经济政策不确定性的动态交叉相关分析--基于美国和英国证券市场的实证研究

Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty:Evidence from US and UK Stock Markets

使用多重分形去趋势交叉相关分析(MF-DCCA)的方法量化了经济政策不确定性(EPU)与美国,英国证券市场指数间的交叉相关性.主要实证结果:1)在经济政策不确定性与股指日收益率之间,经济政策不确定性与日交易量之间都存在幂律分布交叉相关性;2)经济政策不确定性与股指日交易量之间的交叉相关性比经济政策不确定性与日收益率之间的交叉相关性更具有持续性,且两者在滚动窗口分析中表现出同样的涨落趋势;3)经济政策不确定性与股票市场指数间的长程交叉相关性相对短期交叉相关性来说更具持续性;4)交叉相关关系均在短期内表现出低程度的多重分形,而在长期,交叉相关关系均在小波动下表现出比大波动下更强的相关性.

In this paper,we quantify the cross-correlations between economic policy uncertainty(EPU)and stock market indices of US and UK with the met hod of multifrac tai detrended cross-correlation analysis(MF-DCCA).The empirical results mainly show that:1)There exist power-law cross-correlations between EPU and daily return(Ret)and between EPU and trading volume(Vol),and the crosscorrelations display inultifractality;2)the cross-correlation between EPU and Vol is more persistent than that of the cross-correlation between EPU and Ret,and both cross・coirelations share the same tendency to rise and fall in the rolling window analysis;3)the cross-correlations for both EPU-Ret and EPU-Vol are more persistent in the long term than in the short term;4)the cross-correlations for both EPU-Ret and EPU-Vol show smaller degree of inultifractality in the short term and the small fluctuation is more cross-correlated than the large one in the long term.