我国实物资产与金融资产市场的动态相关性研究——基于五元VAR-DCC-MVGARCH模型的系统检验  

Dynamic Correlation Studies on Physical Assets and Financial Asset Market in China——An Empirical Test Based on VAR-DCC-MVGARCH Model

作　　者：李红霞[1] 傅强[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《预测》2012年第2期7-12,17,共7页Forecasting

基　　金：教育部高校博士点基金资助项目(20100191110033);国家自然科学基金资助项目(90924009)

摘　　要：资产市场间的收益和波动相关性方面,许多已有工作并没有形成一致结论。本文从周度时间跨度视角,构建了VAR-DCC-MVGARCH模型,采用了2005年7月至2011年3月的交易数据,在一个框架下考察了我国石油、黄金、利率、汇率和股票市场的动态相关性。结果表明,利率对汇率、石油对汇率、黄金对利率、黄金对石油存在着单向均值溢出效应,仅在股票与黄金市场间具有双向均值溢出效应;各市场波动性之间均具有动态时变特征,其中,股票与利率、汇率与利率、石油与汇率、黄金与汇率具有负相关性,股票与石油、股票与黄金、黄金与利率、黄金与石油间呈现出正向关联。最后,将结果与现有文献进行了比较和探讨。The relationships among asset makets have long been unresolved issues in the finance literature. By constructing the VAR-DCC-MVGARCH model and adopting the weekly data between July 2005 and March 2011, this paper studies mean spillover effects and dynamic conditional correlations among oil, gold, interest rate, exchange rate and stock markets in China. Our findings are as follows. There are uni-directional relations of mean spillover effect from in- terest rate to exchange rate, oil to exchange rate,gold to interest rate and gold to oil, while the meaz/spillover effect be- tween gold and stock markets is bi-directional. Additionally, the correlations of volatility are time-varying in all the ca- ses,and there exist significiantly negative relationships between stock and interest rate, exchange rate and interest rate, oil and exchange rate, and gold and exchange rate. Meantime, the positive correlations are founded between stock and oil, stock and gold, interest rate and gold, and oil and gold. Finally, we compare the results with the existing literature.

关 键 词：均值溢出效应 动态条件相关性 多元GARCH模型 

分 类 号：F830[经济管理—金融学]