经济政策不确定性与股票市场波动性之间的跨类及跨国关联:来自中美两国的经验证据  

Cross-category and Cross-border Connectedness between Economic Policy Uncertainty and Stock Market Volatility:Evidence from China and the U.S.

作　　者：潘长春 王伟强 PAN Changchun;WANG Weiqiang

机构地区：[1]吉林大学经济学院 [2]郑州大学商学院

出　　处：《世界经济研究》2022年第11期89-105,M0003,M0004,共19页World Economy Studies

基　　金：国家社会科学基金青年项目“美国经济政策不确定性对中国经济的溢出效应及其传导机制研究”(项目编号:19CJL053)的资助。

摘　　要：文章基于时域溢出指数、频域溢出指数以及非对称溢出指数,对中美两国3种类型经济政策不确定性和股票市场波动性之间的跨类及跨国关联进行了静态和动态分析。研究结果表明:第一,在中美两国国内,财政政策不确定性与货币政策不确定性之间的跨类关联度最高;在中美两国之间,经济政策不确定性的跨国关联主要通过贸易政策不确定性实现,而且两国贸易政策不确定性的关联度在中美贸易摩擦爆发后大幅上涨。第二,中美两国经济政策不确定性和股票市场波动性之间产生的跨类及跨国关联效应在长期和短期具有截然不同的变化特征,同时各变量之间的关联效应大多是在长期形成的。第三,中国或美国股票市场的波动性与其本国货币政策不确定性的关联度明显高于其他两类经济政策不确定性,但随着中美贸易摩擦的爆发,美国贸易政策不确定性对中国股票市场波动性造成了较强的溢出效应。第四,不同类型经济政策不确定性对中美股票市场波动性都存在非对称溢出效应,在两国股票市场波动最为剧烈的时期,经济政策不确定性对股票市场“坏的波动”的总体溢出效应均大于“好的波动”。Based on time-domain spillover index,frequency-domain spillover index and asymmetric spillover index,this paper makes a static and dynamic analysis on cross-category and cross-border connectedness between three different categories of economic policy uncertainty and stock market volatility in China and the United States. The results show that,firstly,in China or the United States,the cross category connectedness between fiscal policy uncertainty and monetary policy uncertainty is the highest. Between China and the United States,the cross-border connectedness of economic policy uncertainty is mainly enabled through trade policy uncertainty,and the connectedness of trade policy uncertainty between two countries has increased significantly after the outbreak of the Sino-US trade war. Secondly,the cross-category and cross-border connectedness between economic policy uncertainty and stock market volatility in China and the United States has different characteristics in the long-term and short-term,and the connectedness is mainly dominated by long-term spillover. Thirdly,the connectedness between stock market volatility and domestic monetary policy uncertainty in China or the United States is significantly higher than that in the other two categories of economic policy uncertainty,and with the outbreak of the Sino-US trade war,the U. S. trade policy uncertainty has caused a relatively significant spillover effect on China’s stock market volatility. Fourthly,different categories of economic policy uncertainty have asymmetric spillover effects on the volatility of Chinese and American stock markets. When the stock markets of the two countries fluctuate most violently,the overall spillover effect of economic policy uncertainty on the " bad volatility" of the stock market is greater than that of " good volatility".

关 键 词：经济政策不确定性 股票市场波动性 时域 频域 非对称溢出效应 

分 类 号：F832.51[经济管理—金融学] F837.12F120F171.2