【摘要】：通過構(gòu)建推廣型T-GARCH模型檢驗(yàn)了央行貨幣政策調(diào)整對(duì)我國(guó)外匯市場(chǎng)、利率市場(chǎng)及股票市場(chǎng)波動(dòng)的影響。其特別之處是區(qū)分了貨幣政策的可預(yù)見部分與不可預(yù)見部分的差別,并據(jù)此對(duì)三類主要市場(chǎng)的貨幣政策意外調(diào)整反應(yīng)進(jìn)行了系統(tǒng)性探討。檢驗(yàn)結(jié)果顯示,貨幣政策調(diào)整對(duì)外匯市場(chǎng)、利率市場(chǎng)及股票市場(chǎng)資產(chǎn)價(jià)格波動(dòng)的影響具有非對(duì)稱性特點(diǎn);利率市場(chǎng)對(duì)貨幣政策調(diào)整之未可預(yù)見部分的反應(yīng)具有及時(shí)性和持續(xù)性特點(diǎn),而外匯市場(chǎng)與股票市場(chǎng)對(duì)貨幣政策的反應(yīng)較弱。
[Abstract]:By constructing an extended T-GARCH model, this paper examines the influence of the adjustment of the central bank's monetary policy on the volatility of China's foreign exchange market, interest rate market and stock market. It distinguishes the predictable part from the unforeseeable part of monetary policy, and makes a systematic study on the unexpected adjustment of monetary policy in the three main markets. The results show that the effects of monetary policy adjustment on the volatility of asset prices in foreign exchange market, interest rate market and stock market are asymmetric. The response of the interest rate market to the unforeseen part of the monetary policy adjustment has the characteristics of timeliness and persistence, while the foreign exchange market and the stock market have a weak response to the monetary policy.
【作者單位】： 西北農(nóng)林科技大學(xué)經(jīng)濟(jì)管理學(xué)院;山西大同大學(xué)商學(xué)院;
【分類號(hào)】：F822.0;F832.5;F224

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本文編號(hào)：2383852