利率市场化进程中资本市场与货币市场联动效应分析——基于集合经验模态分解法的实证研究

发布时间：2018-11-16 17:40

【摘要】：将利率市场化进程划分为三个阶段,通过集合经验模态分解法对中国货币市场与资本市场的数据进行了分解,提取了最具代表联动性的短周期分量。采用VAR-GARCH-BEKK模型对三个阶段两个市场的溢出效应进行了分析,结果显示,货币市场与资本市场单向和双向溢出效应均不显著,在利率市场化推进的过程中,联动的脆弱性未得到实质性改善,DCC-MV GARCH模型证明了研究结论的稳健性。因此,推进利率市场化必须加快完善利率传导机制,构建多层次的金融市场系统,培育以价格型货币政策工具为主导的调控机制,循序渐进地牵引经济的稳定可持续发展。
[Abstract]:The process of interest rate marketization is divided into three stages, and the data of Chinese money market and capital market are decomposed by the method of aggregate empirical mode decomposition, and the short-period component which is the most representative linkage is extracted. The VAR-GARCH-BEKK model is used to analyze the spillover effects of the two markets in three stages. The results show that the one-way and bidirectional spillover effects of the money market and the capital market are not significant, and in the process of the marketization of interest rate, the spillover effect of the two markets is not significant. The vulnerability of linkage has not been substantially improved, and the DCC-MV GARCH model proves the robustness of the conclusions. Therefore, to promote interest rate marketization, we must speed up the improvement of interest rate transmission mechanism, construct a multi-level financial market system, foster a price-oriented monetary policy tool as the leading control mechanism, and gradually draw the stable and sustainable development of the economy.
【作者单位】：西安交通大学经济与金融学院;
【基金】：国家社会科学基金项目:“行业垄断收入分配效应的成因、测度与治理体系研究”(13CJY020)
【分类号】：F832.5

【参考文献】