Research On The Spillover Effects Of US Monetary Policy On China’s Stock Prices

In the context of economic globalization and financial integration,the linkage between countries and regions in the world has gradually increased,and the linkage between monetary policies has become increasingly tight.As the world’s superpower,the US’s economic performance and monetary policy orientation have important implications for emerging economies including China and other developed countries in the world.After the 2008 financial crisis,the Fed restarted its interest rate cycle in 2015 after stimulating economic recovery through unconventional monetary policies,and cut interest rates again in 2019.Changes in US monetary policy affect the flow of international capital and have a certain impact on the real economy and capital markets of emerging economies.This thesis first combs the empirical results of monetary policy and asset price fluctuations,the external effects of monetary policy,and spillover channel related theories;then combs and analyzes the factors that affect stock prices and foreign currency policy’s spillover channels on the stock market,through descriptive statistical analysis The impact of U.S.monetary policy on China’s economy;then,the SVAR and NARDL models were used to test the impact of U.S.monetary policy and its spillover channels on China’s stock market,as well as the long-term and short-term asymmetric effects of spillover effects.Finally,combining theoretical analysis and empirical analysis as a result,according to the actual situation in China,corresponding countermeasures and suggestions are proposed for different kinds of economic entities.Synthesizing the existing research results,the spillover channels of US monetary policy to China’s stocks mainly include monetary policy channels,international stock market linkage channels,exchange rate channels,and investor sentiment channels.The empirical analysis shows that the US monetary policy has a certain spillover effect on China’s stock prices,and the spillover effect has asymmetric effects.The US loose quantitative monetary policy has a negative impact on China’s stock market in the short term,but it has a positive impact in the long term;in the short term,the impact of the Federal Reserve’s recovery of currency on China’s stock price is greater than the impact of the release of currency.Symmetry,but long-term effects are about the same,without asymmetric.The overall tightening price monetary policy in the United States has a positive impact on China’s stock prices and has a long-term negative asymmetry.That is,the tightening price monetary policy can cause fluctuations in China’s stock prices in the long run than the loose price monetary policy.Among the spillover channels,the spillover effects of investor sentiment channels and stock market linkage transmission channels are relatively more obvious,while monetary policy channels are relatively weak.There is a clear asymmetry between the stock market linkage channel and the investor sentiment channel,while the spillover effect of the exchange rate channel is relatively symmetrical.