阅读|货币政策对期权隐含股市预期的影响

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The impact of monetary policy on option-implied stock market expectations

货币政策对期权隐含股市预期的影响

以中国投资组合为例

Xiaoyu Wang
Florida State University, Tallahassee, Florida, USA
Jia Zhai
University of Salford, Salford, UK
Dejun Xie
Xi’an Jiaotong-Liverpool University, Suzhou, China, and
Jingjing Jiang
Harbin Institute of Technology, Shenzhen, Shenzhen, China

Wang, X., Zhai, J., Xie, D. and Jiang, J. (2019), "The impact of monetary policy on option-implied stock market expectations", China Finance Review International, Vol. 10 No. 1, pp. 37-51. https://doi.org/10.1108/CFRI-07-2018-0068

摘要 Abstract

The purpose of this paper is to investigate the impact of Federal Open Market Committee (FOMC) meetings and the changes of the target rates on stock market uncertainty. Multivariate regression analysis is applied to the historical data of VIX, FOMC meetings and target rates. Subtle relations are revealed by further categorizing the FOMC meetings into being scheduled and unscheduled and distinguishing the signs of the changes in VIX and target rates. CPI and the prime rate are used for robustness test. The authors first examine the relation between FOMC meetings and target surprises; the results indicate that unscheduled FOMC meetings heavily impact the target surprises. Then, the authors investigate the relation between FOMC meetings and VIX changes; the results show that both unscheduled and scheduled FOMC meetings impact VIX, where the impacts of scheduled FOMC meetings are more substantial. The authors also analyze the responses of VIX to the target surprises, and the results reveal that there is an asymmetric effect of target surprises on VIX, where the influences of the scheduled positive target surprises are more significant. Finally, by examining the relation between the FOMC meeting and the risk-neutral density of the VIX option, the authors conclude that both KURT and SKEW are more affected by unscheduled FOMC meetings. Deeper dimensions of the relations between VIX, FOMC meetings and target rates are analyzed and more insightful understandings of such relations are gained.

Keywords: Monetary policy, Implied volatility, FOMC, Risk-neutral density, Target rates

文章结构 Article Structure

1. Introduction
2. Data and methods
2.1 VIX data
2.2 Target surprises
2.3 Option prices
3. Results
3.1 FOMC and target surprises
3.2 FOMC, target surprises and VIX changes
4. Further discussion
5. Conlusion

研究成果 Research findings

Summary statistics of FOMC and target surprises (board of governors of the federal reserve system) and VIX data (Wharton research database)
The relation between FOMC and Target Surprises
The relation between Unscheduled (or Scheduled) FOMC and Negative (or Positive) Target Surprises
The relation between Unscheduled (or Scheduled) FOMC and VIX Changes
The relation between Negative (or Positive), Unscheduled (or Scheduled) Target Surprises and VIX Changes
The combined impacts from FOMC and Target Surprises to VIX changes
The relation between FOMC meetings and the expectation of VIX changes
The effects of unscheduled and scheduled Target Surprises
The relations between FOMC, Target Surprises and VIX changes
The regression between VIX changes and MFIV changeThe relation between Unscheduled (or Scheduled) FOMC and SKEW (or KURT) Changes
The relation between Negative (or Positive), Unscheduled (or Scheduled) Target Surprises and SKEW (or KURT) Changes
The combined impacts from FOMC and Target Surprises to SKEW (or KURT) changes
The combined impacts from Unscheduled (or Scheduled) FOMC and
Negative (or Positive) Prime Changes to VIX changes
The combined impacts from FOMC, Prime Change and CPI to VIX changes

结论 Conclusion

In this paper, we examine the impacts of FOMC and target surprises on the change of VIX (MFIV), SKEW and KURT using linear regression methods. We consider three models for these regressions: one is from unscheduled and scheduled changes of FOMC or target surprises, one is from positive and negative changes of target surprises and the other is the combined impacts from FOMC and target surprises. Therefore, we find that scheduled FOMC meetings have a greater impact on the change of VIX, and unscheduled FOMC meetings have a greater impact on the change of SKEW and KURT. In addition, there is an asymmetric effect from target surprises on stock that causes non-significance of the overall target surprises. With abundant regression results, we find that the scheduled positive target surprises have a more obvious influence on the change of VIX; however, there is no change from unscheduled positive target surprises. Moreover, target surprises do not have significant impacts on the performance of SKEW; for KURT, target surprises also have an asymmetric effect with greater impacts from unscheduled negative target surprises. The combined effects from FOMC and target surprises are similar to the separate effects, and an unscheduled FOMC impacts target surprises and shows a negative relation with VIX. Additionally, superimposed effects between the combined effects of FOMC, target surprises, SKEW and KURT may exist; however, the scheduled FOMC and unscheduled negative target surprises greatly impact the performance of SKEW and KURT.
Given the importance of FOMC meetings to the investors’ sentiment and the increasingly interconnectedness of world economy and financial market, the results of the current study constitute particularly useful references as they closely relate to and predict economic performance of the corresponding economy to which the central bank policy applies. For instance, the announcement of an upward interest policy may help arouse the sentiment of inflation expectation among public, hence induce substantial speculative activities across the market. As hinted by the current study, long-term economic activities are more stimulated by scheduled FOMC and less affected by short-term shocks or impulses, while financial transactions, such as those with statistical arbitrage by nature, tend to respond more proactively to unscheduled meetings. Put it together, the central bank’s policy should be maintained in a steadfast manner and founded on solid theoretical foundations so as to nurture the long run economic prosperity. Admittedly, there is limitation to the current study. Among others, the FOMC had undergone a policy change after 2008 financial crisis regarding data release policy, one aftermath of which is that the complete and consistent data set for the current study is not publicly available. For instance, the Federal Target Fund rates are not provided as in exact numeric values as they were prior the financial crisis. Apart from the data availability issue, there might be technical issues to be renovated. As it is widely known, for instance, attitudes of central banks as well as general public toward deregulation have been dramatically changed since the 2008 financial crisis (e.g. Helfer, 2010; Ilkka and Jokivuolle, 2014). Such fundamental change in economic and investment sentiment may lead to the necessity of adopting structural changes in the regression modeling, which will be definitely one of the future directions of the current study.

《中国金融评论》介绍

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