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| 文章编号：1672-3104(2015)04-0105-08 |
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宏观经济与中美股市动态相关性研究 |
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刘伟江，丁一，隋建利 |
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（吉林大学数量经济研究中心，吉林长春，130012） |
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| 摘 要： 对中美股市的动态相关系数及宏观经济变量对股市联动性的影响效应进行了实证研究。结果表明，自QDII出台后中美股市相关性进入了一个相对平稳的上升通道，但经济危机爆发时相关性却表现出短期下降后迅速增加的走势。另外，汇率政策调整对两市关联性的冲击最为显著，而我国货币供给量冲击虽然效果较弱，但其政策见效迅速。整体而言我国货币政策冲击对两市联动性影响更为显著。 |
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| 关键词： 动态相关；货币政策；汇率；DCC-MGARCH模型；MS-VAR模型 |
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Liu Weijiang, DING Yi, SUI Jianli |
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（Center for Quantitative Economics of Jilin University, Changchun 130012, China） |
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| Abstract: By analyzing macro-economic factors with the DCC-MGARCH model and MS-VAR model, the essay studies the dynamic co-movement of the China’s and the US stock market, and the effect of macroeconomic variables in different correlation regimes. The findings show that, with the QDII system implementation, the co-movement of China’s stock market with the US stock markets has been increasing. When the economic crisis broke out, the reletivity between the markets declined first for a short term but then increased rapidly. In addition, according to the impulsive effect, the exchange rate policy has the most significant effect at all times. The shock effect of our money supply is relatively weak, but very quick. In all, compared with the US monetary policy, Chinese policy exerts more significant effect. |
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Key words: co-movement; monetary policy; exchange rate; DCC-MGARCH model; MS-VAR model |
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