信息、政策冲击和中国股票、债券及外汇市场一体化——基于AG-DCC模型的金融市场动态相关性分析

Information, Policy Shocks and Integration of Chinese Stock,Bond and Exchange Markets

本文运用Cappiello etal.(2006)提出的AG-DCC模型对中国金融市场的研究发现,中国股票、债券和外汇市场间存在明显的动态相关性,虽然"正向冲击"和"负向冲击"对金融市场波动并不产生明显的非对称效应,但对市场间动态相关性有着显著的影响,而且信息和政策冲击反映在动态相关性的结构变化上。最后,用平均动态相关性作为一体化指标对中国金融市场的考察发现,相对于欧盟市场间,中国股票市场一体化程度相当高,但股票和债券、股票和外汇以及债券和外汇市场间的一体化程度有待提高。

Based on AG-DCC model, this paper studies the relationships among Chinese stock, bond and exchange markets by combining information, policy shocks with dynamic conditional correlations of returns. We find positive shocks and negative shocks have no obvious asymmetric effects on volatilities but on structures of DCC . We also employ average dynamic conditionally correlations as index to measure the integration of Chinese financial markets. Compared with the integration of EMU markets, Chinese stock markets have reached very high integration, but the integrations of stock and bond markets, stock and exchange markets as well as bond and exchange markets have a long way to go.