摘要
随着美国经济的复苏,美联储逐渐退出了其自2008年来采取的量化宽松货币政策,美国经济进入加息周期。在美联储加息预期下,全球金融资产价格波动频繁。美国量化宽松货币政策退出对我国金融资产价格影响如何?本文以2013年11月至2016年6月美联储的持债规模和上证指数、美元兑人民币汇率中间价、一年期Shibor数据为样本,采用VAR模型实证分析了美国量化宽松货币政策退出对我国金融资产价格的影响。结果显示,美国量化宽松货币政策退出对美元兑人民币汇率中间价有显著的正向冲击,人民币具有贬值的压力;对上证综合指数有负向冲击,我国上证综合指数在美国量化宽松货币政策退出期间会降低;对一年期的Shibor有正向冲击,一年期的Shibor在美国量化宽松货币政策退出期间会上浮。
With economic recovery currently, the United States withdraws from the quantitative easing monetary policy. Expects of the Fed to raise interest rates lead to the frequent volatility of financial assets price globally and other countries have to take measures to deal with the impact. We take the data of the quantities bonds that the Fed holding and Shanghai Composite Index （SCI）, exchange rate of the USD against the RMB and one-year Shanghai interbank offered rate （Shibor） from November, 2013 to June, 2016 for example, and adopt VAR model to analyzes the influences on China＇s Financial Assets＇ Price caused by the trim of QE. The conclusion is as following： firstly, the ending of QE has obvious positive impact on exchange rate of the USD against the RMB, and the latter is under pressure of being devaluated; secondly, SCI is negatively impacted and SCI will decline when US ends QE; thirdly, one-year Shibor is positively affected and one-year Shihor will rise during the ending of QE.
作者
肖霆
邱光辉
XIAO Ting QIU Guang-hui(School of Business, Central South University, Changsha 410083)
出处
《财务与金融》
2016年第6期1-6,共6页
Accounting and Finance
