Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-02-01 DOI:10.1016/j.jbankfin.2024.107371

Jianhao Lin , Jiacheng Fan , Yifan Zhang

引用次数: 0

Abstract

This paper proposes a novel monetary policy uncertainty (MPU) measure aggregating information from policy communication, policy operation and news coverage. We find that the aggregate MPU measure significantly commands a negative risk premium in the cross-section of the Chinese stock market. Stocks with higher (lower) MPU beta, favored (avoided) for hedging against MPU shocks, contribute to the premium through their under-performance (outperformance). Our results remain robust after controlling for economic uncertainty, economic policy uncertainty, and monetary policy surprises. We further show that the aggregate MPU measure outperforms its individual components in both portfolio- and stock-level asset pricing tests.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.