摘要
本文分别运用无市场预期和引入市场预期之后的GARCH模型,研究消费者物价指数、固定资产投资增速、消费品零售总额增速、贸易顺差额以及货币供应量这五个宏观经济数据的定期公布对于我国股票市场、债券市场及外汇市场波动的影响。我们发现在股票市场,CPI统计数据的公布加大了日收益率的波动率,而其它经济数据的公布减小了其波动率;债券市场和外汇市场由于市场化程度较低,宏观经济统计数据的公布对其价格行为的影响较小。
Based on GARCH model, the paper examines the impact of regular macroeconomic statistics release of consumer price index, fixed asset investment growth rate, retail sales growth rate, trade balance and M2 on China＇s main financial markets. The result shows that the release of CPI increases the volatility of stock market, whereas the release of other economic statistics decreases the volatility. Since bond market and foreign exchange market are still not fully market-driven, macroeconomic statistics release has relatively little effect on these two markets.
出处
《上海金融》
CSSCI
北大核心
2008年第7期53-57,共5页
Shanghai Finance
关键词
宏观经济公报
市场预期
金融市场
GARCH模型
Macroeconomic Statistics Release
Market Expectation
Financial Market
GARCH Model
