美国货币政策逆转背景下中美股市金融板块间风险相依关系研究  

Research on the Risk Interdependence between the Financial Sectors in the Chinese and American Stock Markets under the Background of the Reversal of US Monetary Policy

作　　者：严佳佳 陈岚 Yan Jiajia;Chen Lan

机构地区：[1]福州大学经济与管理学院

出　　处：《投资研究》2023年第12期104-115,共12页Review of Investment Studies

基　　金：国家社会科学基金项目“金融扩大开放格局下货币政策与宏观审慎政策有效协调研究”(20BJY234)。

摘　　要：本文以美联储量化宽松货币政策逆转为研究背景,基于股票市场信息传染理论,运用互信息和核密度估计相结合的方法分析中国和美国股票市场中各个金融板块之间的风险相依关系,并运用窗口滑动法分析风险相依关系的动态演化过程。研究发现,美联储量化宽松货币政策的推出增强中美股市金融板块之间的风险相依性进而提高金融风险在不同金融市场间传播的可能性,并且我国金融业扩大对外开放政策对子板块的风险相依性影响显著。Based on the information contagion theory of the stock market,this paper analyzes the risk dependence relationship between various financial sectors in the stock market of China and the United States by combining mutual information and kernel density estimation,and analyzes the dynamic evolution of the risk dependence relationship by using the window sliding method.It is found that the launch of the quantitative easing monetary policy of the Federal Reserve enhances the risk dependence between the financial sectors of the Chinese and American stock markets,thus increasing the possibility of financial risks spreading among different financial markets,and the expansion of the opening-up policy of the Chinese financial industry has a significant impact on the risk dependence of the sub-sectors.

关 键 词：货币政策 股市 风险相依 互信息 

分 类 号：F827.12[经济管理—财政学] F832.51F837.12