再探投資者情緒及市場對聯準會 貨幣政策之反應

Abstract

此論文探討於金融海嘯後，美國聯準會貨幣政策的改變在不同的市場狀態下對於民眾情緒與各種市場指標之影響程度。本論文實證結果顯示，當使用1990-2012總期間之資料時，貨幣政策之改變對在熊市時對於股市報酬以及民眾情緒明顯產生影響。進一步結果顯示，大部分影響是來自於宣告利率與原本預期利率之差距，而非貨幣政策宣告時點，我們在信用違約交換及債券指數得到相似的結果。然而， 2005年至2012年之近期分析結果發現，所有政策之改變均不會對股市及民眾情緒產生顯著影響。然信用違約交換及債券指數時仍然在熊市時對於聯準會目標利率之利差存在顯著之反應。

This paper explores the effectiveness of changes in federal fund target rate on several investor sentiment related variable in different market regimes. Our empirical results show that in full data period the unexpected federal fund target rate changes have significant effect on stock returns, investor sentiment. Most of their effects are owing to the level surprises, while timing surprises have virtually no influence on stock, bond and credit market. In the more recent period from 2005 to 2012, our results reveal that the monetary policy effect regarding target rate has disappeared for both stock returns and investor sentiments, but the level surprises still have impact on both CDS and bond indices.