经济不确定性是股市波动的因子吗?——基于GARCH-MIDAS模型的分析  

Does Economic Uncertainty Matter for Stock Market Volatility?An Analysis Based on GARCH-MIDAS

作　　者：夏婷[1] 闻岳春[1] XIA Ting;WEN Yue-chun(School of Economics and Management,Tongji University,Shanghai 201804,China)

机构地区：[1]同济大学经济与管理学院

出　　处：《中国管理科学》2018年第12期1-11,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金面上项目(71273190)

摘　　要：本文运用混频模型(GARCH-MIDAS)分析了经济不确定性对中国股市波动率的影响。经济不确定性包括宏观经济不确定性和经济政策不确定性两方面。总体来说,经济不确定性会影响中国股市的波动,但强度有限,且A股、B股间表现出差异。经济运行(IP)和消费(inf)中的不确定性是A股、B股共同的波动因子,且IP的贡献度最高;货币政策(IR)、中国经济政策不确定性(CEPU)对A股无显著影响,但会显著影响B股的长期波动趋势;美国经济政策不确定性(AEPU)的影响则不显著。加入显著性指标有助于提高波动率的预测精度,混频模型为分析股市波动中的长期趋势和短期波动提供了一个新视角,有助于识别股市波动中的经济影响因素。The reaction of Chinese stock market to economic uncertainty has always been an important issue for practitioners and researchers.In theory,stock market tends to be more volatile when economic environment is unstable.With the rapid development of stock market in China,we are concerned about how uncertainty from economics impact stock market.The GARCH-MIDAS introduced by Engle et al.(2013)is employed to investigate whether information contained economic uncertainty can help to predict long-term components of the Chinese A-share and B-share variance.Economic uncertainty used in this paper includes macroeconomic uncertainty and economic policy uncertainty(EPU).Our sample consists of daily stock returns and monthly economic variables from January 2003 through December 2016.ARIMA models are used to remove the trends,leaving residuals as economic uncertainty variables before incorporated into MIDAS specification.The empirical analysis indicates that economic uncertainty would impact stock market volatility in a slight way,and difference exists between A-share and B-share.IP(Industrial Production)growth rate and inflation rate contribute to the volatility of A-share and B-share,IP is the most significant factor.Neither monetary policy nor Chinese EPU contributes to A-share volatility,while they are factors of B-share volatility.American EPU doesn’t significantly drive Chinese stock market fluctuate.Furthermore,variance decomposition verifies our conclusion.MIDAS approach is an appropriate way to investigate long-term component and short-term component of stock market volatility,which helps to identify economic factors driving Chinese stock market volatility.

关 键 词：股市波动 宏观经济不确定性 经济政策不确定性 GARCH-MIDAS 

分 类 号：F830[经济管理—金融学]