经济政策不确定性对有色金属股票收益率的时变影响

The Time-varying Impact of Economic Policy Uncertainty on Non-ferrous Metal Stock Returns

构建TVP-SVAR-SV模型,依据WIND数据库2007年7月至2018年12月数据,将经济政策不确定性冲击纳入多结构冲击体系,考量经济政策不确定性对有色金属股票收益率的时变影响。结果显示:经济政策不确定性对中国有色金属板块股票收益率的影响具有时变性与阶段性等特征,对不同时间尺度、不同时间点、不同品种的影响效应呈异质性。在四类细分经济政策不确定性冲击中,金融监管政策不确定性冲击的影响程度最大。鉴此,监管部门应重视市场之间的联动性特征,发挥市场机制应对有色金属金融化不利冲击的作用;应使用经济政策不确定性指标及时监控有色金属价格波动,避免政策过度干预。

Based on the WIND data from July 2007 to December 2018,this paper constructs the TVP-SVAR-SV model,incorporates economic policy uncertainty shocks into the multi-structure shock system,and examines the time-varying effects of economic policy uncertainty on non-ferrous metal stock returns.The results show that the impact of economic policy uncertainty on China's non-ferrous metal stock returns has time-varying and staged characteristics,and the impacts on different time scales,different time points,and different varieties are heterogeneous.Among the four types of subdivided economic policy uncertainty shocks,financial regulatory policy uncertainty shocks have the greatest impact.In view of this,the regulatory authorities should pay attention to the characteristics of linkages between markets,and give play to the role of market mechanisms in responding to the adverse impact of non-ferrous metal financialization;use economic policy uncertainty indicators to timely monitor non-ferrous metal price fluctuations and avoid excessive policy intervention.