| Monetary policy has been one of most effective tools to control economy runing and maintains financial market stability in mature economies. Central Bank employs the adjustments of regular and irregular short-term benchmark interest rate to affect the short-term market interest rates, and then affect the return rate of middle- and long-term interest rate products in financial market. Finally, these effects are transmitted to some external financial markets, e.g., exchange rates and stock markets, and the prices and price volatility of financial products are influenced. Correspondingly, the national statistical office reports some macro-economic indictors reflecting the macroeconomic trends monthly and quarterly. These indictors include the gross national product(GDP) growth rate, the price level (CPI, PPI), the change in the employment rate etc, whose regular and irregular announcement has been core elements of the pricing of financial assets and market volatility. The moderate fluctuations in financial markets are conducive to improve the activeness of market and increase the liquidity of the financial markets. However, the abnormal fluctuations will reduce market efficiency and weaken asset allocation function, and even lead to financial risks and potential financial crisis, which would affect the equilibrium run. The financial subprime crisis initiating in U.S. evolved into a global crisis in the real economy, and further led policy makers to think about the relationship between financial markets and monetary policy. Therefore, the adjustment and implementation effectiveness of monetary policy has been the focus of financial market including stock market, foreign exchange and bond markets, and monetary policy-making departments.The stock market not only provides an effective agricultural financing, but also has become the important form of agricultural industrialization acting as an important link between farmers and markets. The agricultural futures as the first of China's futures market have played an irreplaceable important effect in the agricultural production, circulation, consumption and reservation by the special functions in the discovery of its unique price and risk aversion. Currently, the agricultural futures market has become an effect tool to ensure food security, increase rural incomes and enhance competitiveness of agricultural products and effective tool. Two types of financial markets have played a catalytic role in agricultural industrialization and rural incomes increments. From the point of view of their trades, the movements of agricultural financial market in asset prices, of course, are characterized by the greater impact of agriculture itself. However, from the perspective of financial markets, the central bank's monetary policy, fiscal policy and the policy of financial markets have an unignored effect on price volatility. Considering the special roles in the peoples'livelihood, the in-depth study of the responses of listed agricultural companies to monetary adjustments not only provides a theoretical basis for monetary policy making and implementation, but also facilitates the effective investments and escapes risks of agricultural enterprises. In particular, how does the central bank's monetary policy manipulation affect the stock prices of listed agricultural companies? Are the listed agricultural companies different with the listed non-agricultural ones in the response to monetary policy manipulation? Considering the interaction between the stock market of listed agricultural companies and the response to the futures market of agricultural products, how does the monetary policy manipulation affect the stock price of listed agricultural companies? Answering these questions not only help agricultural investors and related agricultural managements, but also facilitate the policy formulation for the prevention of financial risks and the financial market reform, policy formulation.The discrete acquisition of financial market information data would cause the deletion of information at different levels. The higher the acquisitionce frequency, the fewer the drop of information. Conversely, the more information will drop. Based on the rule, this research attempts to respectively use long-term, short-term and instantaneous dataseats, and employes several frequency econometric models, from different perspectives and different sides, for effectively solving or improving the five urgent measurement problems about the response of domestic financial market to monetary policy adjustments:(1)How to model for accurately graspping the immediate reaction model of financial market to money policy adjustment? This helps policy makers in grasping the impact pattern and degree for improving the next round of policy formulation and implementation, which promotes the effectiveness of policies and better serves the ultimate goal of monetary policy - price stability and economic growth(.2)How to design or improve the model to grasp whether there is a delay in the effect of money policy adjustment when investigating the immediate effect of monetary policy adjustment? What is the lag degree?(3)The extant study shows that only unexpected events in money policy adjustment display a significant impact on the asset price fluctuations of financial market. So, this study is interesting in how to distinguish the predictable and unpredictable parts in the monetary policy to accurately measure the effect of adjustment of monetary policy. (4)How to model for fully reflecting the characteristics of the volatility spillover during the fluctuation process of asset price when considering the interaction between financial markets, that is, taking into account the financial market asset prices, first-order and high-volatility spillover effects? On this basis, how to improve or change the model to investigate the degree of money policy adjustments on the fluctuations of the financial asset price? (5)The stock of listed agricultural companies, the integrated price level of stock market and the stock of nonlisted agricultural companies all belong to the stock market. However, are their responses different to money policy adjustments due to the variety in business models and especial in the production cycles of agriculture? What is the gap between the stock of listed agricultural companies and the integrated price level of stock market?For the first problem, this study is based on the traditional event study method with the help of artificial neural network model to predict the expected rate of stock price in the condition of non adjustment and announcement of policy events. This helps in grasping the short-term announcement effect of monetary policy from the effects of the central bank's monetary policy announcement on the abnormal and the cumulative abnormal return rates of stock price by grasping the characteristics of the statistical significance. We have documented a significant monetary policy effect on the A-share market, and we find that the most significant responses of market returns to monetary policy adjustments occur within the"event window"that contains the policy announcement. Our empirical results show that the response of the stock market to money policy is the most significant during the shortest events window including monetary policy announcement, the stock market doesn't display the anticipated effect to the monetary policy adjustment before the policy adjustment announced of central bank, and the market response to the policy instrument significantly varies across industries and sectors.For the second problem, this study, based on the standard GARCH model, introduces the C-GARCH and T-GARCH monetary policy models by constructing the independent policy variables to measure the immediate, delayed and asymmetric effects, and the effects of various monetary policy tools on stock prices. Our empirical results indicate that the shock in the central bank monetary policy represented by the legal deposit reserve rate and benchmark deposit can trigger the stock market impact of short-term fluctuation. Negative policy information has the stronger effect on the total market level standed by the Shanghai composite index and Shenzhen composition index than positive news. However, the positive policy information has the stronger effect on the listed agricultural companies that the negative news. This means that there is the reversal asymmetry in the effect of the adjustment of monetary policy on agricultural sector plates.For the third problem, this study has developed alternative approaches. The best proxy variable of money policy first is chosen by examining the relationship between the short-term money market interest rate and the monetary policy tools. This study uses the announced monetary policy adjustments as the time off point, and approximates the best proxy variable to unpredictable parts of monetary policy to investigate the effect of monetary policy adjustments on the stock market. Furthermore, this research, based on the interest rate term structure theory, respectively uses the short or long-term interest rate difference between before money policy announcement and that of last money policy announcement to proxy the predictable part, and uses the difference between real change and predicable part as the unpredictable part. We employ them to analyze the continuity, agility and asymmetry of stock markets'response to the money policy adjustments, and accurately grasp the stock price reaction of the stock price to monetary policy adjustments. Our empirical results indicate that the reponse of the stock market to the monetary policy announcements display some characteristics, e.g., agility and asymmetry. However, the average returns of stock price are weaker.For the fourth problem, this study, based on the analytical framework of financial market's higher-order fluctuations transmission, employes the VAR-BEKK-MVGARCH model to measure the linkage between stock market and agricultural futures market, and subsequently constructs the ternary VAR-BEKK-MVGARCH model by fitting the money policy variable into multi-GARCH to investigate the effect of agricultural stock price on the money policy adjustments with the consideration of financial market volatility. The empirical results show that the relationship between the agricultural future price and the stock price has a transformation from the unidirectional guide to a two-way volatility spillover after the consideration of the adjustement in the money policy of central bank. Furthermore, we also find that there is a more significant price and volatility spillover between the monetary policy and the stock market.Face the fifth problem, this presents a summary of similarities and differences of agricultural stock price's response to the money policy adjustment compared with the specifically chosen Shanghai and Shenzhen composite price index and some representative stock plates, and discusses the possible reasons causing those differences. The empirical results show that such factors as the agricultural sector stock equity, investment and financing ability, agricultural own profession characteristic and currency policy industry effect etc, cause the big deffirent effect of the monetary policy adjustment of agricultural sector on the announcement of money policies compared with the comprehensive level of marked price and some non-agricultural stock price. These differences are associalted with the long-term dependence on the money policy, the inversse asymmetry of volatility reaction, the short-term declared reaction, the instantaneous reaction rate and the difference of modes etc. |
