تاثیر سیاست های پولی تغییرات در بازارهای پولی و سهام چینی ها

The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and Shanghai stock market. We find that the monetary market is related to the macro economy trend and we also find that the monetary change surprises both of lowering and raising bring significant impacts to the two markets and the two markets respond to the changes differently. The results suggest that the impact of fluctuations is much larger for raising policy changes than lowering changes in the monetary market on policy announcing and effective dates. This is consistent with the “sign effect”, i.e. bad news brings a greater impact than good news. By studying the event window of each policy change, we also find that the “sign effect” still exists before and after each change in the monetary market. A relatively larger fluctuation is observed before the event date, which indicates that the monetary market might have a certain ability to predict a potential monetary change, while it is kept secret by the central bank before official announcement. In the stock market, we investigate how the returns and spreads of the Shanghai stock market index respond to the monetary changes. Evidences suggest the stock market is influenced but in a different way than the monetary market. The climbing of returns after the event dates for the lowering policy agrees with the theory that lowering changes can provide a monetary supply to boost the market and drive the stock returns higher but with a delay of 2 to 3 trading days on average. While in the bear market, the lowering policy brings larger volatility to the market on average than the raising ones. These empirical findings are useful for policymakers to understand how monetary policy changes impact the monetary and stock markets especially in an emerging market like China where the economy is booming and the policy changes impact the markets as surprises by the central bank without a pre-decided schedule. This is totally different from previous studies on FED, which follows pre-decided schedules for monetary policy changes.

Monetary policy changes made by the central bank of each country can bring a great influence to the financial markets [1]. A central bank can lower or raise benchmark rates to adjust the economy, which is similar to the interest rate. Several researchers [2], [3], [4], [5], [6] and [7] study how the Federal Reserve Board(FED), the central bank of the United States influences the markets both from the traditional finance research perspective [2], [8], [9], [10] and [11] and statistical physics [12] and [13]. Some studies report stock markets respond differently to different policy actions and types [2] and [5]. For other countries and regions like South East Asia [14], the link between monetary policy and asset prices is also investigated. In study [15], the results suggest there is asymmetrical volatility before and after a Federal Open Market Committee (FOMC) meeting event in the Irish stock market. Similar research is conducted in the markets from Germany and the UK, where asset prices are negatively influenced by the UK monetary policy changes [16]. In the Euro Area, studies [17], [18], [19] and [20] focus on how the monetary policy changes made by the European Central Bank (ECB) can influence the markets. Expansionary monetary policy can lead to higher market liquidity in German, French and Italian markets [18], the ECB makes a clear impact on volatilities of the European index return [19]. The monetary policy changes are also studied from 13 countries in the Organization for Economic Co-operation and Development (OECD) [21] and Canada [22]. A wider collection of 16 countries are investigated in Ref. [23] and the authors find monetary policy changes influence the stock market returns on a monthly and quarterly basis. However, there is still a lack of study on how the market responds to the monetary changes in emerging markets like China, since the mechanisms of monetary policy changes adapted by other central banks might be different between developed countries and emerging markets like China. While some studies only focus on how the stock market responds [24], it is important to investigate how the monetary market responds to the monetary policy changes in China. In this paper, we conduct research on the impact of the monetary policy changes made by the central People’s Bank of China (PBC) to the monetary market and the stock market. Results of analysis suggest that the Shanghai Interbank Offered Rate (SHIBOR) monetary market and Shanghai stock market respond differently to the changes of interest rate (R) and required reserve ratio (RRR). In a bear market, lowering R or RRR can bring a larger fluctuation into the stock market and a smaller fluctuation into the monetary market. There is a significant “sign effect” [12] and [25] that raising RRR or R can bring larger fluctuations to the SHIBOR market, while raising policies will impact the monetary markets more. For the stock market, there is an approximately two-day-delay for lowering policies to take effect, to drive the stock market index higher, which also agrees with the fact that lowering policies can provide a stronger money supply into the market and boost the market. For the SHIBOR market, the average fluctuations reach peaks at 1 or 2 days before the policy changes announcement dates and effective dates. This indicates the SHIBOR market has a certain predictability for monetary change surprises which the PBC keeps secret and releases as surprises without any schedules. All the 34 RRR changes and 16 R changes between 2006-10-08 and 2012-05-11, covering1401 trading days are studied in this research. This paper is organized into four sections as follows. In Section 2, the Chinese monetary policy tools of RRR and R, the Chinese interbank monetary market index SHIBOR and the Shanghai stock market are introduced. In Section 3, the research method and data collection results with analysis are presented. The conclusions, discussions, contributions, and limitations are provided in Section 4.

Monetary policy changes of central banks are the most major factors influencing the monetary market and financial market. The interest rate R and required reserve ratio RRR are the two most powerful tools used by the Chinese central bank, the People’s Bank of China to adjust the markets and economy by lowering the rates to provide more money into the market to boost and stimulate the economy or by raising the rates to tighten the money supply to cool down the economy and fight inflation. Unlike the FED which announces the adjustment of rates in scheduled FOMC meetings, PBC announces raising or lowering of R and RRR as surprises without any schedules. This kind of surprise can shock both the monetary market and stock market. By analyzing all the 50 monetary policy changes of RRR and R in our study period between 2006-10-08 and 2012-05-11, and using the SHIBOR market prices and Shanghai stock market index price data, we study how the Chinese monetary policy changes impact the monetary market and stock market in China. We construct the correlation matrices using the panel bank quotation level data and studied the largest eigenvalue distribution. We find that the SHIBOR market is closely related with the macro economy market. Our further study shows that the monetary changes of RRR and R have a great influence on the SHIBOR market and the stock market. Through studying the fluctuation of SHIBOR overnight interest rates on event dates, in Table 1, we find significant fluctuations in the SHIBOR market on event dates, and that on all event dates View the MathML sourceDrrr±,r±a,e, the 〈σ〉=0.0501〈σ〉=0.0501 and View the MathML source〈spread〉=0.1963 are almost twice the 〈σ〉=0.0257〈σ〉=0.0257 and View the MathML source〈spread〉=0.0992 for all the dates in our study period ALLALL. If the panel banks have no inside information or predictive ability regarding a monetary change surprise, then there should not be a large difference in fluctuations for ALLALL and View the MathML sourceDrrr±,r±a,e. These findings show that the SHIBOR market is very sensitive to the impact of monetary changes of PBC, and based on the observed behaviors of panel banks, it seems that the SHIBOR market has a certain predictive ability for potential changes, but this needs more careful study and it would be a worthy topic of further investigation. Also, from Table 1, we find that the raising of RRR or R leads to larger fluctuations in the SHIBOR market than the lowering changes. This result agrees with the “sign effect” [25] and [12] in which bad news has a greater impact than good news on the market, in our case, the raising of RRR or R is bad news for the market because this kind of change means the PBC wants to tighten the money supply and bring larger fluctuations to the market, while the lowering of RRR or R means more liquidity and money supply to the market which is good news and brings smaller fluctuations. By constructing an event window with a size of 11 trading days, we also study how SHIBOR responds before and after the each monetary change. The averaged fluctuations 〈σ〉〈σ〉 of the SHIBOR market before and after the event dates are presented in Fig. 7. We again find clear “sign effect” where all 〈σ〉〈σ〉 of raising of R or RRR are higher than those of lowering of R or RRR over all date sets from View the MathML sourceDr±a to View the MathML sourceDrrr±,r±e as shown in Fig. 7(a)–(f). The monetary policy changes can also have a great influence on the stock market. In order to study how the changes can impact the stock market, we use the daily Shanghai index data and build an event time window of the same length to see how the stock market responds differently before and after the event dates. As plotted in Fig. 8 for the index return and Fig. 9 for the volatility respectively, we find that the market returns will climb up with about a 3 day delay in the Shanghai stock market after the lowering monetary changes happen, and this is agreement with the effect that a market friendly policy, i.e. lowering the rate providing more money to the market, will bring about high returns. However, this will not happen immediately, but only with about a 3 day delay on average which indicates that the stock market slowly digests the monetary policy impact and reacts correctly. Also, we find that the volatilities of the Shanghai market, indicated as a daily spread of index return, as shown in Fig. 9, are influenced by the changes differently from the SHIBOR monetary market too. In the stock market, the volatilities of lowering changes are larger than that of raising changes, while for the SHIBOR market, the fluctuations of SHIBOR prices are the opposite, that raising R or RRR will bring larger fluctuations than lowering the rates. The reason behind this is that the period when PBC lowered the R or RRR was actually the bear market period of around 2008 when the market experienced a large crash. This is actually in agreement with previous studies, which found monetary policy changes during bad times or in a bear market might lead to larger volatility and fluctuations in the stock market [6], [12], [41] and [42]. Recently, many studies have emphasized the applicability and how the empirical findings can be valuable for policymakers [45]. Here we show that monetary policymakers must pay serious attention to how both the monetary market and stock market are impacted by the monetary policy changes [46], especially in a country like China where the economy is booming and the monetary changes are announced to the market as surprises with no pre-decided schedules. The stock market fluctuation is determined by the demand and supply shocks as well as the monetary policy changes [3], the findings suggest that in the short run time window of monetary changes, the market is influenced by the changes and demonstrates different behaviors in bear and bull markets to different monetary policies, either lowering or raising RRR and R. PBC is responsible for setting the R and RRR and it plays the same role as FED, which attracted much criticism for not doing enough to keep the economy healthy or even causing bubbles [47]. The empirical studies revealed would be useful to understand the relationship between the market and policy changes, and are also useful for the policymakers to monitor and evaluate the effect of monetary changes to the monetary market and stock market, since the stock market is a monetary policy transmission channel [23].