地缘政治风险对数字货币市场波动的影响研究——基于GARCH-MIDAS模型实证分析  

Research on the Influence of Geopolitical Risk on the Cryptocurrency Market Volatility:Empirical Analysis Based on GARCH-MIDAS Model

作　　者：柏建成 张利霞[2] 严翔[3] 曾汇淋[4] BAI Jiancheng;ZHANG Lixia;YAN Xiang;ZENG Huilin(Jiangsu Yangtze River Economic Belt Research Institute,Nantong University,Nantong 226019,China;School of Business,Yancheng Teachers University,Yancheng 224002,China;School of Business,Hohai University,Nanjing 211100,China;School of Economics and Management,Southwest Jiaotong University,Chengdu 610013,China)

机构地区：[1]南通大学江苏长江经济带研究院,江苏南通226019 [2]盐城师范学院商学院,江苏盐城224002 [3]河海大学商学院,江苏南京211100 [4]西南交通大学经济管理学院,四川成都610013

出　　处：《运筹与管理》2023年第6期152-158,共7页Operations Research and Management Science

基　　金：国家社会科学基金项目(21BJY254);江苏省社会科学基金一般项目(21GLB012);中央高校基本科研业务费专项资金项目(B220201055)。

摘　　要：从地缘政治风险角度出发,采用GARCH-MIDAS模型,检验了不同地缘政治风险指数对比特币及整个数字货币市场波动率的影响及预测能力。全样本结果表明,地缘政治风险是影响比特币和数字货币市场波动率的重要因素,除印尼外,其余地缘政治风险指数对比特币波动率均存在显著的负面影响;不同的地缘政治风险指数对数字货币市场波动率的影响存在异质性。样本外预测结果说明,地缘政治行为(GPA)和地缘政治威胁指数(GPT)分别对比特币和数字货币市场的波动率拥有最佳的预测能力。进一步提出,地缘政治风险是数字货币市场波动的关键外部驱动因素,监管机构应着重关注地缘政治风险的变化,避免数字货币市场的非常规波动影响到国内的金融市场。Cryptocurrency has emerged as a new form of liquidity and investment since their market value exploded in 2017.In the short term,the market fluctuation of cryptocurrency is affected by investor sentiment,economic environment,political situation and other uncertain factors.The market fluctuation trend is extremely unstable and is still in an invalid or weak effective state.The bubble caused by the malicious speculation of speculators in the immature cryptocurrency market will seriously affect the current financial order,even induce risks in the financial system and affect the overall national security.Based on the fundamental needs of “preventing and defusing major financial risks” and “adhering to the overall national security concept”,it is particularly important and necessary to build an effective regulatory system for the financial risks that may rise from digital currencies in advance,promote the healthy,orderly and sustainable development of digital finance,and ensure the stability of the financial system and the overall national security in the new era.How to discover the factors driving the volatility of digital currency market from the uncertainties has become the focus of scholars.One of these uncertainties is geopolitical risk,which not only reflects tensions among countries,but also affects various economic activities such as finance and investment.The change of geopolitical risk is reflected in the financial market,which most obviously causes the price fluctuation of financial assets.As an emerging financial asset,digital currency may also be affected by geopolitical risk.Therefore,it is necessary to start from the perspective of geopolitical risk,explore the impact of the uncertainty caused by geopolitical risk on the volatility of digital currency market,verify the prediction effect of the change of geopolitical risk index on the price volatility of digital currency,and then judge the market trend of digital currency,so as to provide the basis for the policy making of regulatory authorities

关 键 词：地缘政治风险 数字货币 波动率 GARCH-MIDAS 

分 类 号：F831.5[经济管理—金融学]