وابستگی به دولت در اثر رژیم سیاست پولی از تغییر برروی بازده شاخص ارزش گذاری

Previous research studies reveal that changes in monetary policy can significantly affect hospitality stock returns. This paper makes another contribution by showing that the impact of shifts in the Fed monetary policy regime on US hospitality index returns varies to a great extent in the different stages of business cycle and under different credit market conditions. Shifts in the Fed monetary policy regime are measured by directional changes in the discount rate (DR) and directional changes in the federal funds rate (FFR). In particular, the significant influence of monetary policy regime shifts on hospitality index returns depends on the state of economy. The significant influence of DR exists only during periods of business cycle contraction. In addition, although US hospitality index returns respond significantly to FFR under both business cycle expansion and contraction, the size of the response is substantially larger and more statistically significant during periods of business cycle contraction. Finally, the impact of both DR and FFR on hospitality index returns depends on the credit market conditions, especially when the credit market is tight.

Federal Reserve (Fed) policy announcements and actions have been closely examined by financial market participants and academic researchers in an attempt to understand the impact of policy actions on security prices. Fed monetary policy is known as the manipulation of the money supply to impact the economy through its influence on interest rates. One of the key interest rates is the discount rate, the interest rate that the Fed charges banks and/or depository institutions on discount loans. An increase (A decrease) in the discount rate decreases (increases) discount loans and hence money supply, leading to a high (low) interest rate. Discount rate changes occur infrequently because frequent changes in discount rate would induce instability in financial markets and institutions. In practice, discount rate changes are often interpreted as signals of the future course of Fed monetary policy. Jensen et al. (1996), Johnson and Jensen (1998), Conover et al., 1999a and Conover et al., 1999b and Jensen and Mercer (2006) rely on turning points in the monetary stance as identified by directional changes in the Fed discount rate to characterize the monetary policy stance as either “expansive” or “restrictive.” Waud (1970) identifies three advantages of using changes in the discount rate as informative signals of the Fed's future policy actions. First, discount rate changes are exogenous policy signals that are easy for the public to interpret. Second, discount rate changes are widely reported and relatively infrequent. Third, discount rate changes have special information and competence to judge whether changes in bank credit and money are consistent with the economy's cash needs. The association between stock returns and directional changes in discount rate has been supported by empirical studies. Johnson and Jensen (1998), Conover et al. (1999a) and Conover et al. (2005) reveal that U.S. stock returns are significantly related to directional changes in discount rate. Conover et al. (1999b) further show that in addition to U.S. stock market returns, stock returns in several other developed countries are also significantly related to directional changes in Fed discount rate. Empirical findings generally reveal that security returns are higher (lower) in an expansive (a restrictive) monetary stance. Jensen and Mercer (2006) state that one notable advantage of relying on the directional changes in the discount rate as a policy signal is that the discount rate, unlike other indicators, has continuously had an official role as the interest rate that the Fed charges banks on borrowed reserves. In contrast, an explicit federal funds rate target neither exists nor makes sense during early periods in which the Fed focuses on reserve aggregates. In addition, there is debate over the extent of the Fed's control over other rates, whereas there is no doubt that the Fed controls its discount rate. Thornton (1998) also notes that changes in the discount rate are generally aligned with turning point changes in the federal funds rate target. In the hospitality literature, several studies examine whether stock returns of hospitality firms are related to a set of selected economic variables (Barrows and Naka, 1994, Chen et al., 2005, Wong and Song, 2006, Chen, 2007a, Chen, 2007b, Chen, 2012a and Chen, 2012b). This study makes another contribution to the hospitality finance literature by offering an insight into the state dependence in the influence of monetary policy regime shifts on hospitality index returns. Specifically, we analyze whether the impact of shifts in the Fed monetary policy regime on U.S. hospitality index returns varies in different stages of the business cycle and in different credit market conditions. Previous financial research studies have examined the state dependence in the stock market's reaction to economic news. McQueen and Roley (1993) investigate state dependence in the stock market reaction to several macroeconomic announcements. Boyd et al. (2005) analyze whether the response of the stock market to unemployment news depends on the state of the economy. Whether the Fed monetary policy has asymmetric effects on stock market returns in bull and bear markets is examined in the study by Chen (2007). Basistha and Kurov (2008) scrutinize the impact of monetary policy on stock returns under different economic and credit market conditions. Note that while Barrows and Naka (1994), Chen et al. (2005), Wong and Song (2006) and Chen, 2007a, Chen, 2007b, Chen, 2012a and Chen, 2012b provide insightful and interesting findings on the impact of monetary policy variable on hospitality stock returns, more examinations related to this stream of research can enhance the hospitality finance studies. This paper contributes to the literature by showing that although shifts in the Fed monetary policy regime can significantly affect US hospitality index returns, the effects vary widely under different business and credit market conditions. Furthermore, in addition to the discount rate, this study includes federal funds rate in its analysis since federal funds rate is one of the main instruments of Fed monetary policy. In other words, both the discount rate and the federal funds rate are used as measures of the Fed monetary policy condition. Some researchers advocate the fed funds rate as a superior indicator of actual Fed activities (Cook and Hahn, 1989, Bernanke and Blinder, 1992 and Bernanke and Kuttner, 2005). The discount rate, the interest rate that the Fed charges banks on the discount loans, is completely controlled by the Fed. Accordingly, the Fed tends to stabilize the discount rate to achieve interest rate and financial market stability. In comparison, the federal funds rate is the interest rate on short-term loans of reserves from one deposit institution to another, which is determined by the demand for and supply of reserves in the market. Given that the federal funds rate is market-driven, it may react more quickly (relative to movements in monetary aggregates) to Fed activities, and thus, serve as another good indicator of the Fed's short-term activities around a policy signal. However, it is worth noting that this study investigates whether the impact of monetary policy regime shifts on US hospitality index returns varies in different stages of the business cycle and under different credit market conditions. Shifts in the Fed monetary policy regime are measured by both directional changes in the discount rate and in the federal funds rate. Whether the federal funds rate or the discount rate is a better indicator of the Fed monetary policy actions is beyond the scope of this study. The remainder of the paper is organized as follows. Section 2 reviews the literature. Section 3 describes the data and key variables, including measures of Fed monetary policy stance, business cycle and credit market conditions. Regression test models are presented in Section 4. Section 5 shows empirical test results. Section 6 concludes the study with a discussion of major findings.

In the hospitality literature, previous studies have examined the impact of monetary policy changes on hospitality stock returns. Nonetheless, no research papers have investigated the state dependence in the reaction of hospitality index returns to monetary policy changes. This paper analyzes state dependence in the influence of shifts in Fed monetary policy regime on U.S. hospitality index returns. Specifically, this study tests whether the impact of shifts in the Fed monetary policy regime on U.S. hospitality index returns varies under different business cycle and credit market conditions. To understand stock performance of various hospitality sectors under different monetary policy regimes, we classify the full sample of the monetary policy periods into either an expansive or a restrictive monetary regime. Shifts in Fed monetary policy regime are measured by directional changes in the discount rate and federal funds rate. An expansive monetary policy regime is associated with the months in which the discount or federal funds rate decreases, whereas a restrictive monetary regime is the months in which the discount or federal funds rate increases. While previous studies provide insightful and interesting evidence that monetary policy variables have a strong effect on hospitality stock returns, this study contributes to the hospitality literature by presenting several new findings. Specifically, although shifts in the Fed monetary policy stance measured by directional changes in the discount rate and federal funds rate can significantly influence U.S. hospitality index returns, the strong effects vary greatly in different stages of business cycle and under different credit market conditions. The following empirical findings and implications are presented and discussed. First, test results indicate that shifts in Fed monetary policy regime have a larger effect on U.S. hospitality index returns than on market return. In particular, when Fed monetary policy regime shifts are measured by the directional changes in federal funds rate, the size of the impact of monetary policy regime shifts on airline, restaurant and travel and leisure index returns is more than 1.5 times the size of that the impact on market return, and the size of the impact of monetary policy shifts on hotel index return is more than 2 times of that on market return. The possible explanation for the findings is that hospitality-related firms usually have a relatively small market value (Beaver and Lashley, 1998 and Chen et al., 2007). Thorbecke (1997) demonstrates that the impact of monetary policy changes on stock returns varies significantly across industries. He shows that monetary policy changes have a larger effect on the returns of small firms. Hence, the influence of shifts in monetary policy regime on index returns of hospitality sectors (small firms) is stronger than that on returns of the market as a whole (large firms). The rationale for a higher impact of monetary policy regime shifts on small firms’ returns than on those of large firms is that small-size firms have more credit/financial constraints. When the Fed pursues a restrictive monetary policy, the monetary tightening raises the quantity restrictions on the availability of credit, which leads to a larger impact on hospitality sectors because small-size hospitality firms with a relatively lower creditworthiness will have more difficulty in obtaining credit. Second, the significant influence of monetary policy regime shifts on hospitality index returns depends on the state of economy. The impact of monetary policy regime shifts measured by the directional changes in discount rate exists only during periods of business cycle contraction. Furthermore, although US hospitality index returns respond significantly to shifts in the monetary policy regime as measured by the directional changes in federal funds rate under both business cycle expansion and contraction, the size of the response is substantially larger and more statistically significant during periods of business cycle contraction. Among index returns of four hospitality sectors, hotel index return reacts most strongly to monetary policy regime shifts during periods of business cycle recession. Specifically, during periods of business cycle contraction, the size of the effect of monetary policy regime shifts on hotel index return returns is about 1.5 times the size of the effect on other hospitality index returns and more than twice the size of the effect on market return. The possible reason for the result is that the hotel industry is a cyclical industry, and thus is highly sensitive to the state of the economy (Bodie et al., 2009). Sales and future corporate earnings of hotel companies hence fluctuate with the changes in the business cycle. In other words, the demand for goods or services provided by hotel firms is highly cyclical. To provide a robust check, we use the capital asset pricing model (CAPM) of Lintner (1965) and Sharpe (1964), as given in Eq. (10), to obtain the beta for each hospitality index return since Bodie et al. (2009) argue that stocks of the firms in a cyclical industry tend to have a higher beta: equation(10) View the MathML sourceHRt−Rtf=α+βt(MRt−Rtf)+vt, Turn MathJax on where R f is the risk-free rate (3-month Treasury bill rate), View the MathML sourceHRt−Rtf is the risk premium of hospitality index returns at time t , α is the regression intercept term, β is the beta View the MathML sourceMRt−Rtf is the risk premium of the market return and vtvt is the error term. Estimation results are reported in Table 8. As shown in Table 8, among four hospitality index returns, hotel index return has a highest beta (1.23), followed by travel and leisure index return (1.21), airline index return (1.09); the restaurant index return has the lowest beta value (1.03). Regression test results of beta values are generally in line with the size of the effect of monetary policy regime shifts on different hospitality index returns.Moreover, hotel firms are known to have a high portion of fixed costs (costs that all firms incur regardless of their production levels) and a low portion of variable costs (costs that increase or decrease with the amount of goods or services that the firm produces). With their high fixed costs, hotel companies are very sensitive to business conditions. Especially, during economic downturns, hotel firms cannot reduce costs as output falls in response to falling sales. Hotel profits will hence swing more widely with sales because costs do not move to offset revenue variability. Therefore, a small swing in business cycle conditions can have profound effects on the profitability of hotel firms. This is another possible explanation for the strong influence of monetary policy regime shifts during periods of business cycle contraction. Third, the impact of monetary policy regime shifts on hospitality index returns depends on conditions in the credit market. Especially, the impact of monetary policy regime shifts measured by the directional changes in both discount rate and federal funds rate on hospitality index returns is much stronger in a tight credit market. Moreover, the size of the influence of the directional changes in both discount rate and federal funds rate on index returns of all four hospitality sectors in tight credit market condition is higher than that of the corresponding impact on index return of the market as a whole. These findings are also consistent with the literature on the credit channel of monetary policy, which implies that the impact of monetary policy actions on firms tends to be asymmetric (see, for example, Gertler and Gilchrist, 1994 and Perez-Quiros and Timmermann, 2000). When information asymmetry presents in the financial market, agents behave as if they are constrained financially. In the literature, the size of firms has been widely used as a proxy for the degree of credit constraints. Gertler and Gilchrist (1994) further show that small firms are more dependent on bank loans. As mentioned, hospitality firms are generally small, i.e. are relatively less creditworthy, and are more therefore likely to be financially constrained. With more financing constraints, hospitality firms will have more difficulty in obtaining bank loans and will therefore be affected more strongly by changes in monetary policy regime than firms that are less financially constrained in a tight credit market as banks tend to reduce credit lending. Finally, while Chen (2007a) find that shifts in monetary regime have a significant impact on hotel stock returns, this study reveals that in addition to hotel stock return, stock returns of airline, restaurant and travel and leisure sectors are also significantly related to monetary conditions and, furthermore, stock returns in different hospitality sectors are generally more sensitive to monetary conditions than the market index return. These findings offer some important implications for the individual and institutional investors who are interested in investments in hospitality stocks. Especially, investments in an index/mutual fund with an industry focus, such as Abacus Hospitality Fund (http://www.investsmart.com.au/managed-funds/Abacus-Hospitality-Fund-14834.asp) and HEI Hospitality Fund III (http://www.tradingmarkets.com), have been a popular and low-cost way for small investors to pursue a passive investment strategy in the hospitality sector. Empirical evidence in this study implies that an active, instead of passive, investment strategy in the hospitality stocks is possible, which is in line with Chen (2012a). Since hospitality indices have a better (worse) performance under an expansive (a restrictive) monetary regime, hospitality stock investors can rebalance their investment portfolios based on monetary policy shifts (easing or tightening). Particularly, they should raise (lower) their investment holdings in hospitality stocks during expansive (restrictive) monetary periods. This investment strategy has several advantages. As Conover et al. (2008) note, the strategy is easy to follow and does not require frequent trading. In addition, shifts in monetary regime can be identified on an ex-ante basis. Moreover, future studies may find various strategies for investing in the hospitality sectors by taking the development of economic and credit market conditions into consideration because the significant impact of shifts in monetary regimes on hospitality index returns also depends on the economic and credit market conditions.