| Based on the new round of the increasing interest rate by the Federal Reserve after the COVID-19 pandemic,this thesis starts with the spillover effect of the monetary policies of America on global economies,concentrates on the implication of the quantitative easing monetary policy of the U.S.A upon the price of bond-and-equity assets at all level in China,and discusses the approaches to transmitting the effect across the border.Through the research literature method,the thesis chooses suitable bonds and then classifies them into treasury bonds,municipal bonds and AAA-rated corporate bonds by the standard of issuers.Given that the 10-year bond features a long transaction cycle,lower liquidity in comparison with 20-year or 30-year bonds,slight time-lag effect,and the facile policies and asset management by policymakers and investors respectively,the thesis takes its rate of return as the proxy variable of the financial-asset prices of the bond.As for the proxy variable of equity assets,it comes to be the monthly data of the Shanghai securities composite index in the last decades,considering its sharper sensitivity to the price variation of core financial assets.Most scholars employ the inter-bank rate,M2 model,and shadow inter-bank rate as the proxy variable of quantitative easing.For one thing,the inter-bank rate often hits at a low level in America,from 0 to 0.25%,hence its inability to mirror the actual change of monetary policy;for another thing,the monetary policy changes cannot be reflected by the M2 model whose change exerts little impact on the price volatility of financial assets in China,either.Rather than the M2 model and the inter-bank rate,this thesis thus takes the shadow interest rate,calculated by Wu and Xia through SRTSM and with the aid of the medium-and-long-term data of the yield rate of treasury bonds and the zero interest rate of the Federal Reserve.The thesis adopts the VAR model and the monthly data from 2011 to 2022 to discuss the impact of the easing monetary policy of America on the prices of bond and equity assets in China.The result demonstrates that,from the perspective of the shadow interest rate,the quantitative easing monetary policy of America has the same effect on the three types of bonds,albeit weakest on the yield rate of the 10-year treasury bond and maximal on the AAA-rated 10-year corporate bond,while its impact on the yield rate of the municipal bond is in-between.From the same perspective to investigate the equity assets,the easy monetary policy of America engenders the short-term volatility of the Chinese capital market while exerting little impact in the long term.This thesis further delves into the asymmetric effects of the quantitative easing policy on bond and equity assets in China under loose and tight cycles.Through a nonlinear ARDL model,the thesis identifies that quantitative easing has a significant asymmetrical influence on the yield rate of Shanghai securities in both the loose and tight cycles.In the study of the yield rate of bonds,it finds that the yield rate of the tenyear treasury bond is under the starkly asymmetrical impact of the quantitative easing in the loose period but not in the tight period.In the case of the treasury-bond yield rate,the reverse applies.The case of yield rate of the AAA-rated corporate bond is opposite to that of the stock assets.Considering the research results,the thesis proposes Chinese government forwards its reform on the capital market and the structural transformation of the economy.Beyond that,China should devote itself to a better bond and stock market,more support for the substantial economy and the optimization of the environment for the financial market.In this way,China can shift its economic gravity from a virtual economy to a substantial one.For individual investors,the thesis advises them to foster a better sense of the effect of American policies on the bond-and-share assets in China to perform effective risk management and adjust asset portfolios for risk aversion in their investments. |
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