中国经济政策不确定性与亚洲股市的动态关系——基于时变Copula模型的分析  

The Relationship between Economic Policy Uncertainty in China and Asian Stock Markets——Based on the Dynamic Copula Model

作　　者：韩菲 王超 Han Fei;Wang Chao

机构地区：[1]南开大学金融学院

出　　处：《投资研究》2018年第7期103-114,共12页Review of Investment Studies

摘　　要：本文基于GED分布的GJR-GARCH(1,1)-时变Copula模型研究了中国经济政策不确定性与亚洲主要国家(地区)股市的动态关系。结果表明:中国经济政策不确定性指数对亚洲股市的影响有限;从影响方向上来看,两者相关性的方向是时变的;中国经济不确定性与中国香港、新加坡、日本、马来西亚的股市收益率基本呈现负相关的关系。总体来讲,本文认为一国股市收益的变动更多的是受本国经济政策不确定性的影响,而对其他国家(地区)经济政策不确定性冲击的反应并不敏感。We study the dynamic correlations between EPU in China and the stock markets in Asia.Based on the time varying copula model,we find that the EPU index has limited influence on the considered stock markets.In addition,the signs of the correlations between EPU in China and the stock markets in Asia are time-varying.Moreover,China's economic policy uncertainty is negatively correlated with stock market yields in Hong Kong,Singapore,Japan and Malaysia.In general,this paper argues that the volatility of a country's stock returns is more influenced by the uncertainty of its own economic policies,while it is not sensitive to the impact of uncertainty of other countries'economic policies.

关 键 词：经济政策不确定性 亚洲股市 时变COPULA 

分 类 号：C15[社会学] O21[理学—概率论与数理统计]