The Co-movement within Financial Markets of China: An Analysis to the Spillover Effects of Structural Shocks
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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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| Author | Liu Lei，Lv Yuanxiang，Wang Yu and Liu Xin |
| Organization | the Macroeconomic Strategy Department of Bosera Funds;Nankai Institute of Crawford School of Public Policy, Australian National University |
| Email | liulei@bosera.com；richardloi@163.com；yosuke5659@hotmail.com； |
| Key Words | Spillover Effect; Financial Market; Structural Shocks |
| 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. |
| Serial Number | WP514 |
| Time | 2013-10-15 |
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