外汇市场冲击与国内资本市场波动的关联机理解析

The Analysis on the Co - movement Mechanism between Exchange Rate Shock and Volatility of Domestic Capital Prices: Theory and Empirical Evidence

运用三元VAR-GARCH(1,1)-Asymmetric-BEKK模型,解析了汇市、股市和债市间的关联机制。结果显示,汇市对股市和债市有显著的均值与波动溢出,而股市和债市对汇市仅有波动溢出,且汇市对股市的溢出效应大于对债市的溢出。基于新闻冲击曲面的分析揭示了资本市场对汇市冲击呈明显的非对称性。为此,政府应将金融市场开放度的扩大与资本流动的监管相结合,构建针对资本市场风险的多层次测度与监控体系,并完善资本市场的制度架构,增强信息披露的有效性。

We use the thee-element VAR-GARCH（1,1）-Asymmetric-BEKK model to analyze the relevant mechanism between the exchange rate market,and the stock and bond market.The results show that there is a significant mean and volatility spillover effect from the exchange rate market on the stock market and bond market,but there is only a volatility spillover effect from the stock market and the bond market on the exchange rate market,and the effect on the stock market is greater than that on the bond market.The results based on news impact curved surface show that the impact of the stock and bond market on the foreign exchange market demonstrates a distinct asymmetry.Therefore,the government should combine the process of continuously enlarging the financial market opening-up with the supervision over capital flow,set up a system of multi-layer measurement and monitoring aiming at the capital market risk,improve the system framework of the capital market and intensify the effectiveness of information disclosure.