我国金融市场间的联动关系：基于结构冲击的溢出效应分析
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| Title | The Co-movement within Financial Markets of China: An Analysis to the Spillover Effects of Structural Shocks
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| 作者 | 刘磊 吕元祥 王宇 柳欣 |
| Author | Liu Lei，Lv Yuanxiang，Wang Yu and Liu Xin |
| 作者单位 | 博时基金宏观策略部；南开大学经济研究所；澳大利亚国立大学Crawford学院 |
| Organization | the Macroeconomic Strategy Department of Bosera Funds;Nankai Institute of Crawford School of Public Policy, Australian National University |
| 作者Email | liulei@bosera.com；richardloi@163.com；yosuke5659@hotmail.com； |
| 中文关键词 | 溢出效应 金融市场 结构冲击 |
| Key Words | Spillover Effect; Financial Market; Structural Shocks |
| 内容提要 | 本文提出了一种关于金融市场间溢出效应的研究框架：利用基于金融市场间多元GARCH效应识别方法的结构VAR模型和结构GARCH模型，首次构造出均值溢出和波动溢出指数模型，并对我国外汇市场、债券市场、股票市场和货币市场之间的均值和波动溢出效应进行了实证分析。研究发现：我国金融市场间的同期关系较为显著，且大部分与金融学基础假说相吻合；股市和债市间的均值溢出效应强于其它市场间的均值溢出；各市场间的波动溢出效应明显强于均值溢出效应；并且股市对其它市场的溢出效应最为显著。这些证据可以为央行制定和执行货币政策提供重要的参考依据，以提高政策的有效性，并降低宏观金融风险。 |
| Abstract | The paper presents a framework for analyzing the spillover effect of financial markets: utilizing the structural VAR and structural GARCH model identified through multi-GARCH effect, we firstly propose mean and volatility spillover index, and empirically investigates the spillover effect within exchange market, bond market, stock market, and money market of China. The results indicate that there are strong contemporaneous interactions among these markets, and mostly matching the basic financial theories; the mean spillover effect between stock market and bond market is stronger than others; the volatility spillovers are much stronger than mean spillovers; and the spillover effect from stock market is more significant than from others. These new evidence may help the monetary authority make more effective policy and decrease the macro-financial risk. |
| 文章编号 | WP514 |
| 登载时间 | 2013-08-28 |
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