How Does Monetary Policy Uncertainty Affect Financial Market Responses To Macroeconomic Information ?

Investors receive a large amount of information every day and use it to predict future economic conditions and financial asset prices,especially macroeconomic information.The academic community is also paying more attention to the impact of macroeconomic information on financial asset prices,but there is controversy among scholars regarding this issue.Most scholars believe that the positive macroeconomic information released by government departments indicates good economic performance and has a promoting effect on the market,while some scholars believe that positive economic information indicates that the central bank may withdraw support actions in the future,which will have a negative impact on the financial market,that is,"good news turns into bad news".This phenomenon in the financial market means that the impact of macroeconomic information release on the market varies under different conditions,so that no unified conclusion has been drawn when studying the impact of macroeconomic information release on the financial market.The explanation for this phenomenon still needs to be further explored.This article analyzes the reasons for changes in financial market reactions from the perspective of monetary policy uncertainty.In China,the central bank links monetary policy with economic conditions,which brings great uncertainty to the market and leads to uncertainty in the future path of monetary policy,thereby blurring the relationship between macroeconomic and financial markets.However,there is still a lack of research in the academic community on how monetary policy uncertainty affects the relationship between macroeconomic information and financial markets.Therefore,based on existing research,this article further investigates how monetary policy uncertainty affects the response of stock,bond,and foreign exchange markets to macroeconomic information.This paper takes the log yield of the CSI 300 stock index,the log yield of the SSE treasury bond bond index and the spot exchange rate of the US dollar against RMB as the research objects,and the macroeconomic information released by the National Bureau of Statistics and the People’s Bank of China as the event samples.First,we use the actual macroeconomic data and the forecast data of financial institutions to build unexpected information,and study the impact of unexpected information on stocks The impact of bond and foreign exchange markets and the time-varying response of financial markets;Secondly,we use the five minute treasury bond bond futures price to construct China’s monetary policy uncertainty index through realized volatility model and heterogeneous autoregressive realized volatility(HAR-RV)model,and study the change rule of financial market response to macroeconomic information under different levels of monetary policy uncertainty;Finally,the empirical results of this paper are supported by adding other control variables and robustness test.Empirical research has found that macroeconomic information disclosure has a significant impact on financial markets and exhibits time-varying characteristics.The increase in monetary policy uncertainty leads to macroeconomic information affecting the financial market to a large extent by influencing market participants’ expectations of future monetary policy,leading to changes in the impact of macroeconomic information release on the financial market.Specifically,the increase in monetary policy uncertainty weakens the response of the stock market to macroeconomic information,while the response of the bond and foreign exchange markets to macroeconomic information strengthens.The research in this article fills the gap in research on the impact of macroeconomic information on China’s financial market,enriches research on monetary policy uncertainty,and contributes to literature on how financial markets handle information.It uses macroeconomic information published by the government to interpret changes in financial asset prices.The research conclusion can better predict the response of financial markets,identify potential risks,and help investors predict the market response of macroeconomic information at different times,and timely adjust high-frequency investment strategies after announcements.