我国汇市、股市和债市的波动溢出效应研究——基于“8?11汇改”的经验分析  

The Volatility Spillover Effects Study between the China's Foreign Exchange, Stock Market and Bond Market——An Empirical Analysis Based on the “8?11 Exchange Reform”

作　　者：肖芝露 尹玉良[1] 

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《金融理论与实践》2018年第9期82-87,共6页Financial Theory and Practice

摘　　要：根据2015年8月12日—2018年3月30日的人民币兑美元汇率收益率、上证指数收益率以及企债指数收益率日数据对我国汇市、股市以及债市的波动溢出效应进行详细研究。研究发现:汇市收益率和股市收益率都具有较强的ARCH、GARCH效应,即方差时变性和波动持久性,但债市收益率ARCH效应并不显著;汇市的前期异常冲击对股市的条件波动影响显著;股市和债市相互间有较强的波动溢出效应,且债市对股市的波动溢出效应强于股市对债市的波动溢出效应;债市和汇市之间并无显著的波动溢出效应。基于此结论,提出以下建议:监控国际资本流动;注重汇市预期引导,完善汇率形成机制;提高参与者风险预判能力,改善信息沟通机制;协调金融监管和跨市场监管。This paper makes a detailed study on the volatility spillover effect of China’s foreignexchange market,stock market and bond market according to the exchange rate of exchange rate ofRMB against US dollar,Shanghai stock index returns rate and the rate of yield of debt index fromAugust12,2015to March30,2018.The results are as follows:Both the rate of return of the bondmarket and the rate of return of the stock market have strong ARCH and GARCH effects,that is,timevaryingproperty of variance and the persistent property of wave,but the ARCH effect of the bondmarket returns is not significant;the early abnormal shocks of the exchange market have a significantimpact on the condition fluctuation of the stock market,and there is a strong two-way volatility spillovereffect between the stock market and the bond market,and the volatility spillover effect of the bondmarket on the stock market is stronger than the volatility spillover effect of the stock market on the bondmarket,and there is no significant volatility spillover effect between the bond market and the exchangemarket.Based on this conclusion,the following suggestions are put forward:monitoring the flow ofinternational capital,focusing on the expected guidance of the exchange market,improving theexchange rate formation mechanism,improving the risk prejudging ability of the participants,improvingthe information communication mechanism,and coordinating the financial supervision and cross marketsupervision.

关 键 词：汇市 股市 债市 波动溢出效应 JOHANSEN检验 BEKK-GARCH模型 8.11汇改 

分 类 号：F830.91[经济管理—金融学]