宏观政策和信息冲击对中国股票、债券和黄金相关性影响的研究

发布时间：2018-04-19 15:13

本文选题：资产联动 + 动态相关性　；参考：《南京大学》2013年硕士论文

【摘要】：随着世界经济一体化的逐步加强,不同地区和不同市场之间的联系表现的愈发紧密,进而出现了大量关于资产联动的理论与实证研究。但目前国内对金融资产的研究焦点主要集中在股票等相对成熟的金融市场,我国的黄金市场由于起步晚,机制不够完整,产品种类也不如国外先进市场丰富,相关研究并不深入。但自上海黄金交易所成立以来,国内黄金价格形成机制逐步向国际接轨,黄金价格的波动愈发市场化,与其他金融资产的联动性也逐步增强。而近十年来,尤其是在金融危机、欧债危机、美国一系列量化宽松政策的推出等因素的影响下,黄金价格屡创新高,投资者对黄金的需求大大增加,国际上出现的一系列包含黄金资产的投资组合也大受欢迎。因而,研究股票、债券、黄金资产之间的相关性是十分必要的。本文借鉴了国内外关于资产联动关系的相关研究成果,以中国市场上股票、债券、黄金三种金融资产的相关性作为研究对象,选择Li Xiaoming(2008)提出的混合不对称DCC(MADCC)模型,在多变量GARCH模型的估计基础之上,检验了金融危机背景下,中国政府的一系列宏观调控政策对于资产间动态相关系数的影响。结合实际的经济运行状况,我们发现政府的货币政策通过对单个资产产生影响,进而影响到了资产间的联动关系。在2008年末政府为了刺激经济而放宽货币政策之后,股票-黄金、债券-黄金之间均表现出相关系数的增加,股票-债券之间则表现出由正相关变为了负相关；而在2010年底政府为了对抗日益加剧的通货膨胀,相对收紧了信贷闸门之后,股票-黄金、股票-债券、债券-黄金之间均表现出相关系数下降。此外,我们通过信息曲面对三个市场在联合冲击下的非对称性反应进行了研究。我们发现,对于股票-黄金、股票-债券而言,它们的相关系数都表现出对联合负冲击更强的反应,而对债券-黄金相关性而言,则表现出对联合正冲击的反应更强。这意味着股票和黄金、股票和债券市场之间同时下跌的可能性比同时上涨的可能性更大,而债券和和黄金市场之间则同时上涨的可能性更大。
[Abstract]:With the gradual strengthening of world economic integration, the relationship between different regions and different markets is becoming more and more close, and a large number of theoretical and empirical studies on asset linkage have emerged.However, at present, the focus of domestic research on financial assets is mainly focused on relatively mature financial markets such as stocks. Due to the late start of the gold market in our country, the mechanism is not complete enough, and the variety of products is not as rich as that in the foreign advanced markets.The relevant research is not deep.However, since the establishment of the Shanghai Gold Exchange, the domestic gold price formation mechanism has gradually been in line with international standards, the fluctuation of gold prices has become more market-oriented, and the linkage with other financial assets has been gradually strengthened.Over the past decade, especially under the influence of the financial crisis, the European debt crisis, and the introduction of a series of quantitative easing policies in the United States, gold prices have repeatedly reached new highs, and investors' demand for gold has greatly increased.A range of international portfolios containing gold assets is also popular.Therefore, it is necessary to study the correlation between stocks, bonds and gold assets.This paper draws lessons from the domestic and foreign related research results on the relationship of asset linkage, taking the correlation of stock, bond and gold in the Chinese market as the object of study, chooses the mixed asymmetric DCCMADCCmodel proposed by Li Xiaomingli 2008).Based on the estimation of multivariate GARCH model, this paper examines the influence of a series of macro-control policies of Chinese government on the dynamic correlation coefficient between assets under the background of financial crisis.Combined with the actual economic operation, we find that the monetary policy of the government has an impact on individual assets, and then affects the linkage between assets.After the government relaxed monetary policy in order to stimulate the economy in late 2008, the correlation coefficient between stock and gold and bond and gold were increased, and the relationship between stock and bond changed from positive correlation to negative correlation.After the government tightened the credit floodgates relative to rising inflation at the end of 2010, stocks-gold, equities-bonds and bonds-all showed a decline in correlation.In addition, we study the asymmetric response of three markets under joint impact through information surfaces.We found that for equities-gold, equities-bonds, their correlation coefficient showed a stronger response to joint negative shocks, while for bond-gold correlation, they showed stronger response to joint positive shocks.This means that stocks and gold, stocks and bonds are more likely to fall at the same time than to rise at the same time, while bond and gold markets are more likely to rise at the same time.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F123.16;F832.5;F224

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