摘要
通过混频数据技术(Mixed Sampling Data,MIDAS)将股市波动率和相关性分解为长期成分和短期成分,并用政策不确定性指数(policy uncertainty index)刻画长期成分,试图回答经济政策对金融市场波动与市场间联动的可能作用及其方式。以中日股市为例,研究结果表明:中国股市只受到本国政策不确定性的影响,而日本股市却受到来自中日以及全球三个维度政策的冲击;中日股市之间相关性变动可以很好地被中日经济政策不确定性所解释,股市间相关性的变动趋势与政策不确定性的变化基本一致。为了避免金融市场受到来自国外不利冲击的影响,政府应降低其政策行为的不确定性以抵御来自市场外的冲击。
The paper uses MIDAS(Mixed Sampling Data)technique to decompose the volatility and the correlation of stock market into the short-and long-term component,and tries to investigate the determinants of policy uncertainty index in volatility and correlation.Take China's and Japan's stock market as an example.Our results suggest that,China's stock market is only influenced by Beijing government policy uncertainty,but Japan's stock market is affected by the policy uncertainty from China,Japan and the world.On the other hand,the co-movement between China's and Japan stock market can be perfectly interpreted by the policy uncertainty of both countries.The conclusion indicates the government should lower their policy uncertainty to avoid the unfavourable shocks from other country.
出处
《统计与信息论坛》
CSSCI
北大核心
2017年第11期42-50,共9页
Journal of Statistics and Information
