摘要
新冠肺炎疫情的突如其来,对我国金融市场形成巨大冲击。为了研究短期内新冠肺炎疫情对股票市场和债券市场收益率造成的影响,本文建立了ARIMA模型进行预测分析。与此同时,本文运用协整检验来探究国债指数、上证指数和企债指数之间是否存在长期均衡关系。并在此基础上,运用Granger因果检验分析了疫情冲击下股债市场间可能的风险传递路径。经研究分析后发现:短期内,新冠肺炎疫情会对股票市场形成负向冲击,而对债券市场形成正向冲击;且上证指数、国债指数和企债指数之间存在长期均衡关系。在新冠肺炎疫情影响下,风险首先从股票市场传导到国债市场和企债市场,并且国债市场也反向影响股票市场,两者相互传导。
The sudden outbreak of COVID-19 has had a huge impact on China's financial market.To study the impact of COVID-19 on stock and bond market yields in the short term,the ARIMA model is established for predictive analysis.At the same time,this paper uses the co-consolidation test to explore whether there is a long-term equilibrium relationship between the treasury bond index,the Shanghai composite index and the corporate bond index.On this basis,Granger causal test is used to analyze the possible risk transmission path between the stock and bond market under the impact of the epidemic.After research and analysis,it is found that in the short term,COVID-19 will have a negative impact on the stock market and the bond market;and there is a long-term equilibrium relationship between the Shanghai composite index,national bond index and corporate bond index.Under the influence of COVID-19,risks are first transmitted from the stock market to the treasury bond market and the corporate bond mar⁃ket,and the treasury bond market also reverse affects the stock market,and the two are transmitted to each other.
作者
陈波
钱惠惠
Chen Bo;Qian Huihui(School of Economics,Huazhong University of Science and Technology,Wuhan 430074,China)
出处
《工业技术经济》
北大核心
2021年第11期53-60,共8页
Journal of Industrial Technological Economics
