经济政策不确定性对我国股票价格的影响研究

Research on the Influence of Economic Policy Uncertainty on Stock Price in China

经济政策不确定性通常会抑制投资,导致股票价格下降。选取中国2003-2019年的相关数据,通过估计TVP-SV-VAR模型,发现经济政策不确定性对投资并非仅有抑制作用,在一些时期可以对投资者情绪和股票价格产生正向影响。通过构建TVAR模型进一步研究发现,在常规的经济增长环境下,经济政策不确定性会对投资者情绪和股票价格产生负向影响;而当经济高速增长时,经济政策不确定性会提升投资者情绪,推动股票价格上涨。研究表明,不确定性并非总是经济发展的负面因素,在经济高速增长的环境下可以对投资产生积极影响。

Economic policy uncertainty usually discourages investment and causes share prices to fall. By estimating the TVP-SV-VAR model based on the relevant data of China from 2003 to 2019, it is found that economic policy uncertainty has not only a single inhibitory effect on investment, but also has a positive impact on investor sentiment and stock price in some periods. Through the construction of TVAR model, we find that under the general economic growth rate, economic policy uncertainty will have a negative impact on investor sentiment and stock price. When the economy keeps growing at a high rate, uncertainty about economic policy boosts investor sentiment and stock prices. Research shows that uncertainty is not always a negative factor of economic development, and can have a positive impact on investment under the environment of high economic growth.