Zero Lower Bound Monetary Policy's Effect on Financial Asset's Correlations

Michael P. Hughes; Karl Rogers

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Zero Lower Bound Monetary Policy's Effect on Financial Asset's Correlations

机译：零下限货币政策对金融资产相关性的影响

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We investigate the hypothesis that zero lower bound monetary policy has an effect on the correlations of financial assets. Using an event-study approach, we evaluate the impact of the zero lower bound monetary policies of the Bank of Japan, the Bank of England, and the Federal Reserve on the bond and equity markets in Japan, the UK, the US, and the Eurozone. We evaluate the bond markets using the Japanese 10-year Sovereign bond (JGB), UK 10-year bond (Gilt), US 10-year Treasury note (T-note), and German 10-year bond (Bund). For the equity markets we use the Nikkei 225, FTSE 100, S&P 500, and Euro STOXX 600 as proxies for each regional market. We also include gold and silver as control commodities. Our analyses demonstrate significant changes not only in the evaluated assets' correlations with each other, but also in their general behavior. This has major implications for investment portfolio construction and provides useful insight for financial service regulators and the central banks themselves in monitoring the fragility and stability of the financial system.

机译：我们研究了零下限货币政策对金融资产相关性有影响的假设。使用事件研究方法，我们评估了日本银行，英格兰银行和美联储的零下限货币政策对日本，英国，美国和日本的债券和股票市场的影响。欧元区。我们使用日本10年期主权债券（JGB），英国10年期债券（Gilt），美国10年期国债（T-note）和德国10年期国债（Bund）评估债券市场。对于股票市场，我们使用“日经225”，“富时100”，“标准普尔500”和“欧洲STOXX 600”作为每个区域市场的代理。我们还将黄金和白银也包括在内。我们的分析表明，不仅评估资产彼此之间的相关性发生了显着变化，而且其总体行为也发生了显着变化。这对投资组合的建设具有重要意义，并为金融服务监管机构和中央银行本身在监测金融体系的脆弱性和稳定性方面提供有用的见解。

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来源
《International Advances in Economic Research》 |2016年第2期|151-170|共20页
作者
Michael P. Hughes; Karl Rogers;
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作者单位

School of Business, Francis Marion University, PO Box 100547, Florence, SC 29502-0547, USA;

Trinity College Dublin, Dublin 2, Ireland;

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原文格式 PDF
正文语种 eng
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关键词
Zero lower bound monetary policy; Financial markets; Portfolio construction;

机译：零下限货币政策;金融市场;投资组合建设;

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专利

1. MONETARY POLICY, ASSET-PRICE BUBBLE AND THE ZERO LOWER BOUND [J] . Tim Robinson, Andrew Stone Working Paper Series. Monetary Economics . 2005,第11105期

机译：货币政策，资产价格泡沫和零下限
2. Are financial markets less responsive to monetary policy shocks at the zero lower bound? [J] . Wu Wenbin Economics letters . 2016,第auga期

机译：金融市场是否对零下限的货币政策冲击反应较弱？
3. Monetary Policy, Financial Stability, and the Zero Lower Bound [J] . Stanley Fischer The American economic review . 2016,第5期

机译：货币政策，金融稳定和零下限
4. The Impulse Effect of Monetary Policy on Asset Prices: A Study of the Interactive Correlations among Interest Rate, Housing Prices, and Stock Prices [C] . Zeng Hualong, Li Lin, Li Shucheng International Conference on Advanced Technologies for Communications . 2008

机译：货币政策对资产价格的冲动效应：利率，房价和股票价格之间的互动相关性研究
5. Measuring the Constraint of the Zero Lower Bound on Monetary Policy in the United States [D] . Hecksher, Samuel. 2018

机译：衡量美国零下限对货币政策的约束
6. Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market [O] . Ou Sun, Zhixin Liu -1

机译：应对资产价格泡沫的货币政策措施和央行沟通的比较-来自中国股市的证据
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Zero Lower Bound Monetary Policy's Effect on Financial Asset's Correlations

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