经济不确定性对股票市场长期波动的非对称效应  

The Asymmetric Effect of Economic Uncertaintyon Long-term Volatility of Stock Market

作　　者：廖文欣[1] 徐晓光[2] LIAO Wen-xin;XU Xiao-guang

机构地区：[1]深圳大学经济学院理论经济学流动站 [2]深圳大学经济学院

出　　处：《中央财经大学学报》2024年第11期89-102,共14页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金面上项目“基于状态空间迁移学习的股票市场跳跃传导与风险溢价研究”(项目编号:72471152);国家自然科学基金面上项目“外部冲击、金融内生性与系统性金融风险研究”(项目编号:72173089)。

摘　　要：本文运用A-GARCH-MIDAS模型深入探讨了宏观不确定性(MU)、经济政策不确定性(EPU)的总体和周期变化对股市长期波动的非对称效应,并进一步解析了两种经济不确定性非线性效应的风格投资异质性。结果显示:(1)MU存在显著的“好”“坏”性质非对称性,而EPU则存在显著的“上升”“下降”趋势非对称性。(2)经济不确定性对股市长期波动的推升作用在其中长期的“恶性”变化中体现,而长期经济不确定性的“良性”变化则具有显著的压降作用。(3)从市场风格来看,“好的”MU变化影响范围较小,但具有市场风格异质性,而EPU的“上升”变化影响范围较大,但影响强度较为接近;从行业风格来看,MU对行业指数长期波动仅存在单方向变化的“边际效应”,且不同性质的变化作用于不同行业,而EPU对行业指数长期波动的非对称效应更为明显。This paper uses the A-GARCH-MIDAS model to specifically analyze the asymmetric impacts of macro uncertainty(MU)and economic policy uncertainty(EPU)on the long-term volatility of the stock market,considering both overall and cyclical changes.It further tests the nonlinear heterogeneous impacts of these two types of economic uncertainty on investment style.The results indicate a significant asymmetry between“good”and“bad”aspects in MU,while there is a significant asymmetry of“upward”and“downward”trends in EPU.The push-up effect of economic uncertainty is evident in“detrimental”medium to long-term changes,whereas“benign”long-term economic uncertainty significantly reduces this volatility.In terms of market style,the“good”changes in MU have a limited impact and exhibit market style heterogeneity,while the“upward”changes in EPU have a broader impact without such heterogeneity.Regarding industrial classification,MU has a marginal and unidirectional impact on sector style,with different nature changes affecting various sectors differently,while the asymmetric effect of EPU on the sector style is more pronounced.

关 键 词：宏观不确定性 经济政策不确定性 股市波动 A-GARCH-MIDAS 

分 类 号：F832.5[经济管理—金融学] F830.91