摘要
我国股市从成立至今一直背负着“政策市”的烙印,政府会经常对其实施干预,经济政策颁布的时间、方式、内容以及政策实施效果的未知性会导致股票收益率变动。论文在前人研究的基础之上,使用VAR和TVP-VAR模型从行业异质性和时变性两个角度入手来分析这种差异化的影响效果。主要结论如下:首先,不同类型不确定性的影响存在差异,其中最主要的因素是货币政策的不确定性。其次,行业异质性方面,金融、采矿、运输等资本密集型行业受货币政策不确定性的影响更大,文化、商务等国际往来密切行业更易受到贸易和汇率政策不确定性的影响,而农林等受财政政策扶植的行业受财政政策不确定性影响也较大。最后,时变性方面,整体上在金融危机等宏观环境不景气时,影响力度更大且持续时间更长。
China's stock market has been considered as“policy market”since its inception,and the government often intervenes in it.The uncertainty of the time,method,content and effect of economic policy promulgation leads to changes in stock returns.Based on previous research,this paper further studies the effect of uncertainty on stock market returns from the perspective of industry heterogeneity and time-varying differentiation.The main conclusions are as follows:(1)The impact of different types of uncertainty is different,and the most important factor is the uncertainty of monetary policy.(2)In terms of industry heterogeneity,capital-intensive industries such as finance,mining,and transportation are more affected by monetary policy uncertainties,and industries with close international contacts,such as culture and commerce,are more susceptible to trade and exchange rate policy uncertainties.The industries supported by fiscal policy are greatly affected by the uncertainty of fiscal policy.(3)In terms of time variability,the overall impact is greater and the duration is longer when the macroeconomic environment such as the financial crisis is sluggish.
作者
杨艳
宋思学
YANG Yan;SONG Si-xue
出处
《农村金融研究》
2020年第8期58-69,共12页
Rural Finance Research
基金
四川省社会科学高水平研究团队建设计划资助项目“四川宏观经济分析与调控研究团队”的阶段性研究成果。
关键词
经济政策不确定性
差异性影响
股票收益率
行业异质性
时变性
Economic Policy Uncertainty
Differential Impact
Stock Return Rate
Industry Heterogeneity
Time-Varying
