摘要
21世纪以来,黑天鹅事件不断出现导致经济政策不确定性急剧上升,政府出台多种类型的经济政策可以促进经济增长和稳定就业,但同时也使得股票市场剧烈震荡。在此背景下,研究不同类型经济政策与股市之间相互影响的差异性,对于全面把握不同类型经济政策出台的力度和组合方式,进而稳定金融市场、更好支持实体经济具有重要意义。基于VAR-MVGARCH-BEKK(DCC)模型,本文对比研究了不同类型经济政策不确定性与股票市场之间的溢出效应、动态相关性及其差异性。研究发现:(1)货币政策以及外汇与资本项目政策不确定性与股票市场间联系最紧密,财政政策次之,而贸易政策不确定性与股市间联系最弱;(2)货币政策以及外汇与资本项目政策不确定性冲击对股市有较强的负效应,且持续时间较长;财政政策不确定性冲击对股市有正效应;(3)财政政策、货币政策以及外汇与资本项目政策不确定性与股市间存在双向波动溢出效应,呈现短期显著、长期缓慢衰减的特性;仅存在贸易政策对股市的单向波动溢出效应;(4)货币政策以及外汇与资本项目政策不确定性与股市间存在显著的动态相关性。研究结果可以为政策制定者维护股票市场稳定、防范风险传染以及投资者规避风险出台差异化经济政策提供参考。
Since the 21st century,the continuous emergence of black swan events has led to a sharp increase in economic policy uncertainty.Various types of economic policies issued by the government can promote economic growth and stabilize employ⁃ment,but at the same time,they will also make the stock market violent.In this context,research on the differences in the inte⁃raction between different types of economic policies and the stock market is of great significance for better combination of different types of economic policies,thereby stabilizing the financial market and better supporting the real economy.Based on the VAR-MV⁃GARCH-BEKK(DCC)model,this paper comparatively studies the spillover effects and dynamic correlation between different types of economy policy uncertainty and the stock market in China.The empirical results find that:(1)The monetary policy,the foreign exchange and capital account policy uncertainties are closely related to the stock market,followed by fiscal policy,and the trade policy uncertainty is weakly linked to the stock market.(2)The impacts of the monetary policy,the foreign exchange and capital policy uncertainties have a strong negative effect on the stock market and lasts for a long time;whereas the fiscal policy un⁃certainty impact has a positive effect on the stock market.(3)There is a two-way volatility spillover effect between the stock mar⁃ket and the fiscal policy,the monetary policy,and the foreign exchange and capital account policy uncertainty,showing the characteristics of short-term significant and longterm tailings;trade policy uncertainty has a volatility spillover effect on the stock market.(4)There is a significant dynamic correlation between the uncertainty of monetary policy and foreign exchange and capital ac⁃count policy and the stock market.The research results can provide reference for policy makers to maintain financial market stability,prevent risk contagion,and for investors to avoid risks.
作者
裴斌
乔广宇
Pei Bin;Qiao Guangyu(School of Finance,Central University of Finance and Economics,Beijing 100087,China)
出处
《工业技术经济》
北大核心
2022年第6期135-143,共9页
Journal of Industrial Technological Economics
关键词
经济政策不确定性
不同类型经济政策
股票市场
溢出效应
动态相关性
风险规避
economic policy uncertainty
different types of economic policy
stock market
spillover effect
dynamic corre⁃lation
risk aversion
