Research On The Effects And Path Of The U.S. Unconventional Monetary Policy's Spillover On China's Asset Prices

With the continuous deepening of global economic integration and liberalization,the monetary policies of the major developed countries not only affect their own economies,but also affect the financial markets and real economy in other countries through some channels.This kind of effect is called the spillover effect of monetary policy.As the largest economy in the world and the dominance of the U.S.dollar in the international monetary system,the spillover effect of U.S.monetary policy is particularly obvious.During the financial crisis,the Fed adopted two unconventional monetary policies —forward-looking guidelines and quantitative easing—with an aim to raising the U.S.employment rate,stabilizing the U.S.financial market and upgrading the real economy.However,the large liquidity released by its unconventional monetary policy has also affected global asset prices,which was also the main reason for the surge in capital inflows in emerging market economies.As an emerging economy with closer ties with the United States,China has also become the main recipient of the spillover effect.Against this background,it is of great theoretical and practical significance to accurately analyze the spillover transmission path of the U.S.unconventional monetary policy on China's asset prices and to quantify the spillover effect.The research contents and brief conclusions are as follows:Firstly,this paper reviews the spillover effect of the U.S.monetary policy on other countries' asset prices and the international transmission channels of the unconventional monetary policy.Secondly,it introduces the operating tools of unconventional monetary policies during the financial crisis and the transmission channels which U.S monetary policy influenced China asset prices—signal channel and portfolio balance channel;and then use empirical method to quantify the spillover effect and the channel of the US unconventional monetary policy announcement on China's stock market,bond market and exchange rate.The main empirical conclusions are as follows:(1)The first round of quantitative easing in the United States led to both the decline in China's short and longterm bond yields and the devaluation of the renminbi.The twisted operation led to a drop in China's stock prices.The taper of the Federal Reserve's unconventional monetary policy has led to a drop in the price of Chinese stocks and a rise in the yield of government bonds.In other periods,the U.S.unconventional monetary policy has had no significant effect on asset prices.(2)The unconventional monetary policy of the United States has no significant spillover path for Chinese government bonds,stock and the exchange rate of the yuan against the US dollar during the taper phase;During the purchase phase of the unconventional monetary policy,the Fed's monetary policy announcement has acted on China's stock price through signal channel and on the exchange rate of RMB against the US dollar through the portfolio balance channel.For China's government bonds with different periods,there are signal channel and portfolio balance channel.According to the conclusions of this paper,the following policy recommendations are proposed: Firstly,management authorities should strengthen supervision of short-term international capital flows to prevent instability in our financial system.Secondly,Chinese government should actively promote the process of internationalization of the renminbi to promote the status of the renminbi in the international settlement system and optimize China's foreign exchange reserve structure to reduce adverse effects of the exchange rate fluctuations on China's economy.