基于Copula理论的宏观经济与股票市场相关性研究  

The Correlation between Macro-economy and Stock Market Based on the Copula Model

作　　者：张妮[1] 杨一文[1] 

机构地区：[1]西北工业大学管理学院,西安710129

出　　处：《价值工程》2014年第33期3-6,共4页Value Engineering

基　　金：国家社会科学基金一般项目(13BJY012);教育部人文社会科学研究基金规划项目(09YJA2H073)

摘　　要：为了刻画宏观经济与股票市场波动间的相关性,在静态Copula模型的基础上,应用了一种全新的条件动态Copula(DCC-Copula)技术,它可以捕捉到经济变量间动态的相关结构。结合Gaussian-GARCH模型和DCC-Copula函数,建立了DCC Copula-GARCH模型全面对宏观经济变量与股票市场之间相关性进行了分析。结果说明,随着时间的变化,宏观经济与股票市场波动之间存在着较稳定的正相关关系。In order to depict the correlation between macro economy and volatility of stock .market. This paper applies a new kind of dynamic conditional correlation-Copula technology based on the model of static Copula. And this DCC-Copula model can capture the dynamic correlation structure between the economic variables. Combining Gaussian-GARCH model with DCC-Copula function, the paper builds DCC Copula-GARCH model and makes a full correlation analysis of macro-economic variables and stock market. The result shows that there has been a relatively stable positive correlation ship as the time gone.

关 键 词：宏观经济 股票市场 相关性 DCC—Copula 

分 类 号：F830.91[经济管理—金融学]