Wei Xiaoyun, Han Liyan
Department of Financial Mathematics, School of Statistics, Capital University of Economics and Business, 121 Zhangjialukou, Huaxiang, Fengtai District, Beijing 100070, P.R.China.
Department of Finance, School of Economics and Management, Beihang University, No. 37 Haidian District, Xueyuan Road, Beijing 100083, P.R.China.
Int Rev Financ Anal. 2021 Mar;74:101705. doi: 10.1016/j.irfa.2021.101705. Epub 2021 Feb 6.
This study uses event-study methodology to estimate the impact of the COVID-19 pandemic on the transmission of monetary policy to financial markets, based on a sample of 37 countries with severe pandemics. Financial markets include government bond, stock, exchange rate and credit default swap markets. The results suggest that the emergence of pandemic has weakened the transmission of monetary policy to financial markets to a more significant degree. During our sample period following the outbreak of pandemic, neither conventional nor unconventional monetary policies have significant effects on all four of the financial markets. Of course, the unconventional monetary policies are slightly more effective as they can affect the stock and exchange rate markets to some extent. Therefore, in the post-pandemic period, if the monetary policy is used to stimulate financial markets, stronger policy adjustments, or other macro policies such as fiscal policies, may be needed to achieve the desired effect.
本研究采用事件研究方法，基于37个遭受严重疫情国家的样本，估计新冠疫情对货币政策向金融市场传导的影响。金融市场包括国债、股票、汇率和信用违约互换市场。结果表明，疫情的出现使货币政策向金融市场的传导在更大程度上受到削弱。在疫情爆发后的样本期内，常规货币政策和非常规货币政策对所有四个金融市场均无显著影响。当然，非常规货币政策的效果略好一些，因为它们能在一定程度上影响股票和汇率市场。因此，在疫情后时期，如果利用货币政策刺激金融市场，可能需要更强有力的政策调整或其他宏观政策（如财政政策）来达到预期效果。
