金融市场联动机制与政策不确定性——基于中日股市间联动研究

发布时间：2017-12-30 21:56

  本文关键词：金融市场联动机制与政策不确定性——基于中日股市间联动研究　出处：《统计与信息论坛》2017年11期 　论文类型：期刊论文

  更多相关文章： 经济政策不确定性 股市联动 混频数据模型

【摘要】：通过混频数据技术(Mixed Sampling Data,MIDAS)将股市波动率和相关性分解为长期成分和短期成分,并用政策不确定性指数(policy uncertainty index)刻画长期成分,试图回答经济政策对金融市场波动与市场间联动的可能作用及其方式。以中日股市为例,研究结果表明:中国股市只受到本国政策不确定性的影响,而日本股市却受到来自中日以及全球三个维度政策的冲击;中日股市之间相关性变动可以很好地被中日经济政策不确定性所解释,股市间相关性的变动趋势与政策不确定性的变化基本一致。为了避免金融市场受到来自国外不利冲击的影响,政府应降低其政策行为的不确定性以抵御来自市场外的冲击。
[Abstract]:The volatility and correlation of stock market are decomposed into long-term and short-term components by mixed Sampling data Midas. The long-term component is characterized by the policy uncertainty index. This paper tries to answer the possible effects and ways of economic policy on the linkage between financial market volatility and market interaction. Taking the Chinese and Japanese stock markets as an example, the results show that the Chinese stock market is only affected by the uncertainty of its own policies. However, the Japanese stock market is impacted by the policy of three dimensions from China, Japan and the whole world. The fluctuation of correlation between Chinese and Japanese stock markets can be well explained by the uncertainty of economic policy between China and Japan. The trend of correlation between stock markets is basically consistent with the change of policy uncertainty. In order to avoid the financial market from the impact of adverse shocks from abroad. The government should reduce the uncertainty of its policy actions to withstand shocks from outside the market.
【作者单位】： 武汉大学经济与管理学院;
【分类号】：F224;F831.51
【正文快照】： 一、引言2008年国际金融危机席卷全球,其波及范围之广,源于全球金融市场之间日益密切的联系,大量资本在全球市场间流动。市场间的传染效应使得对一个市场的冲击,立刻会引起其他相关市场的连锁反应,企图通过全球资产配置的多样化策略以降低风险的效果也会因此被减弱。政府虽采，

本文编号：1356674