中国分类经济政策不确定性与亚太股市的动态关联性--基于GARCH-时变Copula模型

Dynamic Correlation Between China's Classified Economic Policy Uncertainty and Asia-Pacific Stock Markets:Based on GARCH-Time-Varying Copula Model

文章利用四种残差分布、两种GARCH模型及十二种Copula函数构建中国经济政策不确定性指数与亚太地区主要股票市场指数的GARCH—时变Copula模型,探讨新型冠状病毒肺炎疫情背景下二者之间的动态关联性。结果表明:中国分类经济政策不确定性指数的使用可以更深入探究各经济政策变化与股市的联动关系,中国不同类别经济政策与亚太地区主要股市的关联性存在时变及异质性;中国汇率和资本账户政策的不确定性与中国、中国香港、新加坡及澳大利亚股市的动态关联性更强;中国财政政策不确定性和贸易政策不确定性对亚太股市的影响受疫情冲击最显著。

The authors employ four residual distributions,two GARCH models,and twelve Copula functions to construct GARCH-time-varying Copula models on economic policy uncertainty index and stocks in major Asia-Pacific countries,and further explore their dynamic correlation between the two under COVID-19 epidemic.The results show that the use of China classified economic policy uncertainty index could analyze deeply the linkage relationship between economic policy and stock indices.The correlations between different type of economic policy index and stock market are found to be time-varying and heterogeneous.The uncertainty of exchange rate and capital account has the stronger correlations with Chinese,Singapore and Australian stock markets.The dynamic correlation between fiscal policy(or trade policy uncertainty)and Asia-Pacific stock market is most affected by COVID-19 epidemic.