【摘要】：利率變動(dòng)對(duì)股票市場(chǎng)和債券市場(chǎng)的沖擊是國(guó)內(nèi)外學(xué)術(shù)界和政府管理層重點(diǎn)關(guān)注的問(wèn)題之一。本文利用定單流蘊(yùn)含利率變動(dòng)的跨市場(chǎng)信息含量,構(gòu)建似不相關(guān)模型檢驗(yàn)了利率變動(dòng)的跨市場(chǎng)效應(yīng),建立時(shí)變參數(shù)狀態(tài)空間模型刻畫了利率變動(dòng)跨市場(chǎng)效應(yīng)的時(shí)變特征。實(shí)證結(jié)果顯示,利率變動(dòng)引起股票市場(chǎng)和國(guó)債市場(chǎng)、股票市場(chǎng)和企業(yè)債市場(chǎng)之間的投資轉(zhuǎn)移以及國(guó)債市場(chǎng)和企業(yè)債市場(chǎng)之間的風(fēng)險(xiǎn)傳染。利率變動(dòng)通過(guò)國(guó)債市場(chǎng)對(duì)股票市場(chǎng)產(chǎn)生了負(fù)向跨市場(chǎng)沖擊,通過(guò)企業(yè)債市場(chǎng)對(duì)股票市場(chǎng)產(chǎn)生了正向跨市場(chǎng)沖擊。國(guó)債市場(chǎng)和企業(yè)債市場(chǎng)是利率變動(dòng)跨市場(chǎng)效應(yīng)的傳導(dǎo)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.
【作者單位】： 電子科技大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：四川省軟科學(xué)研究計(jì)劃資助項(xiàng)目(2008ZR0016)
【分類號(hào)】：F224;F822;F832.51

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本文編號(hào)：2134428