经济政策不确定性能否驱动股市系统性风险?——基于贝叶斯估计的时变beta检验  

Does the Economic Policy Uncertainty Drive the Systematic Risk of Stock Market?Time-varying Beta Test Based on Bayesian Estimation

作　　者：冯燕妮[1] 莫璇 李翔 FENG Yan-ni;MO Xuan;LI Xiang

机构地区：[1]太原师范学院经济系 [2]中央财经大学统计与数学学院

出　　处：《中央财经大学学报》2020年第6期29-38,共10页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金重大项目“‘互联网+’推动经济转型机理与对等研究”(项目编号:15ZDC024);全国统计科学研究重大项目“经济发展新动能指标体系及测算方法研究”(项目编号:2018LD04);山西省科技厅软科学项目“山西省促进高新技术产业园区发展研究”(项目编号:2017041002-4);山西省哲学社会科学规划课题“山西省债务风险防控与处置机制研究”(项目编号:2019B353)。

摘　　要：笔者基于贝叶斯估计时变参数模型,检验经济政策不确定性是否是驱动股票市场系统性风险β的重要因素,进而探讨融入经济政策不确定性的时变参数模型是否能够提高β估计的准确性。研究结果表明,经济政策不确定性对股市系统性风险具有显著的正向影响,经济政策不确定性越高,中国股票市场系统性风险越大;相比Fama-French五因子模型和Fama-Macbeth回归,融入经济政策不确定性的时变参数模型能够有效提高系统性风险的估计精度,并对股票超额收益具有更强的解释能力;股票异质性对融入经济政策不确定性的时变β具有显著影响,非国有企业、小企业、成长型企业的时变β对股票超额收益率具有更强的解释能力。笔者的研究是对时变β研究的有益补充,亦为不确定性与股市系统性风险关系研究提供了新的证据。Based on the time-varying parameter model of Bayesian estimation,this paper examines whether economic policy uncertainty(EPU)is an important factor driving the systematic risk of stock market,and further explores whether the time-varying parameter model that incorporating EPU can improve the accuracy of estimation.The results show that EPU has a significant positive impact on the systematic risk of stock market.The higher the economic policy uncertainty,the greater the systematic risk of China's stock market.To compare with Fama-French five-factor model and Fama-Macbeth regression,the time-varying parameter model that incorporating EPU has a stronger explanatory power on the systematic risk of China's stock market.The heterogeneity of stocks has a significant impact on the systematic risk of stock market.The time-varying parameter model of non-state-owned enterprises,small enterprises and growth enterprises has stronger explanatory power on the systematic risk of stock market.This paper is a useful supplement to the research of time-varying systematic risk,and also provides new evidences for the relationship between uncertainty and systematic risk of stock market.

关 键 词：经济政策不确定性 资本资产定价模型 系统性风险 时变β 贝叶斯估计 

分 类 号：F832.5[经济管理—金融学]