股票市场与债券市场:动态相关性、动因及联动
Stock Market and Bond Market:Dynamic Correlation,Motivation and Linkage
孙志红 1张丽 1邓鑫懿1
作者信息
摘要
研究股票市场与债券市场的相关性、影响因素以及两市场的传导机制对于提高我国政策有效性、防范和化解重大外部事件带来的系统性金融风险有着重要的现实意义.本文研究结果表明中国股票市场与债券市场的相关性在不同经济状态下呈现出时变性特征,且不同经济区制下各经济变量对股债市相关关系的影响有所不同,影响股债市相关性的因素有利率、汇率、通货膨胀率以及经济政策不确定性,多数经济变量变化主要作用于股票市场,再通过股票市场对自身及债券市场的冲击影响两市场相关性.因此,我国应该促进金融业高水平扩大对外开放,提升金融市场体系的稳健性,同时完善股市内在稳定机制,保持金融市场的稳定性.
Abstract
The study of the correlation between stock and bond markets,the influencing factors,and the transmission mechanism between the two markets is of great practical significance for improving the effectiveness of China's policies,preventing and resolving systemic financial risks brought about by major external events.The research findings show that the correlation between China's stock and bond markets exhibits time-varying characteristics in different economic states,and the influence of various economic variables on the stock-bond market correlation is different under different economic systems.The factors affecting the stock-bond market correlation include interest rates,exchange rates,inflation rates,and economic policy uncertainty.Most economic variables change mainly by affecting the stock market,and then they impact both the stock market and the bond market through their impact on the stock market.Therefore,China should promote high-level financial sector opening-up,enhance the stability of the financial market system,and at the same time,improve the intrinsic stability mechanism of the stock market and maintain the stability of the financial market.
关键词
股票市场/债券市场/动态相关/MS-VAR模型Key words
Stock Market/Bond Market/Dynamic Correlation/MS-VAR Model引用本文复制引用
出版年
2024
NETL
NSTL
万方数据