發(fā)布時間：2018-07-20 18:48

【摘要】：利率變動對股票市場和債券市場的沖擊是國內(nèi)外學(xué)術(shù)界和政府管理層重點關(guān)注的問題之一。本文利用定單流蘊含利率變動的跨市場信息含量,構(gòu)建似不相關(guān)模型檢驗了利率變動的跨市場效應(yīng),建立時變參數(shù)狀態(tài)空間模型刻畫了利率變動跨市場效應(yīng)的時變特征。實證結(jié)果顯示,利率變動引起股票市場和國債市場、股票市場和企業(yè)債市場之間的投資轉(zhuǎn)移以及國債市場和企業(yè)債市場之間的風(fēng)險傳染。利率變動通過國債市場對股票市場產(chǎn)生了負(fù)向跨市場沖擊,通過企業(yè)債市場對股票市場產(chǎn)生了正向跨市場沖擊。國債市場和企業(yè)債市場是利率變動跨市場效應(yīng)的傳導(dǎo)渠道。
[Abstract]:The impact of interest rate changes on the stock market and bond market is one of the key issues of academic and government management at home and abroad. In this paper, the cross-market effect of interest rate change is tested by using the cross-market information content of order flow, and the time-varying parameter state space model is established to describe the time-varying characteristics of cross-market effect of interest rate change. The empirical results show that the change of interest rate leads to the transfer of investment between the stock market and the bond market, and the risk contagion between the bond market and the enterprise bond market. The change of interest rate has a negative cross-market impact on the stock market through the national debt market and a positive cross-market impact on the stock market through the enterprise bond market. The bond market and the enterprise bond market are the transmission channels of the cross-market effect of interest rate change.
【作者單位】： 電子科技大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：四川省軟科學(xué)研究計劃資助項目(2008ZR0016)
【分類號】：F224;F822;F832.51

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相關(guān)期刊論文 前6條

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本文編號：2134428