政策不确定性与股票市场波动溢出效应

The Volatility Spillover Effect between the Stock Market and the Economic Policy Uncertainty

利用1995年1月至2013年12月间中国上证综指对数收益率和政策不确定性指标的周数据,通过建立DCC-MGARCH模型和VARMA-BEKK-MGARCH模型考察股票市场与政策不确定性的动态相关性和双向波动溢出效应。DCC-MGARCH模型结果表明,股票市场与政策不确定性之间具有显著的相关性,该相关性具有很强的时变特征,且总体表现为负相关。VARMA-BEKK-MGARCH模型结果表明,就短期而言,中国股票市场与政策不确定性的波动性之间存在双向溢出效应;但就长期而言,两者的波动溢出效应具有不对称性,即只存在股市向政策不确定性的波动溢出,而政策不确定性对于股市的波动溢出效应不具有持续性。

Based on the weekly log return of Shanghai Composite Index and the economic policy uncertainty index between January of 1995 and December of 2013,this paper studies the dynamic linkage between stock market and economic policy uncertainty using DCC- MGARCH model,as well as the volatility spillover effect on these two series using VARMA- BEEK- MGARCH model. The DCC- MGARCH model shows that there is marketable correlation between the two series,which is generally negative with dynamic characteristic. The VARMA- BEEK- MGARCH model shows that there is bidirectional volatility spillover effect in the short run while the effect in the long run is asymmetric,that is,the volatility spillover from stock market to economic policy uncertainty is permanent,and the effect in the other way is only temporal.