摘要
金融市场间流动性出现高协同运动是发生危机传染的重要表现之一,因此,针对流动性动态联动效应的研究显得极为重要。本文基于中国金融市场数据测算了2003-2018年间我国股市、债市流动性,并对Colacito等(2011)的混频数据抽样动态条件相关系数模型(DCC-MIDAS)进行了扩展,同时从金融周期视角出发,运用扩展后的模型考察了经济不确定性在不同时间区间内对于流动性波动率和相关性是否存在不同的作用效果。研究结果表明,相较于单因子混频模型,引入经济政策不确定性的多因子混频模型可以更好地捕捉我国股债两市相关性的动态变化;同时,经济政策不确定性的提高会降低股债两市流动性的正相关性,但这一作用效果会在金融周期的拐点处转为加强两者的正相关性。本文不仅为讨论股债两市联动效应提供了流动性的新视角,也为金融市场风险监管提供了重要的参考依据。
The high co-movement of liquidity among financial markets is one of the major manifestations of crisis contagion. Therefore,it is very important to study the dynamic linkage effect of liquidity. Based on the data of China’s financial market,this paper calculates the liquidity of China’s stock and bond markets from2003 to 2018,and extends the DCC-MIDAS model of Colacito et al.( 2011) to study the volatility and linkage effect of liquidity. At the same time,from the perspective of financial cycle,we examine whether economic policy uncertainty has different effects on liquidity volatility and correlation in different time intervals. The results show that compared with the single-factor mixing model,the introduction of economic policy uncertainty in a multi-factor model can better capture the dynamic change of stock and bond markets’ correlation in China.Meanwhile,the increase of policy uncertainty will reduce the positive correlation between stock and bond markets,but the effect will change at the turning point of the financial cycle into strengthening the positive correlation between them. This paper not only provides a new perspective of liquidity for discussing the linkage effect between stock market and bond market,but also provides an important reference for financial market risk supervision.
作者
张宗新
林弘毅
李欣越
Zhang Zongxin;Lin Hongyi;Li Xinyue
出处
《统计研究》
CSSCI
北大核心
2020年第2期37-51,共15页
Statistical Research
基金
国家自然科学基金国际合作项目“中国债务资本市场的功能、结构和发展研究”(71661137008)
国家自然科学基金面上项目“中国证券分析师荐股行为监管与中小投资者保护”(71473043)
上海国际金融与经济研究院基金“试点注册制提升资金配置功能和举措研究”(2019110524)。
关键词
经济政策不确定性
流动性
金融周期
动态相关性
Economic Policy Uncertainty
Liquidity
Financial Cycle
Dynamic Correlation
