本文考察了美国货币政策不确定性(MPU)对亚洲发达国家的影响,新兴,和前沿股票市场使用分位数对分位数(QQR)方法,使用2006年1月至2022年12月14个亚洲国家的月度数据。研究发现,美国货币政策对亚洲股市产生了显著的负面影响。这主要是由于美元作为普遍货币的广泛使用,通过贸易关系对其他国家产生了巨大的连锁反应。在亚洲发达市场,MPU与澳大利亚和新西兰呈负相关。同时,它与香港和日本在上分位数有积极的关系。在亚洲新兴市场中,MPU对台湾产生负面影响,印度,和中国的回报,在较高的MPU分位数处增加这种负相关关系。此外,MPU与泰国有显著的负相关关系,印度尼西亚,韩国,马来西亚回来了。相比之下,MPU的较高分位数对菲律宾股票回报没有明显影响。在亚洲前沿市场,MPU对巴基斯坦和斯里兰卡的回报产生负面影响。这些发现的含义是双重的:对于投资者来说,这项研究为套期保值活动提供了有价值的见解,允许根据其他国家的MPU做出更明智的决定,以确定有利可图的股票。对于决策者来说,这项研究有助于制定有效的货币政策策略。此外,未来的研究可以通过探索其他市场并将其结果与本研究中提出的发现进行比较来建立这些结果。
This paper examines the impact of the Monetary Policy Uncertainty (MPU) of the United States on Asian developed, emerging, and frontier stock markets using a Quantile-on-Quantile (QQR) approach by using monthly data from January 2006 to December 2022 of 14 Asian countries. The study finds that US monetary policy significantly negatively influences Asian stock markets. This is primarily due to the widespread use of the US dollar as a universal currency, resulting in substantial ripple effects on other nations through trade relationships. In Asian developed markets, MPU is negatively related to Australia and New Zealand. At the same time, it has a positive relationship with Hong Kong and Japan at the upper quantiles. Among Asian emerging markets, MPU negatively impacts Taiwan\'s, India\'s, and China\'s returns, increasing this negative relationship at higher MPU quantiles. Additionally, MPU has a significant negative relationship with Thailand, Indonesia, Korea, and Malaysia returns. In contrast, higher quantiles of MPU have no discernible impact on the Philippines stock returns. In Asian frontier markets, MPU negatively impacts Pakistan\'s and Sri Lanka\'s returns. The implications of these findings are twofold: for investors, this study provides valuable insights for hedging activities, allowing for more informed decisions based on the MPU of other countries to identify profitable stocks. For policymakers, this research aids in formulating effective monetary policy strategies. Furthermore, future studies can build upon these results by exploring other markets and comparing their outcomes with the findings presented in this study.