股市、债市、汇市间溢出效应的实证研究

Empirical Research on Spillover Effect among Stock、Bond and Foreign Exchange Market of China

随着我国经济和金融业的不断发展,各金融市场的自身波动性越来越大,且相互之间有价格和波动溢出趋势。本文对股市、债市、汇市三个金融市场的价格和波动溢出现状进行介绍,并利用三元VAR-BEKK-GARCH模型、三元滞后回归模型等实证分析了三个市场间短期、长期及特殊"节点"下的价格和波动溢出效应,并在得出研究结论的基础上给出有针对性的政策建议。

with the development of Chinese economy and financial industry, the movement of each financial market becomes bigger, and there is a tendency of the PriceVolatility spillover effect among different financial markets. In this paper, we introduce the current situation of the spillover effect between the stock、bond and foreign exchange market at first; then we use the VAR-BEKK-MVGARCH model、regression model of degree three etc. to analyze the PriceVolatility spillover effect among the three financial markets in short-term、long-term and some special periods. Some suggestions are put forward in the last chapter on the basis of the empirical conclusion.