美国经济政策不确定性对中国金融市场的影响分析  

The Impact Analysis of Uncertainty of American Economic Policy on China s Financial Market

作　　者：司颖华 李淑云 SI Ying-hua;LI Shu-yun

机构地区：[1]兰州财经大学统计学院 [2]墨尔本大学经济系

出　　处：《中央财经大学学报》2021年第10期43-51,共9页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金“贝叶斯潜在阈值TVP-FAVAR模型的构建及其应用”(项目编号:72063022);“基于混频FASTVAR模型的FCI构建及其应用”(项目编号:71763016);甘肃省自然科学基金项目“潜在阈值TVP-FAVAR模型的构建及其应用”(项目编号:21JR1RA282);甘肃省优秀博士基金项目“基于TVP-FAVAR模型的我国货币政策效应分析”(项目编号:2021QB-087)。

摘　　要：本文首先基于贝叶斯时变VAR模型构建了中国金融市场状况指数(Financial Conditions Index,缩写为FCI)来表征金融市场的整体状况。进而选取美国经济政策不确定性(Economic Policy Uncertainty,缩写为EPU)指数来表征经济政策不确定性特征。最后,基于互谱分析和小波分析,在不同的周期上测度了美国EPU对中国具体的股票市场和外汇市场以及整个金融市场状况的影响。笔者通过分析发现:从短期波动来看,美国经济政策的变动对中国股票市场有一定的影响;从中期波动来看,美国经济政策的变动对中国整个金融市场状况也有一定的影响;但从长期变动来看,美国经济政策的变动对中国金融市场没有显著的影响。因此,中国在应对中美贸易摩擦问题上只需更好地发展和完善自身外汇市场和股票市场在内的金融市场,便可使中美贸易摩擦对中国金融市场的影响降到最小。Firstly,based on Bayesian time-varying VAR model,the paper constructs the financial conditions index(FCI)to represent the overall situation of China s financial market.Then,the economic policy uncertainty index is selected to represent the uncertainty of economic policy.Finally,based on cross spectrum analysis and wavelet analysis,the influence of the U.S.EPU on the stock market and foreign exchange market and the overall financial market in China is measured in different periods.The author finds that,from the perspective of short-term fluctuation,the changes of American economic policy have a certain impact on China s stock market.From the perspective of medium-term fluctuation,the changes of American economic policies have a certain impact on the overall financial market situation of China.But from a long-term changes perspective,the changes of American economic policies have no significant impact on China s financial market.Therefore,China needs to develop and improve its own foreign exchange market and stock market in order to minimize the impact of Sino US trade friction on China s financial market.

关 键 词：经济政策不确定性 中国FCI 互谱分析 小波分析 

分 类 号：F832[经济管理—金融学]