经济周期与证券市场波动关联性——基于向量SWARCH模型的新证据  

Study On Correlation between Business Cycle and Volatility of Security Markets in China Based on Bivariate SWARCH Model

作　　者：丁志国[1] 苏治[2] 杜晓宇[1] 

机构地区：[1]吉林大学数量经济研究中心 [2]清华大学经济管理学院

出　　处：《数量经济技术经济研究》2007年第3期61-68,80,共9页Journal of Quantitative & Technological Economics

基　　金：2006年国家社会科学基金(06CJL006);2005年国家自然科学基金(70573040);2005年教育部重大项目(05JJD790005);中国博士后科学基金(20060390269);985国家经济分析与预测哲学社会科学创新基地资助

摘　　要：本文认为关于经济周期与证券市场波动关联性研究结论的分歧源自仅注重样本区间内整体关联性的检验,忽视了分析经济增长不同阶段与证券市场波动的特定关联性。基于向量SWARCH模型,本文实证检验了我国GDP增长率与证券收益率间的关联性,结论表明,虽然“整体关联性”检验不支持经济周期与市场波动间存在显著相关性的结论,但“状态相关系数”却显示两者间的关联性具有“区制转移”特征,并体现了对前者依赖的“门限效应”和“非对称效应”。There is still a divergence of opinions on correlation between business cycle and volatility of security markets, which is considered as neglect on state -dependent correlation test in our research. In this paper, based on a bivariate SWARCH Model, we examine the correlation between the GDP growth and security markets return in China. It has been found that the constant correlations between the business cycle and volatility of security markets were weak in the term of entire period, which is supported by other conclusions, but the state- dependent coefficient model shows that the correlations between them is regime- switching significant. The regime- dependent correlations give evidences for ＂threshold effect＂ and ＂asymmetric effect＂ of volatility of security markets depending on China＇s business cycle.

关 键 词：经济周期 证券市场 向量SWARCH模型 关联性 

分 类 号：F830.91[经济管理—金融学]