摘要
对1996-2006年之间中国短期利率与上证综指之间的动态相关性,运用了动态条件相关的二维GARCH模型和ACC(自回归条件相关)模型进行了实证分析。实证结果表明了2002年之前利率与股指之间动态负相关性比较微弱,说明我国金融市场存在分割性,但是从2002年这种负相关性持续增强,表明中国的金融市场逐渐走向成熟。
This paper investigates the dynamic conditional correlation between stock price and interest rate by employing a dynamic multivariate GARCH model and ACC model. The statistics show that the stock return is negatively correlated with the daily interest rate. The evidence reveals that the correlation coefficient between stock and interest is time varying. Analyzing the dynamic path of the correlation coefficients suggests that the increase in negative correlation from 2002 is related to the mature of Chinese financial market.
出处
《商业经济与管理》
CSSCI
北大核心
2007年第5期47-51,共5页
Journal of Business Economics
基金
教育部人文社科基地重大项目"金融制度设计与经济增长"(05JJD790026)基金资助
