经济政策不确定性与股市波动关系研究  

The Correlation Research between Economic Policy Uncertainty and Stock Market Volatility

作　　者：石强 杨一文[1] 刘雅凯 SHI Qiang;YANG Yi-wen;LIU Ya-kai(School of Management,Northwestern Polytechnical University,Xi'an 710129,China)

机构地区：[1]西北工业大学管理学院,西安710129

出　　处：《价值工程》2019年第5期192-196,共5页Value Engineering

基　　金：基于独立成分分析的宏观经济与股票市场多尺度波动关系研究(国家社会科学基金一般项目:13BJY012)

摘　　要：采用月度中国经济政策不确定指数作为我国经济政策不确定性的代理变量,借助GARCH-MIDAS模型研究了我国经济政策不确定性对股市波动的影响。研究结果表明,GARCH-MIDAS模型较好的拟合了我国经济政策不确定性与股市波动之间的关系,并且经济政策不确定性波动率对股市波动的长期影响大于其水平值。另外,本文还发现经济政策不确定性对股市波动的影响在不同时期表现出一定的差异性,这主要与当时的经济环境相关。在政策启示上,政府应保持一定经济政策稳定性与持续性,提高政策的透明度,进而降低经济政策的不确定性,使股价在合理范围内波动。Using the monthly China Economic Policy Uncertainty Index as the proxy variable of China's economic policy uncertainty,the GARCH-MIDAS model is used to study the impact of China's economic policy uncertainty on stock market volatility.The result shows that the GARCH-MIDAS model fits well the relationship between China's economic policy uncertainty and stock market volatility,and the long-term impact of economic policy uncertainty volatility on stock market volatility is greater than its level.In addition,the paper also finds that the impact of economic policy uncertainty on stock market volatility shows some differences in different stages of economic development,which is mainly related to the current economic environment.In terms of policy inspiration,the government should maintain the stability and sustainability of economic policies,improve the transparency of policies,reduce the uncertainty of economic policies,so that the stock price fluctuates within a reasonable range.

关 键 词：经济政策不确定性 股市波动 GARCH-MIDAS 混频数据 

分 类 号：F830[经济管理—金融学]