美国经济政策不确定性与中国金融市场之间的交互相关分析

Cross-Correlations Analysis Between Uncertainty of U.S. Economic Policy and Financial Markets in China

为探究美国的经济政策对中国金融市场的影响,运用多重分形去趋势交互相关分析法研究美国经济政策不确定性与中国的股票市场、汇率市场、黄金市场和碳排放权市场之间的交互相关性及其多重分形特征。实证结果表明,美国经济政策不确定性的日度量序列与中国各金融市场收益率序列之间存在显著的交互相关关系,且所有的交互相关关系均有明显的多重分形特征。因此,美国的经济政策会给中国各金融市场带来重大影响,需要政策制定者予以特别关注,并及时调节我国的经济政策。

In order to explore the impact of U.S.economic policy on China’s financial markets,multifractal detrended cross-correlation analysis is applied to investigate the cross-correlations between the uncerainty of U.S. economic policy and China′ s stock market,exchange rate market,gold market,and carbon emission rights market and their multifractal features.The empirical results show that there are significant crosscorrelations between the daily series of U.S.economic policy uncertainty index and the return series of China′s financial markets,and all the cross-correlations have significant multifractal features.Therefore,U.S.economic policy has a major impact on China’s financial markets,which requires special attention from policy makers to adjust our economic policy in a timely manner.