基于时变参数状态空间模型的利率变动跨市场效应研究

发布时间：2018-07-20 18:48

【摘要】：利率变动对股票市场和债券市场的冲击是国内外学术界和政府管理层重点关注的问题之一。本文利用定单流蕴含利率变动的跨市场信息含量,构建似不相关模型检验了利率变动的跨市场效应,建立时变参数状态空间模型刻画了利率变动跨市场效应的时变特征。实证结果显示,利率变动引起股票市场和国债市场、股票市场和企业债市场之间的投资转移以及国债市场和企业债市场之间的风险传染。利率变动通过国债市场对股票市场产生了负向跨市场冲击,通过企业债市场对股票市场产生了正向跨市场冲击。国债市场和企业债市场是利率变动跨市场效应的传导渠道。
[Abstract]:The impact of interest rate changes on the stock market and bond market is one of the key issues of academic and government management at home and abroad. In this paper, the cross-market effect of interest rate change is tested by using the cross-market information content of order flow, and the time-varying parameter state space model is established to describe the time-varying characteristics of cross-market effect of interest rate change. The empirical results show that the change of interest rate leads to the transfer of investment between the stock market and the bond market, and the risk contagion between the bond market and the enterprise bond market. The change of interest rate has a negative cross-market impact on the stock market through the national debt market and a positive cross-market impact on the stock market through the enterprise bond market. The bond market and the enterprise bond market are the transmission channels of the cross-market effect of interest rate change.
【作者单位】：电子科技大学经济与管理学院;
【基金】：四川省软科学研究计划资助项目(2008ZR0016)
【分类号】：F224;F822;F832.51

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