经济政策不确定性与股票风险特征

Economic policy uncertainty and stock risk characteristics

构建了包含经济政策不确定性的随机贴现模型,通过参数校准、静态比较等方法,探讨了不同政策不确定性下股票风险的动态特征.在此基础上,通过实证模拟分析政策不确定性影响股票风险的传导机制,并通过组合分析法检验政策不确定性在股票风险形成中的作用,以此验证该理论模型在中国的适用性.最后,运用面板数据回归模型对政策不确定性与股票风险的关系进行量化分析.结果表明:1)政策不确定性能够通过企业现金流、贴现因子和相关系数等途径提高股票风险,该效应在控制传统风险因子、企业异质性因素和外部环境因素后依然显著;2)具有非国有性质、较低盈利能力和低资产增长率的企业股票更易受政策不确定性的影响;3)在经济萧条和改革幅度较大的阶段,政策不确定性对股票风险的溢出效应显著增强.

This paper introduces economic policy uncertainty into a stochastic discount model. Via parameter calibration and static analysis, the dynamic characteristics of stock risks resulted from different policy uncer- tainties are investigated. The channel through which policy uncertainty affects stock risk is simulated empiri- cally, and the effect of policy uncertainty on stock risk is simulated by portfolio analysis to verify the applica- bility of the theoretical model in China. Finally, the panel model is used to quantitatively analyze the relation- ship between policy uncertainty and stock risks. The results show that policy uncertainty can improve stock risk through the enterprise＇ s cash flow, discounting factors and correlation coefficient, and the improvement is still significant after controlling traditional risk factors, corporate heterogeneity, and external environmental factors. Companies that are non-state-owned, having lower return on invested capital and lower asset growth rate manifest greater stock risks when policy uncertainty is higher. The magnitude of influence of policy uncer- tainty on stock risk is larger when the economy is weaker and the policy environment is more unstable.