信心对金融市场的动态非对称影响研究——基于动物精神视角

Research on the Dynamic Asymmetric Influence of Confidence on Financial Markets——Based on the Perspective of Animal Spirit

本文基于动物精神视角,利用1999年1月至2019年9月的月度数据构建动态非线性自回归分布滞后(NARDL)模型,研究信心对我国金融市场的非对称影响。结果表明,在动物精神视角下,信心对金融市场的影响存在明显的非对称特征,且在短期和长期影响上存在差异。具体而言,信心的正向冲击对金融市场的短期影响较大,而负向冲击对金融市场的长期影响更大,破坏性更强。同时,本文进一步探究了金融改革背景下两者的影响关系,发现金融改革阶段信心对金融市场的影响呈现高度对称性、稳定性以及持久性的新特征,表明该阶段稳定信心在平抑金融市场波动方面发挥着重要的作用。

Based on the perspective of the animal spirit,this paper uses the monthly data from January 1999 to September 2019 to build a dynamic nonlinear autoregressive distribution lag(NARDL)model to study the asymmetric impact of confidence on China’s financial market.The results show that:from the perspective of the animal spirit,the impact of confidence on the financial market has obvious asymmetric characteristics,and there are differences in the short-term and long-term impact.Specifically,the positive impact of confidence has a greater short-term impact on the financial market,while the negative impact has a greater long-term impact on the financial market and is more destructive.At the same time,this paper further explores the relationship between the two under the background of financial reform,and finds that the impact of confidence on the financial market in this stage presents a new feature of high symmetry,stability and durability,indicating that stable confidence in this stage plays an important role in stabilizing financial market volatility.