The Contagion of Chinese Economic Policy Uncertainty (EPU):

发布时间：2024-03-07 04:31

　　标准宏观经济理论认为,不确定性的激增可能导致经济活动的暂时崩溃,进而导致股市崩盘。由于不确定性不能被直接观察到,研究人员和经济学家的主要目的找不确定性的测度方法,以便利用经验工具来描述一个经济体、产业或股票市场所面临的不确定性。现存的文献提出了许多不同类型的不确定性测度方法。其中,S.R.Baker et al.(2016)构建的EPU指数是最具影响力的不确定性测度,可以作为与财政政策、货币政策相关的不确定性测度。许多研究使用EPU作为衡量经济政策不确定性的代理变量,如,(Arouri et al.,2016;Brogaard&Detzel,2015;Dakhlaoui&Aloui,2016).这类研究普遍认为,EPU对金融市场的影响是巨大的,尤其是对欧美股市的影响。因此,本文选取S.R.Baker et al.(2016)构建的中国EPU指数进行研究.本文通过对三个方面的实证研究,验证了中国经济政策不确定性与东南亚经济体股市波动的关系,为现存的政策不确定性和金融市场文献做出了贡献。据此,本文的研究旨在回答如下几个问题:(1)中国的EPU能否解释AH股票溢价收益的异质性...

【文章页数】：153 页

【学位级别】：博士

【文章目录】：
Abstract 摘要 List of Abbrevations Chapter 1:Introduction,Motivation and Objectives
1.1 Background and Summary
1.2 Needs and the importance of the research topic
1.3 The Research Objectives
1.4 Problem Statement
    1.4.1 Problem identification
1.5 Rationality of the Study
1.6 Thesis Structure Chapter 2:Theoretical Analysis and Research Background
2.1 Introduction
2.2 Concept of Uncertainty
2.3 Origins of the distinction between Uncertainty and Risk
2.4 Why uncertainty matters:Theoretical Background
    2.4.1 Uncertainty and economic activity
    
2.4.1.1 Policy Uncertainty and Real-option Effect
    
2.4.1.2 Policy Uncertainty and Financing cost
    
2.4.1.3 Policy Uncertainty and Precautionary savings
    
2.4.1.4 Policy Uncertainty and Growth option effect
    2.4.2 Uncertainty and financial markets
2.5 Measuring uncertainty and the index of EPU Chapter 3:Literature Reviews and Contribution
3.1 Introduction
3.2 Overview of AH-shares
    3.2.1 Background
    3.2.2 The literature on AH-shares discrepancy
3.3 The literature on the linkages of global EPU
3.4 The literature on the linkages of Chinese EPU
3.5 The literature about predicting and forecasting EPU
3.6 Literature gap and contributions
3.7 Hypothesis Development Chapter 4:Chinese EPU and its effects on AH-shares price discrepancy and returns
4.1 Introduction
4.2 Data Description
4.3 Methodology
    4.3.1 Counterfactual Distribution of EPU
4.4 Empirical Results
    4.4.1 Descriptive statistics
    4.4.2 Distribution of AH premium values(Periods0 and1)
    4.4.3 Counterfactual Distribution of EPU
4.5 Discussion and Conclusion
    4.5.1 Discussion
    4.5.2 Conclusion
    4.5.3 Limitations Chapter 5:Chinese EPU and its effects on the returns and/or volatility distribution of ASEAN5 stock markets
5.1 Introduction
5.2 Data Description
5.3 Methodology
    5.3.1 Kernel density function
5.4 Empirical Results
    5.4.1 Descriptive Statistics
    5.4.2 Conditional distribution of Chinese EPU
    
5.4.2.1 Conditional distribution of Chinese EPU for the Indonesian stock market returns and volatility
    
5.4.2.2 Conditional distribution of Chinese EPU for Malaysian stock market returns and volatility
    
5.4.2.3 Conditional distribution of Chinese EPU for Philippine stock market returns and volatility
    
5.4.2.4 Conditional distribution of Chinese EPU for Singapore stock market returns and volatility
    
5.4.2.5 Conditional distribution of Chinese EPU for Thailand stock market returns and volatility
    5.4.3 Discussions
5.5 Conclusion and policy implications
    5.5.1 Conclusion
    5.5.2 Policy implications Chapter 6:Forecasting Chinese EPU based on financial uncertainty in East Asian Economies
6.1 Introduction
6.2 Data and their relevant Sources
6.3 Methodology
    6.3.1 Forecasting models
    
6.3.1.1 Logistic Regression(LR)Model
    
6.3.1.2 Decision Tree Model(DTM)
6.4 Empirical Analysis and Discussions
    6.4.1 Calculation of EPU Outliers/outstanding points
    6.4.2 Logistic Regression Results to predict Chinese EPU Outliers
    6.4.3 Decision Tree Results to predict Chinese EPU Outliers
    6.4.4 Comparison using the Classification Accuracy
6.5 Conclusion and Policy implications
    6.5.1 Conclusion
    6.5.2 Policy implications Chapter 7:Summary and Conclusions
7.1 Summary of key findings and implications
7.2 Suggestions for future research References Appendix 1:The description of variables and data source Research Publications during PhD Acknowledgement



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