission mechanism of monetary policy. Finally, using the calibration methodology, this study investigates the potentially different effect of different types of monetary policy actions on the stock market. The calibration simulation attempts to shed light on making monetary policy decisions so that monetary policy can play an important role in stabilizing the financial markets, particularly the equity market. To better understand our empirical results, we also compare our results with those of other studies that have looked at the link between monetary policy actions and the stock market, with main focus on the developed financial markets.

随着金融市场规模的不断扩大和金融危机的频繁发生，货币政策与金融市场关系以及货币政策如何在稳定金融市场中发挥积极作用成为货币理论研究的热点前沿课题。本项目通过将金融市场、货币政策预期、以及货币政策预期的不确定性等概念引入新凯恩斯主义经济模型，构建动态随机一般均衡模型，用于研究货币政策与金融市场之间的动态双向互动关系。同时,在理论模型的基础上进行了实证研究,通过构建非马尔科夫多重区制转换模型，研究货币政策对金融市场的非线性影响，并探索货币政策影响不同金融市场的各种机制和原理。同时，也研究金融市场剧烈波动对货币政策的冲击，探索金融市场影响货币政策的渠道。本项目的研究有助于阐明货币政策和金融市场相互作用的传导机制，也有助于改进货币政策与金融市场关系研究的方法，因此具有积极的学术意义，对货币政策的制定和实施以及金融市场的健康稳定发展都具有现实意义。

随着金融市场规模的不断扩大和金融危机的频繁发生，货币政策与金融市场关系以及货币政策如何在稳定金融市场中发挥积极作用成为货币理论研究的热点前沿课题。本项目通过将金融市场、货币政策预期、以及货币政策预期的不确定性等概念引入新凯恩斯主义经济模型，构建动态随机一般均衡模型，用于研究货币政策与金融市场之间的动态双向互动关系。 同时,在理论模型的基础上进行了实证研究,通过构建非马尔科夫多重区制转换模型，研究货币政策对金融市场的非线性影响，并探索货币政策影响不同金融市场的各种机制和原理。同时，也研究金融市场剧烈波动对货币政策的冲击，探索金融市场影响货币政策的渠道。本项目的研究有助于阐明货币政策和金融市场相互作用的传导机制，也有助于改进货币政策与金融市场关系研究的方法，因此具有积极的学术意义，对货币政策的制定和实施以及金融市场的健康稳定发展都具有现实意义。