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美国货币政策的不确定性是否会影响亚洲发达国家,新兴市场和前沿股票市场的回报率? 经验证据通过使用量子位对量子位方法来证明
Rimsha Arshad1, Hassan Zada1, Kazi Sohag2
1Department of Management Sciences, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan.
Heliyon
|July 1, 2024
概括
美国货币政策的不确定性对亚洲股市产生了重大影响,影响了发达国家,新兴国家和前沿经济体. 投资者和政策制定者可以利用这些见解来进行风险管理和战略制定.
科学领域:
- 金融经济学 金融经济学
- 国际金融 国际金融
- 计量经济学 计量经济学 计量经济学
背景情况:
- 美元的全球主导地位产生了美国货币政策的重大溢出效应.
- 亚洲股票市场对国际经济冲击的反应各不相同.
研究的目的:
- 调查美国货币政策不确定性 (MPU) 对亚洲发达,新兴和前沿股票市场的影响.
- 分析MPU在不同市场细分和量级上的不同影响.
主要方法:
- 量子对量子回归 (QQR) 方法.
- 利用亚洲14个国家的2006年1月至2022年12月的月度数据.
主要成果:
- 美国MPU通常对亚洲股票市场产生显著的负面影响.
- 发达市场的结果不尽相同 (澳大利亚/新西兰负,上方数量级的香港/日本为正).
- 新兴市场 (台湾,印度,中国,泰国,印度尼西亚,韩国,马来西亚) 经历了负面影响,在更高的MPU水平上加剧;菲律宾没有影响.
- 边境市场 (巴基斯坦,斯里兰卡) 受到美国MPU的负面影响.
结论:
- 美国MPU传输在亚洲股票市场上有所不同,需要量身定制的投资和政策响应.
- 调查结果为对冲策略的投资者和经济管理的政策制定者提供了可操作的见解.
- 强调全球金融市场的相互联系以及美国货币政策的普遍影响.
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