發(fā)布時間：2017-12-30 21:56

  本文關(guān)鍵詞：金融市場聯(lián)動機制與政策不確定性——基于中日股市間聯(lián)動研究　出處：《統(tǒng)計與信息論壇》2017年11期 　論文類型：期刊論文

  更多相關(guān)文章： 經(jīng)濟政策不確定性 股市聯(lián)動 混頻數(shù)據(jù)模型

【摘要】：通過混頻數(shù)據(jù)技術(shù)(Mixed Sampling Data,MIDAS)將股市波動率和相關(guān)性分解為長期成分和短期成分,并用政策不確定性指數(shù)(policy uncertainty index)刻畫長期成分,試圖回答經(jīng)濟政策對金融市場波動與市場間聯(lián)動的可能作用及其方式。以中日股市為例,研究結(jié)果表明:中國股市只受到本國政策不確定性的影響,而日本股市卻受到來自中日以及全球三個維度政策的沖擊;中日股市之間相關(guān)性變動可以很好地被中日經(jīng)濟政策不確定性所解釋,股市間相關(guān)性的變動趨勢與政策不確定性的變化基本一致。為了避免金融市場受到來自國外不利沖擊的影響,政府應(yīng)降低其政策行為的不確定性以抵御來自市場外的沖擊。
[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.
【作者單位】： 武漢大學(xué)經(jīng)濟與管理學(xué)院;
【分類號】：F224;F831.51
【正文快照】： 一、引言2008年國際金融危機席卷全球,其波及范圍之廣,源于全球金融市場之間日益密切的聯(lián)系,大量資本在全球市場間流動。市場間的傳染效應(yīng)使得對一個市場的沖擊,立刻會引起其他相關(guān)市場的連鎖反應(yīng),企圖通過全球資產(chǎn)配置的多樣化策略以降低風險的效果也會因此被減弱。政府雖采，

本文編號：1356674