我国股票市场和汇率市场的波动溢出效应及非对称性研究  

A Study of the Volatility Spillover Effects of China s Exchange and Stock Markets:Empirical analysis based on GARCH family model

作　　者：乔瑞 唐彬 QIAO Rui;TANG Bin(Center for Experimental Economics in Education(CEEE),Shaanxi Normal University,Xi an 712062,China;People s Bank of China Xianyang Branch,Xianyang 712000,China)

机构地区：[1]陕西师范大学教育实验经济研究所,咸阳712062 [2]中国人民银行咸阳市分行,咸阳712000

出　　处：《中国证券期货》2024年第1期66-72,80,共8页Securities & Futures of China

基　　金：咸阳市软科学研究计划(L2023-RKX-SJ-011);陕西省自然科学基金项目(2023-JC-QN-0784);中央高校基本科研业务费专项资金项目(2022ZYYB23)。

摘　　要：本文运用GARCH族模型系统分析了疫情发生后我国汇率市场和股票市场的波动溢出效应及其非对称性。实证结果发现:第一,BEKK-GARCH模型结果表明股票市场对汇率市场存在单向的、不对称的波动溢出效应。第二,TGARCH模型表明股票市场和汇率市场都存在非对称性,股票市场和汇率市场中坏消息引起的波动比同等好消息引起的波动要大。第三,DCC-GARCH模型表明股票市场上涨与人民币升值之间存在正向动态相关性,且相关关系愈加紧密。基于此,本文从完善人民币汇率形成机制、加强跨境资金监管、稳步推进资本项目扩大开放等方面提出相关政策建议。This paper analyzes the volatility spillover effects and their asymmetry in China s foreign exchange rate market and stock market after the epidemic using the GARCH family system.The empirical results find that:first,at the volatility spillover level,the BEKK-GARCH model results indicate that there is a unidirectional,asymmetric volatility spillover effect from the stock market to the exchange rate market.Second,the TGARCH model suggests that there is asymmetry in both the stock and exchange rate markets,and that the volatility induced by bad news is greater than that induced by equivalent good news in both the stock and exchange rate markets.Third,the DCC-GARCH model shows that there is a positive dynamic correlation between stock market rise and RMB appreciation,and the correlation is getting stronger.Based on this,this paper puts forward relevant policy recommendations in terms of improving the RMB exchange rate formation mechanism,strengthening cross-border capital supervision,and steadily promoting the expansion and opening up of the capital account.

关 键 词：人民币汇率 BEKK-GARCH模型 TGARCH模型 DCC-GARCH模型 

分 类 号：F83[经济管理—金融学]