摘要
选用2012年1月到2022年8月的月度数据,构建MS-VAR模型划分经济政策不确定性的不同区制,并运用TVP-SV-VAR模型从时变角度研究经济政策不确定性、国债利率期限结构和股市间的动态传导关系。实证结果表明:第一,样本期内中国经济政策不确定性可以划分为高EPU变动率区制和低EPU变动率区制,经济政策不确定性、国债期限结构和股市收益率间的关系呈现非对称性特征。第二,长期国债利率提高会在短期引起股市收益率的提高,而且低EPU变动率区制下股债两市的资产组合渠道的传导效率相对更高。第三,在大多数时期,经济政策不确定性提高会在短期内通过抬高国债长短期利率并缩窄国债期限利差降低股市收益率下降,但这一传导关系具有时变性,经济政策不确定性提高并不总是产生负面影响。最后为政府防范和化解经济政策不确定性的负面影响、维持金融市场平稳健康运行提供相应的政策建议。
Using the monthly data from January 2012 to August 2022,this study employs an MS-VAR model that has been constructed to divide different regimes of economic policy uncertainty.It also employs a TVP-SV-VAR model to study the dynamic transmission relationship between economic policy uncertainty,treasury bond interest rates and the stock market from a time-varying perspective.The empirical results show that uncertainty over China's economic policy in the sample period can be divided into regimes of high and low economic policy uncertainty(EPU)rates of change.The relationship between economic policy uncertainty,and the term structure of treasury bond and share price gains display asymmetric characteristics.The increase in long-term treasury bond interest rates will lead to higher share price gains in the short term,and the transmission efficiency of this portfolio channel of stock and bond markets under a low EPU change rate regime is relatively higher.In most periods,an increase in economic policy uncertainty will reduce the decline of share price gains in the short term by raising the long-term and short-term interest rates of treasury bonds and narrowing the term interest spreads of treasury bonds.However,this transmission relationship is time-varying,and the increase of economic policy uncertainty does not always have a negative impact.This paper provides corresponding policy recommendations for the government to prevent and resolve the negative effects of economic policy uncertainties,and maintain a stable and healthy financial market.
作者
李程
张恒玮
LI Cheng;ZHAN Hengwei(School of Economics and Management,Tiangong University)
出处
《金融市场研究》
2024年第3期98-111,共14页
Financial Market Research
关键词
经济政策不确定性
国债利率期限结构
股票市场
时变向量自回归
Economic Policy Uncertainty
Term Structure of Treasury Bond Interest Rates
Stock Market
TimevaryingVectorAutoregression
