经济政策不确定性、投资者心理预期与股市波动的关系研究——基于时变参数的空间状态模型

Research on the Relationship among Economic Policy Uncertainty,Investor Psychological Expectations and Stock Market Volatility--Research on Time-varing Parameters of State-space Model

通过引入机构投资者心理预期概念,研究经济政策不确定性对股市波动的影响及传导机制。在理论分析的基础上构建时变参数的空间状态模型,实证结果表明,经济政策不确定性会通过影响机构投资者对经济形势的心理预期来影响股市波动;经济政策不确定性增加时,机构投资者对通胀和新增信贷规模预期的差异性会变大,导致股市的波动剧烈。据此,提出制定政策稳定机构投资者心理预期及保障国家金融安全的对策建议。

By introducing the concept of institutional investors’psychological expectations,this paper studies the impact of economic policy uncertainty on stock market volatility and its transmission mechanism.Based on theoretical analysis,a spatial state model with time-varying parameters is constructed.The empirical results show that economic policy uncertainty can affect stock market volatility by influencing institutional investors’psychological expectations of the economic situation;When economic policy uncertainty increases,institutional investors’expectations of inflation and the size of new credit will become significantly different,leading to sharp fluctuations in the stock market.Accordingly,countermeasures and suggestions are proposed to formulate policies to stabilize the psychological expectations of institutional investors and ensure national financial security.