Impact of the US Monetary Policy Changes on the Chinese Stock Markets

DOI

10.2991/ssmi-18.2019.54How to use a DOI?

Keywords

Monetary Policy, Stock Markets, VAR Model.

Abstract

In this paper, I develop a vector autoregression (VAR) model to estimate the effects that the U.S. monetary policy have on Chinses stock market, using money supply, market interest rate, spread interest rate and effective exchange rate as the U.S. monetary policy index. It turns out that, according to any U.S. monetary policy index, the expansionary monetary policy in the U.S. exerts negative influence on Chinese stock market, while U.S. contractionary monetary policy bring positive impact on Chinese stock market. This result, revealing the discordance with the mainstream prediction in financial and economic fields, illustrates that the U.S. monetary policy has meaningful impact on Chinese stock market, which needs more thorough theoretical and experimental analysis.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jiameng Jiang
PY  - 2019/02
DA  - 2019/02
TI  - Impact of the US Monetary Policy Changes on the Chinese Stock Markets
BT  - Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
PB  - Atlantis Press
SP  - 303
EP  - 309
SN  - 2352-5428
UR  - https://doi.org/10.2991/ssmi-18.2019.54
DO  - 10.2991/ssmi-18.2019.54
ID  - Jiang2019/02
ER  -