货币政策对股市波动和相关性的混频非对称影响研究

A Study on Asymmetric Effects of Monetary Policy on Stock Market Volatility and Correlation Based on Mixed Frequency Data

货币政策作为需求管理的重要宏观经济调控政策,对股市走势和波动有着非常重要的影响。随着海峡两岸经济的蓬勃发展,中国内地、中国香港、中国台湾股市在全球金融市场中的地位越来越重要。本文采用DCC-MIDAS模型全面分析了低频货币政策对高频中国内地与港台股市波动及相关性的非对称性影响,克服了传统同频数据模型无法处理月度货币政策与日度股市数据所带来的频次不匹配和信息损失问题。研究结果表明:货币政策变化对于中国内地与港台股市不同成分的波动影响具有显著的非对称性和异质性。在短期波动中,货币政策在香港地区和台湾地区股市存在非对称性;在长期波动中,扩张性和紧缩性的单一货币政策均会增大股市波动,但影响程度有所不同,而同时考虑数量型和价格型货币政策时,紧缩性货币政策会抑制内地股市的长期波动。股市间长期相关性的结果表明,无论扩张性还是紧缩性的货币政策都将抑制中国内地与港台股市间长期相关性。

As a crucial macroeconomic regulation policy for demand management,monetary policy significantly impacts the stock market s volatility.The Chinese mainland,Hong Kong SAR and Taiwan region stock markets are becoming increasingly important in the global financial market with the booming economies of the cross-strait.This paper uses the DCC-MIDAS model to comprehensively analyze the asymmetric impact of low-frequency monetary policy on high-frequency the Chinese mainland,Hong Kong SAR and Taiwan region stock markets volatility and correlation.The DCC-MIDAS model overcomes the problem of frequency mismatch and information loss caused by the inability of traditional same-frequency data models to deal with monthly monetary policy and daily stock market data.We find that the impact of monetary policy changes on the volatility of different components of the Chinese mainland,Hong Kong SAR and Taiwan region stock markets is significantly asymmetric and heterogeneous:in short-run volatility,monetary policy is asymmetric in the Hong Kong region and Taiwan region stock markets;in long-run volatility,both expansionary and contractionary monetary policies increase stock market volatility,while with different degrees of impact.Contractionary monetary policies dampen the Chinese mainland stock market s long-run volatility when considering both quantitative and price-based monetary policies.Finally,expansionary and contractionary monetary policies will decrease long-term correlations among the Chinese mainland,Hong Kong SAR and Taiwan region stock markets.