金融市场的货币政策和投机性溢出

Monetary Policy and Speculative Spillovers in Financial Markets

作者：

里扎·德米尔（Riza Demirer）

大卫·加鲍尔（David Gabauer）

兰甘古普塔 （Rangan Gupta）

This paper examines the role of monetary policy (MP) of the United States (U.S.)as a driver of connectedness patterns in speculative activities in financial markets.Examining measures of speculation in four major markets including gold, equities,Treasury bonds and crude oil, we show that speculative activities can spill overacross markets with the stock market generally serving as the main transmitter ofspeculative shocks. While unconventional MP is associated with greater connectedness of speculative activities in financial markets, we also find that unconventional(conventional) MP drives gold (financial assets) to serve as a net transmitter ofspeculative shocks to the other markets. The findings establish an important linkbetween the monetary policy signals and trading behavior in financial markets withsignificant policy implications.
本文研究了美国货币政策（MP）在金融市场投机活动中作为联系模式驱动因素的作用。通过考察包括黄金，股票，国债和原油在内的四个主要市场的投机措施，我们发现投机活动可能会在整个市场上蔓延，而股市通常是投机冲击的主要传递者。尽管非常规MP与金融市场中投机活动的更大关联性相关，但我们也发现，非常规（常规）MP驱动黄金（金融资产）充当投机冲击其他市场的净传递者。