اطلاعیه های سیاست های پولی و واکنش های سهام: مقایسه بین المللی

This article investigates the impact of domestic monetary policy rate announcements on the stock markets of New Zealand, Australia, the United Kingdom and the euro area, using event-study methods to identify stock price reactions to the unanticipated/surprise component of announcements. As Australia and New Zealand did not reach the zero bound we investigate whether there is an impact from the global financial crisis on stock market reactions that can be distinguished from the asymmetric reactions to surprises that characterise the business cycle. We find that the euro area and the UK both show a financial crisis effect but behaviour in New Zealand and Australia does not change. We conduct robustness checks and explore confounding factors, especially the impact of ‘guidance’ from central banks that prepares markets for policy rate changes.

We have two main aims in this article: first to see whether the financial crisis has affected how stock prices respond to policy surprises. There is some evidence from the UK (Gregoriou, Kontonikas, MacDonald, & Montagnoli, 2009) that stock price responses became significantly positive during the financial crisis, which implies a striking change in behaviour. We therefore extend the existing literature to Australia and New Zealand because these two countries did not reach the zero bound for nominal interest rates and, hence used conventional policy throughout the crisis period. Beyond short run measures to ensure adequate liquidity, they did not employ quantitative easing or credit easing in addition to interest rate policy. We also include the UK and the euro area, which did reach the zero bound, as comparators. The nature of the likely change in behaviour in a crisis is not completely obvious. It is usually thought that in a crisis people become much more risk averse. This could mean therefore that they become more sensitive to monetary policy surprises, particularly negative ones. However, it is also thought that as monetary policy approaches the zero bound it becomes less effective, because people can see that conventional monetary policy will soon reach its limits. A negative shock could then simply accelerate the onset of the belief about policy ineffectiveness and hence show a weakened response in stock prices. As a by-product of this analysis we also get to test whether the experience recorded for the US, the UK and the euro area in normal times can be extended to Australia and New Zealand. Secondly, we seek to substantiate the evidence that the response of markets to monetary policy surprises varies over the course of the business cycle. There is good evidence that monetary policy responses to asset prices are themselves asymmetric (Mayes & Viren, 2011 for the euro area; D’Agostino, Sala, & Surico, 2005 for the US) but little in the reverse direction, although Anderson, Bollerslev, Diebold, and Vega (2007) find that stock price responses to positive macroeconomic news, including that from interest rates, is positive in expansions and negative in contractions. 1 Simply put, it is normally thought, on the basis of previous evidence (Bernanke and Kuttner, 2005, Bredin et al., 2007a, Bredin et al., 2007b, Honda and Kuroki, 2006 and Wongswan, 2005), that if there is a positive interest rate surprise this will encourage markets to fear that there is more adverse information available to the central bank than they had thought existed and hence the stock price response would be negative. However, in uncertain times such a surprise might lead markets to believe that policy will be more conducive to steady growth in the future, as the central bank appears more determined to maintain price stability than was previously thought. Montagnoli and Mayes (in press) for example show that central banks themselves tend to set policy differently under greater uncertainty.2 The previous discussion of the influence of the global financial crisis suggests that the reaction of markets may be different in the down and up phases of the cycle as well as during uncertainty which is usually associated with turning points. There is extensive evidence that, in addition to affecting inflation and the real economy, monetary policy has a clear impact on stock prices (and on house prices) (Iacoviello and Minetti, 2003 and Iacoviello and Raoul, 2008). Since stock prices are forward looking that influence will come through news and monetary policy surprises. The reaction to news will incorporate the change the central bank is expected to make in the settings of policy in the light of that same news. Thus when monetary policy decisions are announced, what will move stock prices is announcements that are different from those expected. All of the countries in our sample implement a form of inflation targeting, although this is not how euro area policy is described by the Eurosystem, and try to make their policy predictable. However, they typically only announce policy decisions at scheduled meetings. Some countries also offer a projection of how the policy rate might be expected to evolve in the future in the light of current information and expected future events. In our sample this is only the case in New Zealand. Although there is wide debate about the appropriateness of reacting to asset price changes, including stock prices,3 it is clear that monetary policy does indeed also respond to them in practice (see Mayes & Viren, 2011, for the case of the euro area and Miller, Weller, & Zhang, 2002 for the US).4 The relationship is therefore bi-directional. For market participants, changes in monetary policy have implications for effective investment and risk management decisions. For central banks, an understanding of the links between monetary policy and asset prices is fundamental, as has been demonstrated with unwelcome clarity in the present global financial crisis. They need to understand both how they can influence stock prices and how that influence impacts on inflation and financial stability. Our analysis here focuses on how stock markets react to policy surprises. To some extent monetary policy makers do deliberately seek to surprise markets if conventional policy setting does not appear to shifting expectations as anticipated. For example, in a crisis interest rates might well be reduced rather further than appears necessary from pre-crisis behaviour, simply to ensure that markets get the message that the central bank intends to move firmly to head off any prospect of deflation. By definition such steps are rare or they would get built into what is expected and no longer be a surprise. They also do not constitute any attempt to move asset prices by some particular amount. In common with most studies of announcement affects we apply event-study methods (Bernanke & Kuttner, 2005) as this enables us to identify the behaviour of stock prices around the specific time of the announcement and to filter out other extraneous sources of price changes. We are somewhat restricted in our data as we require on the one hand daily stock prices and on the other a sustained period where a country has applied a similar monetary policy regime and announced its decisions in the form of a policy interest rate setting. In the case of euro area we are of course limited by the period of its existence, however, in the case of New Zealand we are more limited than might be expected, as although it was the earliest adopter of inflation targeting and was very transparent in its decision making from as early as 1989, most of the early policy setting was indicative, backed up by the threat of changes in the quantity of overnight money. Although the target was consistently the 90-day Treasury Bill rate, this was not the instrument and the policy is aptly described ‘Open Mouth Operations’ (Guthrie and Wright, 2000 and Mayes and Riches, 1996). It is only since April 1999 that New Zealand has used the overnight cash rate (OCR) as its explicit policy variable. Similarly the UK has only been using the Repo rate as its main instrument since 1997. However this gives us 119 observations up until interest rates fell to the zero bound in the present crisis.5 As the global financial crisis is not yet over, more complex changes in behaviour may well emerge. At this stage, however, monetary policy makers may wish to reflect on whether changes in the reaction to policy surprises in a crisis have any implications for policy. In the rest of the article, Section 1 explains the model and the methodology applied. Section 2 considers the issues posed by our data on the four monetary regimes: New Zealand, Australia, the UK, and the euro area. In Section 3, we discuss the results. Section 4 concludes.

This study explores the responses of aggregate stock price indices of New Zealand, Australia, the UK and the euro area to monetary policy rate announcements. Similar to previous studies, we find significant negative stock price reactions to monetary policy surprises. We contribute several new findings to the literature. First, the ‘financial crisis effect’ identified by Gregoriou et al. (2009) for the UK is also present in the euro area stock market. Whereas the pre-crisis reactions are significantly negative, the UK and euro area responses to both expected and surprise rate change components become positive during the crisis. This effect is amplified during the zero bound period. In contrast, the New Zealand and Australian stock responses remain negative during the crisis. This is consistent with the fact that the NZ and AU policy rates did not reach the zero bound. Second, the Australian stock market response is significantly procyclical. The responses of both ASX200 and FTSEAU to the rate change components are stronger (more negative) in business cycle contractions than in expansions. According to Basistha and Kurov (2008), the cyclicality in response is attributable to the credit channel of monetary policy. Furthermore, we find clear evidence of a change in response after the onset of full inflation targeting (August 1994) in the ASX200 index. While the index reacts negatively to surprise rate changes in the pre-inflation-targeting period, the overall response from August 1994 onwards is insignificant in expansions, the response is positive, consistent with the extra inflation reducing effort of a surprise rate increase or the inflation increasing effect of a surprise rate cut. In contractions, inflation is presumably no longer a primary concern, and the theoretical negative reactions are restored. Third, we show that the NZ stock market responds more strongly to positive surprises than negative ones, which lends support to the investor conservatism hypothesis. However, no evidence of a similar asymmetry is found for the other countries. NZ is unique in our sample in announcing conditional probable future interest rates changes at the same time as the current policy decision. Indications of these probable future rate changes are also found to have a significant effect on the NZ market. A probable future rate increase has a positive effect on the contemporaneous response of the NZXALL index, while a probable future rate cut has a negative effect. In the case of a future zero change there is little reaction. Interestingly, the reaction to future rate cuts is only significant during the crisis and contractions, indicating that a further cut is only regarded as bad news when markets are generally pessimistic. In contrast, a future rate increase is viewed as a favourable signal regardless of economic conditions. Last, our test of an extended sample period for the UK shows that the market response to monetary policy is insignificant during the first two years of Repo Rate announcements. Hence the conclusions drawn from the UK sample in our study and those in the existing literature cannot be applied to this period. Taken together therefore our results show that while there are some similarities between the US and Australia, the euro area, New Zealand and the UK in the response of stock prices to monetary policy surprises, there are also important differences. There are some signs of asymmetry both across the economic cycle and depending on the sign of the surprise but Australia and New Zealand, which did not hit the zero nominal interest rate bound in the global financial crisis, do not show a change in behaviour unlike the euro area and the UK. However, the global financial crisis is not over and the addition of further data points could lead to different conclusions.