货币政策冲击与股票市场的高频网络关联性

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE International Review of Economics & Finance Pub Date : 2024-08-31 DOI:10.1016/j.iref.2024.103558
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引用次数: 0

摘要

我们利用美国 10 个行业级股票指数的 1 秒钟收益率数据,研究了货币政策决策对金融市场网络结构的高频影响。我们发现,FOMC 会议和政策意外对回报率、波动率、偏度和峰度的网络关联性有显著影响。与政策决定相关的信息会瞬间冲击整个金融网络并迅速消散。网络关联性冲击受利率意外影响的程度呈正向影响,符号影响不对称,非线性影响较弱。我们的研究结果对货币政策、系统性风险和资产定价都有影响。
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Monetary policy shocks and the high-frequency network connectedness of stock markets

We study the high-frequency impact of monetary policy decisions on the structure of financial market networks, using 1-second return data for 10 industry-level equity indices in the United States. We find that FOMC meetings and policy surprises have a significant influence on network connectedness in returns, volatility, skewness, and kurtosis. The information related to policy decisions instantly shocks and is quickly dissipated throughout the financial network. Network connectedness shocks are positively impacted by the magnitude of interest rate surprises, with asymmetric effects by sign and nonlinear effects being weak. Our results have implications for monetary policy, systemic risk, and asset pricing.

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来源期刊
CiteScore
7.30
自引率
2.20%
发文量
253
期刊介绍: The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.
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