我国股票市场和债券市场联动的非线性动态分析

A Dynamic Analysis of Nonlinearity of the Co-movement between Stock Market and Bond Market in China

笔者首先利用基于t分布的DCC-MVGARCH模型来估计股票和债券收益率的动态相关系数,随后采用LSTAR模型刻画了我国股债相关系数的非线性动态特征,并进行了样本外预测,结果表明LSTAR模型的预测效果要优于AR(1)模型,这说明我国股债联动是非线性的,而且从低区制过渡到高区制的速度较缓慢。最后,笔者分析了我国股债联动非线性特征产生的主要原因,并在此基础上提出了相关的政策建议。

At first the dynamic correlation of returns between stock market and bond market is calculated by using DCC-MVGARCH model based on t distribution in this article, and subsequently the nonlinearity of stock- bond correlation is characterized by using LSTAR model, then the out-of-sample forecast is conducted, the results show that LSTAR model forecasts better than AR（1） model, which indicates that stock-bond co-movement in China is nonlinear. Furthermore, it shifts slowly from lower regime to upper regime. Lastly the main reasons causing non- linearity of stock-bond co-movement are analyzed based on which some relative advices are proposed.