经济政策不确定性对中国股市波动的影响  

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

作　　者：陈昌玉 张宇梅 Chen Changyu;Zhang Yumei(School of Finance,Nanjing Audit University,Nanjing 211815)

机构地区：[1]南京审计大学金融学院,江苏南京211815

出　　处：《中阿科技论坛（中英文）》2023年第7期81-85,共5页China-Arab States Science and Technology Forum

基　　金：教育部人文社会科学研究规划基金项目“数字普惠金融背景下农村相对贫困家庭金融韧性提升机制研究”(22YJA790043)。

摘　　要：目前我国实体经济正处在转型的关键时刻,股票市场作为资金的蓄水池对推动实体经济及践行国家发展战略层面具有重要意义。文章使用GARCH-MIDAS模型,研究发现经济政策不确定性对中国股市波动的影响在不同时期具有差异性,在中国后股灾时期有负向影响,在金融稳定时期和后金融危机时期有正向影响。研究结果可为政府相关部门制定高效的股市调控政策和监管措施提供参考。At present,China’s real economy is at a critical moment of transformation,and the stock market,as a reservoir of funds,is of great significance in boosting the real economy and implementing national development strategies.The article uses GARCH-MIDAS model to find that the impact of economic policy uncertainty on the volatility of China’s stock market varies in different periods,with a negative effect during the post crash period and a positive effect during the stable period and post-financial crisis period.The research findings can provide reference for relevant government departments in formulating efficient market regulation policies and regulatory measures.

关 键 词：经济政策不确定性 股市波动 GARCH-MIDAS 

分 类 号：F832.51[经济管理—金融学]