Ценовые искажения, вмешательство государства и ценообразование на финансовых рынках тема диссертации и автореферата по ВАК РФ 00.00.00, кандидат наук Ринкон Эрнандес Карлос Хоакин

• Ринкон Эрнандес Карлос Хоакин
• кандидат наук
• 2025

Оглавление диссертации кандидат наук Ринкон Эрнандес Карлос Хоакин

CONTENTS

INTRODUCTION

CHAPTER 1. GOVERNMENT INTERVENTIONS AND THE FINANCIAL

MARKETS

The Federal Reserve and Unconventional Monetary Policy

Operation Twist

COVID QE

The Swiss National Bank and Foreign Exchange Policy

CHAPTER 2. REVIEW OF THE LITERATURE: THE STATE OF THE ART

Complex Dynamics of Government Interventions: Monetary Policy Impact on Asset

Prices and Financial Markets

Monetary Policy Impact on Global Financial Markets

Other Forms of Government Interventions and their Effects on other Financial Assets

CHAPTER 3. THEORETICAL FRAMEWORK

The Money Market and Foreign Exchange Market clearing

The Link Between the Money Market and the Stock Market

The Price Distortions

CHAPTER 4. THE METHODOLOGY OF THE STUDY

The Data: The U.S. Financial Markets

The Data: The E.U. Financial Markets

The Data: The Swiss Financial Markets

Empirical Model: the Fed Case

Empirical Model: the ECB Case

Empirical Model: the Swiss Case

CHAPTER 5. EMPIRICAL RESULTS

5.1. ASSESSING THE IMPACT OF FEDERAL RESERVE POLICIES ON EQUITY MARKET VALUATIONS: AN INSTRUMENTAL VARIABLES APPROACH

Introduction

The Data and Methods

Empirical Results

Discussion

Implications

Conclusions for the section

5.2. EQUITY MARKETS PRICING AND CENTRAL BANK INTERVENTIONS: A PANEL DATA APPROACH

Introduction

The Data and Methods

Results and Discussion

Implications

Conclusions for the section

5.3. MONETARY INTERVENTIONS, EQUITY MARKETS AND SECTORAL PRICE DISTORTIONS

Introduction

The Data and Methods

Results and Discussion

Implications and Conclusions for the section

5.4. EFFECTS OF THE ECB'S MONETARY POLICY ON SOVEREIGN BONDS PRICING

Introduction

The Data and Methods

Results and Discussion

Conclusions for the section

5.5. ASSESSING THE IMPACT OF THE ECB'S UNCONVENTIONAL MONETARY

POLICY ON THE EUROPEAN STOCK MARKETS

Introduction

The Data and Methods

Results and Discussion

Implications and Conclusions for the section

5.6 EFFECTS OF ECB'S ASSET PURCHASES ON EUROPEAN STOCK MARKET

PRICING DURING COVID-19: A SECTORS ANALYSIS

Introduction

The Data and Methods

Results and Discussion

Implications and Conclusions for the section

5.7. PRICE DISTORTIONS AND MUNICIPAL BONDS PREMIUMS: EVIDENCE

FROM SWITZERLAND

Introduction

Data and Methodology

Results and Discussion

Implications

Conclusions for the section

CONCLUSIONS

REFERENCES

APPENDICES

APPENDIX A

APPENDIX B. Russian translation of the dissertation / Перевод диссертации на

русский язык

Введение диссертации (часть автореферата) на тему «Ценовые искажения, вмешательство государства и ценообразование на финансовых рынках»

INTRODUCTION

Research motivation

Governments are the source of most market distortions, including regulation, subsidies, taxes, and tariffs and central banks have been accused of distorting markets in recent decades with monetary policy and asset purchases. In connection to these issues, in response to the 2007 financial crisis and the COVID-19 pandemic, the Federal Reserve (Fed) implemented a number of programs, including policies to uphold liquidity of financial institutions and the stability of financial markets (Federal Reserve, 2021a). Other central banks in the world such as the European Central Bank (ECB), the Bank of England (BOE), and the Bank of Japan (BOJ), among others have responded to recent financial crises with some sort of unconventional monetary policies (UMP) to maintain the lending flows in their economies and preserve financial markets stability. The common point why these UMP emerged as a key monetary tool in recent crises is the already low levels of interest rates. As interest rates approached the zero lower bound (ZLB) in the developed economies from the extensive use of conventional monetary tools, the need for quantitative easing (QE) strategies became the most prominent of tool to tackle generalized financial distress.

The main concern of this research is to address the problem about how these interventions may influence the efficient allocation of funds into the financial markets, causing non-optimal pricing of financial assets to the global investors. This topic is highly relevant in economics and finance as these monetary tools have become widely used in the last two decades and the long-run results of such interventions are still under study by many analysts worldwide.

Large literature has been developed in recent years about this topic, especially to assess the effects of such interventions as a reaction of the COVID-19 crisis, increasing the significance of this area of research.

This research addresses the main research questions of: How do government interventions, such as QE or its tapering generate long-run price distortions in the financial markets? If so, what is the significance of these effects?

Price distortions, by definition, describe significant gaps between mark-to-market prices and a plausible range of economic values of certain assets. Like information inefficiency, price distortions draw mispricing of financial assets relative to their fundamental value (Sharpe, 1964). while government interventions are perceived as any actions carried out by the government or a public entity that affects the market economy with the objective of having an

impact in the economy, beyond the mere regulation of contracts and provision of public goods (Stiglitz, 1989).

Hypotheses Development

In order to effectively respond to the research question, this research develops the following hypotheses:

Hypothesis 1. Liquidity excesses from central bank interventions (or dis-interventions) such as Quantitative Easing (or tapering) influence the pricing of major debt and equity assets. Hypothesis 2. The resulting price distortions from such Government interventions make a long run impact on the bond benchmark spreads and equity pricings in the financial markets. Hypothesis 3. Financial market performances have different sensitivities to the size of the central bank interventions.

Hypothesis 4. Financial market performance sensitivities vary by the central bank asset purchasing programs.

Object and subject of research

The object of this study is the financial data of the markets with the largest monetary interventions such as the U.S. and Europe during the great recession and the COVID-19 financial crises. However, a special case of a currency intervention by a central bank was also researched, that is the case of Switzerland in 2015.

The subject of this research is limited to the development of econometric models that best capture the effects of UMP on government debt and stock markets in the U.S and Europe and to the municipal bonds market, in the special case of Switzerland.

Aims and Goals of Research

This research aims at determining the effects of the UMP on the pricing in the financial markets and for that purpose it attains some goals such as proving that central bank interventions influence the pricing of major debt and equity assets, the resulting price distortions from such interventions make a long run impact on the bond benchmark spreads and equity pricings in the financial markets; financial market performances have different sensitivities to the size of the central bank interventions; and that financial market performance sensitivities vary by the form of central bank asset purchasing programs.

The methodology of the study

This study uses several relevant datasets:

• A dataset containing the credit market interventions of 2008-2013 and 2020-2021 in the U.S. as a quasi-natural experiment;

• The analysis incorporates daily trading data from the DJIA, S&P 500, the NASDAQ, and the Russell 2000 indices in the U.S. equity market, spanning from 16 December 2008 to 29 April 2022. This period encompasses the Great Recession and the Covid-19 crises;

• It incorporates other pertinent U.S. data, including the treasury yields, the USD/EUR currency exchange rate, WTI oil spot prices, Federal funds interest rate, the Volatility Index (VIX), and the Consumer Price Index (CPI) for inflation;

• The analysis includes daily trading data from the S&P 500 index by sectors of the U.S. economy;

• A dataset containing the credit market interventions of 2010-2012 and 2020-2021 in the E.U. as a quasi-natural experiment;

• The analysis incorporates daily trading data from the ST0XX50, ST0XX600, Euronext100, and MSCI Europe Small Cap indices in the E.U. equity market, spanning from 2 April 2007 to 1 February 2023. This period encompasses the Great Recession, the Sovereign debt crisis and the Covid-19 crises;

• It includes country-specific variables for 14 countries which were members of the euro area in 2009 and for which the data on sovereign bond yields is available: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Slovenia, Spain, Slovakia;

• It incorporates other pertinent E.U. data, including the sovereign bond yields, the USD/EUR currency exchange rate, WTI oil spot prices, the discount rate (ESTR), the Volatility Index (VIX), and the Harmonized Consumer Price Index (HICP) for inflation;

• The analysis includes daily trading data from the ST0XX600 index by sectors of the E.U. economy;

• A dataset containing the currency market interventions from January 2012 to January 2018 in Switzerland. as a quasi-natural experiment;

• The analysis incorporates daily trading data from the 26 most liquid municipal bonds in the Swiss debt market, spanning from January 2012 to January 2018, that is: 3 years before and 3 years after the currency shock of January 15th, 2015. This period encompasses the period of continuous intervention of the Swiss franc;

• The analysis includes daily data on ratings and liquidity spreads by municipal bonds in the Swiss debt market.

This study employs the Instrumental Variables (IV) modeling in its Two-Stage Least Squares (2SLS) and Three-Stage Least Squares (3SLS) methods, and the Seemingly Unrelated Regressions (SUR). Additionally, the results of the estimations were found to be robust by the generalized method of moments (GMM) for IV analysis.

Various post-estimation tests were performed to assess the accuracy of the methods employed in each case. For that purpose tests such as the Breusch-Pagan for independence of errors, the Durwin-Wu-Hausman for instrumental variables, the Anderson Lagrangian Multiplier for identification of instrumental variables, the Cragg-Donald Wald, Stock-Yogo and Montiel-Pflueger robust relevance of Instrumental Variables were meticulously performed.

Theoretical value and policy implications

The theoretical value of this study thrives on:

1. This research makes a significant contribution by thoroughly examining the influence of central bank interventions in government debt securities amidst major economic downturns. This investigation reveals pronounced price distortions within principal U.S. equity markets;

2. It unveils novel insights regarding the discrepancy in adaptability between equity market pricing and the dynamics of the debt market, underscoring the ongoing impact of central bank policies on the valuations of equity over time;

3. The results suggest that for the 2008-2023 period, given a change in the balance sheet and in the treasury yields, these simultaneous changes are associated with changes in the valuation of each index at different rates, for which equity indices in the U.S. and Europe have different sensitivities to quantitative easing policies;

4. The results also suggest that for the 2008-2023 period, given a change in the balance sheet and in the treasury yields, these simultaneous changes are associated with changes in the valuation of each production sectors at different rates, hence economic sectors in the U.S. and Europe have different sensitivities to quantitative easing policies;

5. Unexpected large currency price shocks may have long run implications on the municipal bond spreads in Switzerland. The spread had widened after the currency shock of 2015;

6. The use of the Instrumental Variables modeling has been implemented to assess the effects UMP in various approaches (Cross-sectional, times series and Longitudinal), proving appropriate to identify the quantitative long-run effects of such interventions on the pricing of different financial markets.

Findings from this research may carry policy implications, suggesting that when policymakers seek to reduce financing costs in capital markets during financial distress through market interventions, the investment public considers the enduring effects on the pricing of financial assets, including those not directly targeted by the interventions. This could have implications for the efficient allocation of resources in the future.

Furthermore, this study provides imperative policy implications. It underscores the necessity for policymakers and the investment public to acknowledge the long-term consequences on the pricing of financial assets. This consideration is crucial to mitigate the risk of fostering inefficient valuations in assets during future implementations of market interventions.

The scientific novelty of this study

1. The assessment of potential impacts of government interventions in credit markets on the pricing of equity securities is made in this study.

2. In this research, it is proved that pricing in the debt market is directly affected by the size of the Fed and ECB's balance sheet, for which it also proved that pricings in the debt and currency markets, that may be affected by the Fed and ECB's interventions, influence the pricing of equity securities as well, at least under the simultaneous equations time-series and panel data approaches performed on the several most prominent equity markets' benchmarks both in the U.S. and Europe.

3. A new approach to measure the long-term effects of UMP interventions is developed in this study, which identifies the trends rather than the existing literature's instant impulse-response, short-term effects of the variables involved in the valuation of equity indices in the U.S. and European markets. To achieve this, the study utilizes advanced long-term identification models such as the IV 3SLS and 2SLS, corroborated further by Seemingly Unrelated Regression Equations (SURE) and the Two-Step Iterated Generalized Method of Moments (GMM) to estimate trends instead of short-term impulse-response estimations of other methods such as structural VAR. Hence, the estimations aim to go a step further than short-term valuations.

The main results of the study and the provisions submitted for defense

1. The empirical results show that increases in the Fed's and ECB's balance sheet, as a consequence of large-scale purchases of treasuries and MBS in the last fourteen years, have impacted the valuation of the main U.S. and European equity indices positively.

2. This research validates that pricings in the debt and currency markets that may be affected by the Fed's and the ECB's interventions influence the pricing of equity securities in the long run, at least under the simultaneous equations time-series analysis performed on the four most prominent equity markets' benchmarks.

3. This study has also been able to identify that equity indices, as measures of equity market performance, have different sensitivities to changes in yields caused by changes in the size of the central bank's balance sheet. The results prove that although the direction of the effects on index sensitivities vary upon the different interventions, the order of those sensitivities remain during the stimulations.

4. On the empirical aspect, this study used two identification strategies, the TSLS for time series and for panel data to calculate the effects of the interventions on the equity indices pricing. Based on the results of both strategies, it is fair to suggest that while the TSLS for time series approach allows us to measure the effects of the interventions on each index individually, the panel data approach is useful to estimate the marginal effects of each index within a large portfolio composed by the selected indices.

The results of this study were obtained with modern economic and statistical methods and technology based on the relevant empirical databases. All the results were verified by other researchers at forums and topic related conferences. Results of the analysis here contained allow making conclusions about the validity of the scientific Dissertation, conclusions and recommendations expressed in this Dissertation.

Structure of the Study

This dissertation is divided into this introduction, five chapters, and a list of the respective references and appendices. In the first chapter, a discussion is brought about the connection between government interventions and the pricing of financial assets in the financial markets. In the second chapter, the state of the art is reviewed with a thorough revision of the existing literature related to the key factors and variables to consider in the proposed theoretical framework outlined in the third chapter, and the various methodologies employed in related studies. In the fourth chapter, the methodological framework is developed with empirical models relying on the instrumental variables approach. In the fifth chapter the empirical results are presented with their discussion about the key results of the modeling employed in each case, their key implications, and their conclusions.

The total volume of work is 152 pages of the main text, 14 pages of references and 20 pages of appendices, and the bibliography includes 282 titles.

Validation of Study Results

The results of this study were discussed in the form of presentations at the following

conferences:

1. 11th International Research "Economics and Management Conference 2024" GSOM Saint-Petersburg, Russia, October 1-5, 2024. Presentation: Effects Of ECB's Asset Purchases On European Stock Market Pricing During Covid-19: A Sectors Analysis

2. Eurasia Business & Economics Society (EBES) at Sapienza University of Rome, Italy, January 10-12, 2024. Presentation: Assessing the Impact of Unconventional Monetary Policies on the European Stock Market Pricing

3. World Finance & Banking Symposium (WFBS) at Vilnius University, Vilnius, Lithuania, December 13-15, 2023. Presentation: Monetary Interventions, Equity Markets and Sectoral Price Distortions

4. World Finance & Banking Symposium (WFBS) at Florida International University, Miami, USA, December 16-17, 2022. Presentation: Equity Markets Pricing and Central Bank Interventions: A Panel Data Approach

5. 9th International Research "Emerging Markets Conference 2022" GSOM Saint-Petersburg, Russia, October 5-8, 2022. Presentation: Effects of Monetary Interventions on Equity Markets Pricing: An Analysis by Sectors

6. World Finance Conference (WFC) at University of Turin, Turin, Italy, August 1-3, 2022. Presentation: Government Interventions and Equity Markets Price Distortions: Evidence from Selected Stock Indexes

7. Analytics for Management and Economics Conference (AMEC) at Higher School of Economics, Saint Petersburg, Russian Federation, September 23-December 25, 2020. Presentation: Price Distortions and Municipal Bonds Premiums: Evidence from Switzerland

8. Summer School of Machine Learning at Skoltech (SMILES), Moscow, Russian Federation, August 16-21, 2020. Presentation: Price Distortions and Municipal Bonds Premiums: Evidence from Switzerland

Published Related Articles

1. Rincon, Carlos J., and Darko B. Vukovic. 2024. Assessing the Impact of Federal Reserve Policies on Equity Market Valuations: An Instrumental Variables Approach. Journal of Risk and Financial Management 17: 442

2. Rincon, Carlos J. 2024.Equity Market Pricing and Central Bank Interventions: A Panel Data Approach. Journal of Risk and Financial Management 17: 440

3. Rincon, Carlos J., and Anastasiia V. Petrova. 2024. Assessing the Impact of the ECB's Unconventional Monetary Policy on the European Stock Markets. Journal of Risk and Financial Management 17: 425

4. Vukovic, D.B., Rincon, C.J. & Maiti, M. Price distortions and municipal bonds premiums: evidence from Switzerland. Financial Innovation 7, 60 (2021). https://doi.org/10.1186/s40854-021-00276-8

Заключение диссертации по теме «Другие cпециальности», Ринкон Эрнандес Карлос Хоакин

ЗАКЛЮЧЕНИЕ

Данное исследование рассматривает интервенции на кредитных рынках США и Европы в ответ на кредитный кризис 2007 года, кризис суверенного долга и пандемию COVID -19 как квази-естественные эксперименты для анализа того, в какой мере меры государственной поддержки — такие как программы количественного смягчения и их сворачивание — влияют на цены ключевых финансовых активов и отдельных отраслей.

Эмпирические результаты показывают, что увеличение балансов ФРС и ЕЦБ вследствие масштабных покупок казначейских облигаций, ипотечных бумаг (MBS) и суверенных облигаций оказывало положительное влияние на стоимость фондовых индексов США и Европы. Избыточная ликвидность, возникавшая в результате этих интервенций на долговом рынке, способствовала переоценке акций.

Хотя результаты подтверждают прямую зависимость доходностей долгового рынка от размера баланса ФРС, они также показывают, что долговые и валютные рынки, находящиеся под воздействием интервенций ФРС и ЕЦБ, в долгосрочной перспективе оказывают влияние на фондовые индексы. Этот вывод подтверждается анализом временных рядов с использованием системы одновременных уравнений для крупнейших фондовых индексов США и Европы.

Что касается чувствительности индексов, для США установлено, что, несмотря на различия в направлениях воздействия интервенций, относительный порядок чувствительности индексов сохраняется. Так, S&P 500, NASDAQ и Russell 2000 демонстрируют меньшую чувствительность к изменению баланса центрального банка, чем DJIA. Для Европы, согласно оценкам перекрёстной эластичности цен и доходностей относительно баланса ЕЦБ, в период пандемии COVID-19 наибольший рост показал индекс Euronext100, за ним — MSCI Europe Small Cap, тогда как ST0XX600 оказался наименее чувствителен. В период кризиса суверенного долга наиболее чувствительным оказался STOXX50, за ним Euronext100, тогда как STOXX600 вновь демонстрировал минимальную реакцию.

В целом, эффект программ ЕЦБ был статистически значимым, но относительно умеренным. Иными словами, меры ЕЦБ по стимулированию экономики в кризисные периоды не привели к значительным изменениям на фондовом рынке.

Секторальный анализ подтверждает, что, поскольку банковская отрасль является

крупнейшим участником долговых рынков США, именно банки получили наибольшую

выгоду от роста цен на казначейские облигации. Их портфели облигаций резко выросли в

стоимости весной 2020 года, когда доходности упали до исторических минимумов, что

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способствовало превышению доходности акций банковского сектора над акциями других отраслей.

Для Европы результаты демонстрируют устойчивую отрицательную и статистически значимую зависимость между размером баланса ЕЦБ и доходностью суверенных облигаций: увеличение баланса на 1 млрд евро снижает среднюю доходность примерно на 0,48%. Это указывает на то, что меры ЕЦБ в целом оказывают понижающее воздействие на доходности вне зависимости от характеристик отдельных выпусков.

Дополнительно анализ опыта Швейцарского национального банка в 2011-2015 гг. показывает, что неожиданные валютные шоки могут оказывать долгосрочное воздействие и на другие сегменты рынка: так, после валютного шока 2015 года значительно расширились спреды муниципальных облигаций.

На основании полученных результатов можно заключить, что при проведении интервенций с целью снижения стоимости заимствований в периоды кризисов необходимо учитывать их долгосрочные последствия для ценообразования финансовых активов. Эти эффекты могут проявляться в устойчивых трендах, ведущих к переоценке и снижению эффективности рыночного ценообразования в будущем. Важно учитывать и различия источников кризисов: если кризис 2007 года имел внутреннюю природу и возник в США, то кризис 2020 года был глобальным, и именно США оказались наиболее устойчивой экономикой, куда хлынули потоки ликвидности, удержав доходности на рекордно низком уровне. В этих условиях традиционный механизм количественного смягчения мог быть избыточным.

С методологической точки зрения, исследование использует две стратегии идентификации: метод 3SLS для временных рядов и модели панельных данных для оценки предельных эффектов по индексам. Первая стратегия позволяет измерять влияние интервенций на отдельные индексы, в то время как панельный подход полезен для анализа агрегированного эффекта в рамках портфеля. Однако следует учитывать ограничения: наличие общих акций в индексах может приводить к проблемам эндогенности и мультиколлинеарности. В дальнейшем такие подходы целесообразно применять к глобальному анализу, включая индексы разных стран, где пересечений акций нет.

Ещё одно ограничение связано с тем, что исследование сосредоточено на рынках США и Европы. Расширение анализа за счёт включения азиатских и британских рынков позволило бы уточнить выявленные закономерности.

Будущие исследования должны быть направлены на более комплексное понимание последствий интервенций, включая использование панельных моделей с более широкой

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выборкой индексов и возможностью выделения фиксированных эффектов. Более того, обнаруженные ценовые искажения (см. Приложение Н) могут указывать на наличие таких эффектов, что открывает перспективы для их изучения. Методология также может применяться для анализа по отдельным секторам и отраслям.

Таким образом, данная работа вносит вклад в понимание того, как государственные интервенции на финансовых рынках влияют на оценку активов и формирование долгосрочных ценовых тенденций.

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