公司特质波动能够影响宏观经济稳定吗?——基于中国A股市场的SVAR研究

Macroeconomic Stability Can Be Affected by Idiosyncratic Volatility——Empirical Research Based on SVAR in Chinese A Stock Market

根据中国A股市场数据,运用"非资产定价模型分解法"将个股风险分解为市场风险、行业层面风险和公司特质风险,在此基础上,建立结构向量自回归模型,考察个股不同层面的股价波动和宏观经济变量之间的相关性:发现A股市场特质波动水平的上升,使得公司层面的信息不确定性增加,导致信贷规模下降,从而间接降低了宏观经济的稳定性。这表明公司特质波动与宏观经济之间存在显著的负相关性。

Based on data from China＇s A stock market, with the method of model--independent decomposition, break individual risk down into market risk, industry level risk and idiosyncratic risk. And on this basis, the SVAR model is established to study the causal link between the idiosyncratic volatility and macroeconomic： stability, and bring out the following conclusion： The rise of idiosyncratic volatility in A stock market increases information uncertainty of corporations, cutting down the credit scale and indirectly reduc- ing the macroeeonomic stability. That shows notable negative correlation between idiosyncratic volatility and macroeeonomic slability.