中国股票市场与宏观经济波动溢出效应研究

Research on Volatility Spillover Effect between Chinese Stock Market and Macroeconomy

运用GRANGER因果关系对股票市场收益率和各宏观经济变量均值进行考察,结果表明股票市场收益率和各宏观经济变量均值之间不存在GRANGER因果关系。在此基础上,运用MGARCH-BEKK模型重点对股票市场收益率和宏观经济变量之间的波动溢出效应进行检验,结果表明股票市场收益率与各宏观经济变量之间的波动溢出效应非对称,利率、PPI、CPI和进口对上证综指收益率产生单向的波动溢出效应;发电量和财政支出与上证综指收益率相互之间不存在波动溢出效应。

Using GRANGER causality tests examine stock market yields and related macroeconomic variables . The result shows that there is no mean GRANGER causal relationship between the yield of the stock market and macroeconomic variables. On this basis, the article mainly uses MGARCH - BEKK model focusing on the volatility spillovers effect between stock market yields and macroeconomic variables, the results showed that the volatility spillover effect is asymmetric Shanghai stock market. There Interest rate, PPI, CPI and import make unidirectional volatility spillovers to the is no mutual volatility spillover effect between generating capacity and financial ex- penditures with the Shanghai Composite Index yield.