1、 外文翻译 原文 The Impact of Monetary Policy on Stock Prices Material Source:chool of Management, University of Bath, Bath, UK； Department of Economics,University of Glasgow,Glasgow,UK Autor:Christos Ioannidis and Alexandros Kontonikas b* Previous empirical evidence broadly supports the notion that restri
2、ctive . 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 p
3、aper we 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 me
4、asuring 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 count
5、ries under 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
6、international 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 marke
7、t participants 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
8、 to inflation 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
9、 order 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 stabili
10、ty. Hence, 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
11、verification 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
12、offers 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 an
13、d stock 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
14、stocks, 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
15、finds 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 balanc
16、es, short 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. Pat
17、elis (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 poli
18、cy variables 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. Patelis explanation for the finding that monetary policy indicators are significant predictors
19、of excess 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 return
20、s. They 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 typica
21、lly regarded as a signal of monetary and possibly economic developments. This argument is based on Waud s (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 d
22、iscontinuous instrument of monetary policy, and they are established by a public body perceived as being competent in judging the economy s cash and credit needs. Financial economists discuss various reasons why changes in the discount rate may affect stock returns. For example, discrete policy rate
23、 changes 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) analysi
24、s by suggesting that the monetary environment affects investors required 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, wi
25、th expected 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
26、, Jensen and 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
27、they are in restrictive environments. 译文 货币政策 对 股票价格 的影响 资料来源 : School of Management, University of Bath, Bath, UK； Department of Economics, University of Glasgow, Glasgow, UK 作者： Christos Ioannidis and Alexandros Kontonikas b* 以前的经验证据广泛支持观念货币政策的限制能同时降低股票的回报率 ,以及预期的股票收益。这些研究涉及到典型的股票收益的货币政策措施的语境中 ,规格
28、单方程或多元向量风险价值模型。在本文中 ,我们可以利用十三经合组织国家三十年的数据，近距离观察的影响货币政策对股票的回报。讨论了可观的钱相对的价值在 70年代晚期和 80年代早期 ,我们采用了标准的方法测量现在货币政策变量使用利率。我们把以前的工作通过检查的敏感性 ,我们的研究 ,包括股利发放股票收益的计算 ,在考虑两个名词词组和真正的回报。我们的研究结果表明 ,大多数的国家接受调查的货币环境对投资者要求的回报 是一个重要的决定因素 。同时我们还会检测效果的货币政策对股票收益的非常态性通常考虑自身的重要数据 ,以及同步性国际股票市场。其主要的结果 ,扩张性的货币政策推动了股市 ,但仍存在在大多
29、数样本国家在很大程度上的背道而驰。 这样的结果的对货币政策制定和投资者的投资组合是有 非常重要意义的。中央银行家和股票市场参赛者还是应该充分认识到货币政策和股市表现之间关系 ,以更好地了解政策变化的影响。货币当局面临着困境 ,特别是是否对股票价格的变动 ,超越标准响应的通货膨胀和输出的发展。有一种持续争论的货币政策规则之间的“先发制人式”的文学及无功补偿的方法。另一方面 ,“先发制人式”观点的基调 ,货币政策制定者应该改变利率以应对发展中股价泡沫 ,以降低整体宏观经济波动。另一方面 ,根据无功的方法 ,货币当局应该等待 ,看看是否在股票价格逆转发生了 ,而如果是 ,这在一定程度上反应有意义的通
30、货膨胀和输出的稳定性 。因此 ,无功的方法是一致的 ,与一个宽松的开放的股票价格的变化反应。尽管是不同反应时间的影响 ,这两种方法都有效地假定货币当局会影响股票的市场价值。然后 ,很明显这个假设的实证验证 ,是一种重要的货币政策的制定。接下来的文章是有组织的如下。在下一章节讨论了潜在的关系的理论框架的货币政策与股票市场。 当前值或现金流量折现模型提供了在股票市场货币政策变动的影响有用的洞察在股票市场货币政策变动的影响。根据股票价格是模型的现值预期未来的股息这一广泛使用的理论。 在同样的调查中 ,Thorbecke(1997)采用 Boschen与 Mills(1995)的指数作为一种替代措施
31、,货币政策的条件。符合他的风险价值模型估计 ,他发现扩张性的货币政策产生了大量具有积极的影响非常明显 ,具有统计学显著差异月度股票的回报。在一个最近的研究中 ,Cassola 和Morana(2004)也利用了风险价值模型方法。特别是 ,他们使用一个国内生产总值风险价值模型系统包括实际国内生产总值、通胀、真正的 M3、短期投资利率 ,债券收益率 ,和实际股票的价格 ,以便检查传递机制对欧元地区货币政策。他们的研究结果从脉冲响应分析表明 ,一个永久的积极的货币冲击有一个暂时的正面 影响真正的股票价格。是否 Patelis(1997)检视所观察到的可预见性的部分股票收益超过我们可以归因于切换在货币
32、政策的立场。证明本文， French(1989),他用了配股后长期异常回报率的实证检验回归方法 ,使用两套解释变量 :货币政策变量和金融变量。他发现 ,货币政策变量未来收益的重要预测因子 ,它们虽然不能完全对观测股票账户还可预见性。 Patelis 的原因 ,使这次的发现 ,货币政策指标的重要预测变项有多余的股票收益与金融的传播机制及信贷渠道传导货币政策的 Jensen 和Johnson(1995年 )还会发现 ,货币政 策的发展是伴随模式的股票收益。他们指出 ,长期股票收益折现率的减少被证明增高 ,回报极少挥发率的增加而增加。证明他们的想法 ,就业的折现率作为代理的立场的货币政策遵循这种说法
33、从贴现率是典型的视为一个信号 ,并且很可能是经济发展的货币。这个争论是基于 Waud(1970)建议的折现率变化如何影响市场参与者的期望有关货币政策。自从率只有在实质性改变的时间间隔 ,他们代表了一种有点不连续的货币政策工具 ,他们建立了一个公共的体制被视为主管在判断经济的现金和信用需求。金融经济学家讨论折现率的变化可能影响股票的回报各种各样的原因。 例如 ,离散政策利率变化的影响预测市场利率的确定和权益资本成本。同时 ,折现率的变化可能影响企业盈利能力。在后续的研究中 ,Jensen,据 Mercer 和 Johnson 延长现有 (1996年 )和 French(1989)分析表明货币环境
34、影响投资者的要求回报。货币政策立场是由一个二进制虚拟变量主查会计师指示的折现率的变化。 Jensenetal.（ 1996)发现可预测的变化 ,在股票的回报率取决于货币以及企业的条件下 ,与预期的股票收益在紧张时期被更高的钱比得来容易的钱的时期。研究结果还表明不对称的商业条件之间的关系和股票的 回报率 :业务情况能预测未来的股票收益只有在各个阶段中膨胀的货币政策。 Conover,Jensen 和 Johnson(1999)争辩说 ,不仅美国股票的回报 ,外国市场的回报也会与美国货币环境 (以及他们当地的货币环境 )联系起来。他们发现 ,在 12个世界经济合作与发展组织国家股票收益一般在 1956-1995一段时间内比我们高膨胀的美国高并且当地的货币环境也更为严格。
