我国证券市场与宏观经济波动关联性：基于小波变换和互谱分析的对比检验

The Volatility Relationship of Stock Market and Macroeconomic in China on Wavelet and Cross Spectrum

本文利用小波变换和互谱分析方法,从时域和频域两个角度研究我国证券市场与宏观经济波动关联性。在小波变换下证券市场与宏观经济长短周期波动存在非一致性,短周期波动具有共变性和双向Granger因果关系,中周期波动出现一定程度的异动性、时滞性和单向Granger因果关系,而长周期波动具有完全异动性和双向Granger因果关系。相干谱和相位谱分析表明,二者长短周期波动相关性较高,中周期波动宏观经济先行,长周期波动二者具有反向共变性,这与小波变换的结论相一致。

The paper uses the Wavelet and the Cross-spectrum to analyzes the relationship between China＇s stock market and macroeconomic fluctuation with the time and frequency field. It points out that there is inconsistent volatility in the short and long run based on the wavelet test, namely, the short volatility of the stock market and economic growth with the same cycle and the dual causality, the others with some inconsistent volatility. Based on the Cross-spectrum test, the shorter the time is, the higher the relationship of both is. All these show that growth is ahead of the stock market development, and the result of both tests is the same .