货币政策调整的金融市场效果检验——推广型T-GARCH模型的应用

发布时间：2018-12-17 07:10

【摘要】：通过构建推广型T-GARCH模型检验了央行货币政策调整对我国外汇市场、利率市场及股票市场波动的影响。其特别之处是区分了货币政策的可预见部分与不可预见部分的差别,并据此对三类主要市场的货币政策意外调整反应进行了系统性探讨。检验结果显示,货币政策调整对外汇市场、利率市场及股票市场资产价格波动的影响具有非对称性特点;利率市场对货币政策调整之未可预见部分的反应具有及时性和持续性特点,而外汇市场与股票市场对货币政策的反应较弱。
[Abstract]:By constructing an extended T-GARCH model, this paper examines the influence of the adjustment of the central bank's monetary policy on the volatility of China's foreign exchange market, interest rate market and stock market. It distinguishes the predictable part from the unforeseeable part of monetary policy, and makes a systematic study on the unexpected adjustment of monetary policy in the three main markets. The results show that the effects of monetary policy adjustment on the volatility of asset prices in foreign exchange market, interest rate market and stock market are asymmetric. The response of the interest rate market to the unforeseen part of the monetary policy adjustment has the characteristics of timeliness and persistence, while the foreign exchange market and the stock market have a weak response to the monetary policy.
【作者单位】：西北农林科技大学经济管理学院;山西大同大学商学院;
【分类号】：F822.0;F832.5;F224

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