金融危机、宏观经济因素与中美股市联动

发布时间：2019-04-02 08:08

【摘要】：伴随中国经济及金融的逐步开放,中美股市不仅出现了显著的联动,而且在2008年金融危机期间这种联动还显著增强。现有研究分析了中美股市的联动及其相依结构,但几乎没有涉及联动及危机期间联动增强的原因。本文通过在(DCC)GARCH模型中引入宏观经济变量,同时允许股票市场对宏观经济因素的响应时变,分析了中美股市联动及危机期间联动增强的原因。研究结果显示,美国冲击的跨国传导和传染是中美股市联动的主要动因,危机期间的净传染是中美股市联动增强的一个原因,但解释力不强,理性传染是危机期间中美股市联动增强的主因,在引起理性传染的宏观经济因素中,美国货币政策冲击的结构性突变最为重要。
[Abstract]:With the gradual opening up of China's economy and finance, the stock market of China and the United States not only showed significant linkage, but also strengthened significantly during the 2008 financial crisis. The existing research has analyzed the linkage and its dependent structure of Chinese and American stock markets, but hardly involved in the reasons of linkage and enhanced linkage during the crisis. By introducing macroeconomic variables into the (DCC) GARCH model and allowing the stock market to respond time-varying to macroeconomic factors, this paper analyzes the reasons for the linkage between China and the United States and the enhanced linkage during the crisis. The results show that the cross-border transmission and transmission of American shocks are the main drivers of the linkage between China and the United States, and the net contagion during the crisis is one of the reasons for the enhanced linkage between China and the United States, but the explanatory power is not strong. Rational contagion is the main cause of the enhanced linkage between China and the United States during the crisis. Among the macro-economic factors causing rational contagion, the structural mutation of the monetary policy shock in the United States is the most important.
【作者单位】：湖北经济学院湖北金融发展与金融安全研究中心;湖北经济学院统计系;
【基金】：教育部青年基金项目“美国货币政策冲击与中美股票市场协动性研究”(项目编号:09YJC790072)的阶段性成果教育部人文社会科学基金资助项目“退出软钉住汇制视角的人民币汇率制度设计与安排”(08JA790035)的资助
【分类号】：F832.51;F837.12;F224

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