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利率对股价的间接时变影响——基于TVP-SV-VAR模型的实证研究
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作者 李丽 曹欣 丁文丽 《会计之友》 北大核心 2023年第9期16-22,共7页
随着我国利率市场化的不断推进,利率对股价的影响引起了学术界的广泛关注。文章以投资者情绪为中介变量,根据预期效应与羊群效应理论,使用2005年6月至2021年5月相关月度数据,构造带有随机波动的时变参数向量自回归(TVP-SV-VAR)模型,研... 随着我国利率市场化的不断推进,利率对股价的影响引起了学术界的广泛关注。文章以投资者情绪为中介变量,根据预期效应与羊群效应理论,使用2005年6月至2021年5月相关月度数据,构造带有随机波动的时变参数向量自回归(TVP-SV-VAR)模型,研究不同经济时期利率对股价的间接时变影响。研究发现:在短期,利率对股价的影响具有显著性和时变性,且利率通过投资者情绪间接时变影响股价的传导机制在短期内显著,投资者情绪对股价的影响较为平稳。在不同经济时期,利率对投资者情绪的影响与投资者情绪对股价的影响皆不对称,利率通过投资者情绪间接影响股价的过程存在时滞,时滞为2—4个月。最后,文章从政策实施者、市场监管者及投资者三个角度提出促进中国证券市场高质量发展的政策建议。 展开更多
关键词 利率 投资者情绪 股价 间接时变 TVP-SV-VAR模型
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The variation of the estimated GPS instrumental bias and its possible connection with ionospheric variability 被引量:14
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作者 ZHANG DongHe SHI Hao +3 位作者 JIN YaQi ZHANG Wei HAO YongQiang XIAO Zuo 《Science China(Technological Sciences)》 SCIE EI CAS 2014年第1期67-79,共13页
Based on the analysis of the satellite DCB data estimated by our method and the Center for Orbit Determination in Europe(CODE)from 1999 to 2011,the features of the temporal variation of differential code biases(DCB)ar... Based on the analysis of the satellite DCB data estimated by our method and the Center for Orbit Determination in Europe(CODE)from 1999 to 2011,the features of the temporal variation of differential code biases(DCB)are studied.Summarily,there are three types of variations in DCB on different time scales.The first one is the day-to-day variation that exhibits more obviously in solar maximum years.The second one is the variation with about one year periodic variation that behaves more obviously from 1999 to 2004.The last one is the monotonously descending tendency from 1999 to 2010.Considering the basic ionospheric approximation in DCB estimation method,the features of the variability of the ionospheric morphology from 1999to 2010 are also displayed based on the ionospheric characteristic parameters.It can be concluded that the day-to-day and annual variation of the estimated global positioning system(GPS).DCB is related to the ionospheric variability.The variation of DCBs on solar cycle time scale includes the real hardware DCBs and pseudo-DCBs induced by ionospheric variation.No doubt,these kinds of"pseudo"variations of DCB will affect the precision of ionospheric total electron content(TEC)derived from the GPS data.In addition,this study is helpful for evaluating the influence of ionospheric weather on TEC derivation and is also useful for developing one estimation method of DCB with more stability and precision through introducing a more practical ionospheric model. 展开更多
关键词 DCB ionospheric variability GPS instrumental bias solar cycle
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A modified highly precise direct integration method for a class of linear time-varying systems 被引量:3
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作者 LIU XiaoMei ZHOU Gang +3 位作者 ZHU Shuai WANG YongHong SUN WeiRong WENG ShiLie 《Science China(Physics,Mechanics & Astronomy)》 SCIE EI CAS 2014年第7期1382-1389,共8页
It is always a bottleneck to design an effective algorithm for linear time-varying systems in engineering applications.For a class of systems,whose coefficients matrix is based on time-varying polynomial,a modified hi... It is always a bottleneck to design an effective algorithm for linear time-varying systems in engineering applications.For a class of systems,whose coefficients matrix is based on time-varying polynomial,a modified highly precise direct integration(VHPD-T method)was presented.Through introducing new variables and expanding dimensions,the system can be transformed into a timeinvariant system,in which the transfer matrix can be computed for once and used forever with a highly precise direct integration method.The method attains higher precision than the common methods(e.g.RK4 and power series)and high efficiency in computation.Some numerical examples demonstrate the validity and efficiency of the method proposed. 展开更多
关键词 linear time-varying system highly precise direct integration state transfer matrix Runge-Kutta method
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