Under the framework of overshooting
model and portfolio balance theory, this paper analyses the short-term
spillover effect of Fedís QE on asset prices in China. Policy shocks
"overall events" have a significant impact on China's financial
market. China's debt full price index, Shanghai-Shenzhen 300 and Nan-Hua
Futures Composite Index have increased significantly, while the "single
event" issuance has no notable impact. Further research shows that the
interest rate transmission mechanism has a striking impact on bonds, the
exchange rate transmission mechanism has a remarkable impact on stocks, and the
expected transmission mechanism has a notable impact on futures. China should
comprehensively use interest rate, exchange rate and expected management tools to
avoid the accumulation of financial bubbles.
classification numbers: G11
model, portfolio balance theory, Fedís QE, Exchange rate channel, Interest rate
channel, expectations channel.