Journal of Banking and Finance ·Volume 86, Pages 127-142· JAN 2017

货币政策的不确定性和市场对宏观经济新闻的反应

作者：Alexander Kurov (Department of Finance, West Virginia University) Raluca Stan(Department of Finance, West Virginia University)

摘要：我们研究货币政策的不确定性是否影响股票、国库券、外汇和原油市场以及中期利率对美国宏观经济公告的反应。通过使用日内的期货数据，我们发现在较高的政策不确定性的情况下，股票和原油市场对宏观经济新闻的反应较弱，在国库券、利率和外汇市场上较强。在货币政策不确定性升高的时候，宏观经济公告在很大程度上通过影响对未来货币政策的预期来影响金融和原油市场。

关键词：货币政策，宏观经济公告，金融市场，日内数据

Monetary policy uncertainty and the market reaction to macroeconomic news

Alexander Kurov (Department of Finance, West Virginia University) Raluca Stan (Department of Finance, West Virginia University)

ABSTRACT

We examine whether monetary policy uncertainty influences the reaction of the equity, Treasury security, foreign exchange and crude oil markets, as well as medium-term interest rates, to U.S. macroeconomic announcements. Using intraday futures data, we show that in the presence of higher policy uncertainty the response to macroeconomic news weakens in the stock and crude oil markets and strengthens in the Treasury, interest rate and foreign exchange markets. In times of elevated monetary policy uncertainty, macroeconomic announcements impact the financial and crude oil markets to a large extent through expectations of future monetary policy.

Keywords: Monetary policy; Macroeconomic announcements; Financial markets; Intraday data

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617302194

翻译：张展