投資者情緒及市場對聯準會量化寬鬆貨幣政策反應之探討

Abstract

2008年底在聯邦基金利率已經壓到接近0%水準後，傳統貨幣政策之措施已弱化，為減緩持續惡化的經濟情況，美國聯準會採取非傳統貨幣政策工具-量化寬鬆政策(QE)。此論文，探討量化寬鬆政策如何影響市場。聯準會量化寬鬆政策共實施了三次，第一波QE實施期間在2008/11-2009/3，第二波QE實施期間在2010/11-2011/6，第三波QE實施期間在2012/9-2014/12。我們採用事件分析法去衡量量化寬鬆政策對於股票市場、債券市場、信用市場、投資人情緒以及在QE大量購買的債券中像是公債與不動產抵押貸款證券的影響。分析結果顯示聯準會的事件宣布確實會對市場產生影響。由於美國經濟復甦的力道逐漸增強，2014年1月聯準會開始縮減購債規模，但仍然維持貨幣寬鬆政策，預期2014年底前QE會退場。分析結果發現QE縮減購債規模並對市場無造成太大的負面衝擊，可能為市場已對QE退場有所預期。

At the end of 2008, the federal funds target rate, an instrument of the Federal Reserve’s traditional policy, was at its lower bound of zero. To further deal with the deteriorating economic situation, the Federal Reserve implemented quantitative easing (QE), which is also known as large-scale asset purchases (LSAPs). In this paper we investigate the effect of the Federal Reserve’s new monetary policy tool, quantitative easing (QE1 in 2008/11-2009/3, QE2 in 2010/11-2011/6, and QE3 in 2012/9-2014/12) on investor sentiment and different markets. We use an event-study method to observe the impact of QE on investor sentiments and various markets, such as the stock market, bond market, credit market, Treasury yields, and MBS yields. Our empirical results show that the Fed’s announcement of upcoming QE activity does affect these markets. Following the gradual recovery of the U.S. economy, the Fed reduced QE at a slow and stable pace but the monetary policy of quantitative easing was still remained, and we further find that reducing asset purchases has no significantly negative impact on markets because investors have already expected this action of the Fed.