我国实物资产与金融资产市场的动态相关性研究——基于五元VAR-DCC-MVGARCH模型的系统检验

发布时间：2018-05-06 23:40

本文选题：均值溢出效应 + 动态条件相关性　；参考：《预测》2012年02期

【摘要】：资产市场间的收益和波动相关性方面,许多已有工作并没有形成一致结论。本文从周度时间跨度视角,构建了VAR-DCC-MVGARCH模型,采用了2005年7月至2011年3月的交易数据,在一个框架下考察了我国石油、黄金、利率、汇率和股票市场的动态相关性。结果表明,利率对汇率、石油对汇率、黄金对利率、黄金对石油存在着单向均值溢出效应,仅在股票与黄金市场间具有双向均值溢出效应;各市场波动性之间均具有动态时变特征,其中,股票与利率、汇率与利率、石油与汇率、黄金与汇率具有负相关性,股票与石油、股票与黄金、黄金与利率、黄金与石油间呈现出正向关联。最后,将结果与现有文献进行了比较和探讨。
[Abstract]:In terms of the correlation between returns and volatility in asset markets, much of the work has not reached a consistent conclusion. In this paper, the VAR-DCC-MVGARCH model is constructed from the perspective of time span, and the dynamic correlation of oil, gold, interest rate, exchange rate and stock market is investigated under a frame using the transaction data from July 2005 to March 2011. The results show that interest rate to exchange rate, oil to exchange rate, gold to interest rate, gold to oil have one-way mean spillover effect, and only have two-way mean spillover effect between stock and gold market. Among them, stock and interest rate, exchange rate and interest rate, oil and exchange rate, gold and exchange rate have negative correlation, stock and oil, stock and gold, gold and interest rate, There is a positive correlation between gold and oil. Finally, the results are compared and discussed with the existing literature.
【作者单位】：重庆大学经济与工商管理学院;
【基金】：教育部高校博士点基金资助项目(20100191110033) 国家自然科学基金资助项目(90924009)
【分类号】：F224;F832.5

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