突发公共卫生事件下中国金融市场压力特征研究——基于时频双视角

Research on the Characteristics of Financial Market Stress in China Under Sudden Public Health Emergencies:Based on Dual Perspectives of Time and Frequency

本文基于Wilcoxon秩和检验和小波分析,对新冠疫情期间金融压力的纵向时间演化特征、横向子市场分布及频域关联特征进行分析。主要结论如下:新冠疫情给我国金融市场压力带来的影响主要是短期的、非连续性的,金融压力的波动性在2020年初以及2021年初的短周期内最为明显。不同子市场的金融压力呈现一定的异质性:时域上,股票市场与债券市场、货币市场的金融压力关联性均显著增强;频域上,股票市场压力在短期(0~4天)内对其他市场具有显著引领作用,而在中长期则以货币市场引领为主,货币政策及流动性对金融市场的影响较为持久。在全面放开政策实施后,四个子市场压力和总压力指数的波动呈现明显的减弱趋势,对我国应对金融压力具有积极意义。

Based on the Wilcoxon rank sum test and wavelet analysis,this study analyzed the longitudinal timeevolution characteristics,cross-sectional sub-market distribution,and frequency domain correlation characteristics of financial stress during the"new crown"epidemic.The results indicate that the impact of the"new crown"epidemic on China's financial market is mainly short-term and discontinuous,with the volatility of financial stress most pronounced in the short cycles at the beginning of 2020 and 2021.Different sub-markets exhibit certain heterogeneity in financial stress.In the time domain,the correlation of financial stress between the stock market and the bond market,as well as the money market,has significantly increased.In the frequency domain,the pressure in the stock market has a significant leading effect on other markets in the short term(0-4 days),while in the medium to long term,the money market leads mainly,indicating that monetary policy and liquidity have a lasting influence on the financial market.In the long term,the implementation of comprehensive policy relaxation has a positive significance in alleviating financial stress in China.