摘要
鉴于国债期限溢价与股权溢价之间的相关关系具有时变性特征,本文运用BEKK-MGARCH、ADCC-MGARCH等模型从条件相关系数角度考察国债期限溢价与股权溢价之间的动态相关性。经验分析结果发现,在描述两者的相关性动态变化方面,考虑非对称性的ADCC-MGARCH模型优于BEKK-MGARCH模型;尽管国债期限溢价与股权溢价之间的条件相关系数大小在短期内会发生变动,但是条件相关系数在正负符号上却保持相对稳定。
Based on the time-varying character of the correlation between treasury maturity premium and equity premium,dynamic conditional coefficient is used to analysis the dynamic correlation between them, by taking BEKK and ADCC multivariate GARCH models. The result shows that ADCC-MGARCH is prior to BEKK-MGARCH to describe the dynamic correlation. The size of dynamic correlation has changed in short-term period, however, the positive or minus of the correlation do not change for a long time.
出处
《财经理论与实践》
CSSCI
北大核心
2011年第5期35-38,共4页
The Theory and Practice of Finance and Economics
基金
教育部人文社会科学重点研究基地重大项目(2009JJD790004)
辽宁省教育厅高等学校创新团队研究项目(WT2010009)
