摘要
中国利率汇率市场化、中国股市与国际金融市场联系日益密切。在贝叶斯框架下建立时变参数向量自回归(TVP-SV-VAR)模型,对中国股市、利率、汇率和原油价格之间的动态传导机制进行研究。研究发现:四者相互传导过程中,利率渠道相对最不通畅,这可能是由于目前中国利率市场化进程仍未完成,利率的价格机制作用较为有限。此外,利率对股市的长期调控是行之有效的;股市对汇市冲击的反应伴有"隔夜回调"现象;汇率对利率的传导效应长期有效且稳定,但与非平抛利率曲线相驳,这或许与中国资本账户管制与国际资本外流有关。2018年之前原油市场与中国股市有脆弱的"共热"现象,此后原油价格的溢出效应呈现不断增强之势,因此原油价格风险应成为股票定价的重要因素。为避免股市的风险溢出至其他市场,建议继续深化"两率"市场化改革。要引导股价在合理范围内波动,或者为风险在不同市场间的溢出构建相对应的缓冲机制,还需注意不同货币政策之间的协同联动效应从而增强货币市场的内外均衡性。
The relationships of China’s interest rate and exchange rate liberalization,China’s stock market and the international financial market are getting increasingly close.A time-varying parameter vector auto-regression(TVP-SV-VAR)model is established under the Bayesian framework to study the dynamic transmission mechanism between Chinese stock market,interest rate,exchange rate and crude oil price.The study found that:in the process of mutual transmission among the four,the interest rate channel was relatively unobstructed,which may be due to the unfinished process of interest rate marketization in China and the limited role of the price mechanism of interest rate.In addition,the long-term regulation of interest rate on the stock market is effective.The reaction of stock market to currency market shock is accompanied by the phenomenon of’overnight correction’.The transmission effect of exchange rate on interest rate is effective and stable for a long time,but it contradicts the curve of uncovered interest rate,which may be related to China’s capital account control and international capital outflow.Before 2018,there is a fragile’co-heating’phenomenon between the crude oil market and the China’s stock market.Since then,the spillover effect of crude oil price has been increasing.Therefore,the risk of crude oil price should become an important factor in stock pricing.In order to avoid the risk spillover to other markets,it is suggested to continue to deepen the market-oriented reform of Interest Rate and Exchange Rate.To guide stock prices to fluctuate within a reasonable range,or to build a corresponding buffer mechanism for risk spillovers in different markets,it is also necessary to pay attention to the synergistic linkage effects between different monetary policies,so as to enhance the internal and external equilibrium of the currency market.
作者
周东海
陈滨霞
蒋远营
ZHOU Dong-hai;CHEN Bin-xia;JIANG Yuan-ying(Colege of Science,Guilin University of Technology,Guilin 541004,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2020年第2期47-58,共12页
Journal of Statistics and Information
基金
国家自然科学基金项目“快速贝叶斯随机波动建模及其在金融市场中的应用研究”(71963008)
国家自然科学基金项目“金融超高频数据下的日内跳跃风险检验与建模”(71601048)
广西自然科学基金联合培育项目“快速贝叶斯随机波动建模方法及其在风险管理中的应用”(2018GXNSFAA294131)
关键词
利率汇率市场化
时变参数向量自回归模型
马尔科夫链蒙特卡洛
联动效应
波动溢出
marketization of interest rate and exchange rate
time-varying parameter vector autoregressive model
Markov Chain Monte Carlo
linkage effect
volatility spillover
