经济政策不确定性对中国股市波动率的影响  

The Impact of Economic Policy Uncertainty on China’s Stock Market Volatility

作　　者：邢艳春[1] 廖晗 XING Yan-chun;LIAO Han(School of Statistics,Jilin University of Finance and Economics,Changchun 130117,China)

机构地区：[1]吉林财经大学统计学院,吉林长春130117

出　　处：《统计与信息论坛》2023年第1期71-80,共10页Journal of Statistics and Information

基　　金：国家自然科学基金项目“社交媒体环境下学术成果的影响力研究——基于社会网络和传播视角”(71971096);吉林省教育厅科学技术研究项目“高维总体均值向量和协方差矩阵的同时检验”(JJKH20210883KJ)。

摘　　要：借鉴REGARCH-MIDAS SK模型的建模思路及框架,引入经济政策不确定性指数(CEPU),提出了REGARCH-MIDAS-CEPU SK模型,该模型优势在于可将高频日内数据与低频不确定性指数数据结合,同时考虑股市收益率的多种特性,能够准确分析经济政策不确定性对股市波动的影响机理。采用上证综指收盘价日度数据和经济政策不确定性指数及其细化指数月度数据,利用引入了经济政策不确定性的双因素REGARCH-MIDAS SK(REGARCH-MIDAS-CEPU SK)模型,实证分析总体和细化经济政策不确定性对股市波动率的影响作用。实证结果表明:提出的双因素模型在样本内拟合与样本外预测实证中,其性能均优于现有双因素模型,说明该模型的提出具有显著的理论与实践意义。此外,研究证明各类经济政策不确定性水平增加均会促进股票市场波动,其中货币政策和贸易政策不确定性对股票波动长期趋势影响较大,贸易政策不确定性对股市波动率的影响持续时间较长,股市波动对财政政策以及外汇和资本账户政策不确定性变动较为敏感,由此可见四类经济政策不确定性对股市波动的影响机理各不相同。When the financial market is still developing, its performance is not consistent with the efficient market theory, especially the most volatile stock market.China’s stock market is often referred to as a “policy-driven market” because the government adjusts or introduces policies in time to intervene in the direction of the stock market when there are large fluctuations.Because of this, economic policy uncertainty is derived, which can not be directly or expected to be observed, which makes economic policy uncertainty gradually become the focus of the market.Therefore, the study of the impact of economic policy uncertainty and stock market volatility is of great help to explore the causes of abnormal stock market volatility and forecast stock market volatility, and also provides a new perspective for the majority of investors and policy makers.The paper refers to the REGARCH-MIDAS SK model, to introduce and propose the REGARCH-MIDAS-CEPU SK(economic policy uncertainty Index) model.The advantage of the model is that the high frequency intra-day data can be combined with the low frequency uncertainty index data.Considering the various characteristics of stock market return rate, can more accurately analyze the influence mechanism of economic policy uncertainty on stock market volatility.The opening price of Shanghai Composite Index is selected as the proxy variable of China’s stock market returns and the monthly data of the CEPU.The subdivision indexes include four types of policy uncertainty indexes, namely fiscal policy index, monetary policy index, trade policy index, foreign exchange and capital account index.On this basis, firstly, the two-factor REGARCH-MIDAS-CEPU SK model constructed in this paper was compared with the GARCH-MIDAS-CEPU and REGARCH-MIDAS-CEPU models constructed in previous studies to compare the fitting effect and prediction accuracy, and the empirical evidence proved that the two-factor model constructed in this paper had high model performance.To comprehensive economic policy uncert

关 键 词：各类经济政策不确定性 股市波动率 REGARCH-MIDAS-CEPU SK 

分 类 号：F830.91[经济管理—金融学]