针对宏观经济与利率预期的实时估计:基于债券与股票市场联动的高频识别方法
Real-time Estimation of Macroeconomic and Interest Rate Expectations:A High-Frequency Identification Method Based on the Interactions Between Bond and Stock Markets
王熙 1汪子健 2韩博昱1
作者信息
- 1. 北京大学经济学院
- 2. 明尼苏达大学工业与系统工程系
- 折叠
摘要
本文基于现代资产定价理论,从债券市场与股票市场的联动关系出发,针对识别了四类经济冲击:经济增长预期冲击、货币政策冲击、对冲风险溢价因子冲击和正常风险溢价因子冲击,进而生成上述冲击的日度高频估计序列.实证结果表明,本文估计的经济增长预期冲击因子和货币政策冲击因子不仅对我国股票与债券价格的影响方向与理论预期一致,而且对未来宏观经济状况和市场利率具有良好的预测能力.这些指标能够作为反映市场对经济和利率走势的有效估计工具,有助于监管当局以更高频率实现对社会预期的实时监测.
Abstract
In this paper,we delve into the nexus between the bond and stock markets through the lens of contemporary asset pric-ing theory.Our analysis uncovers four distinct types of shocks in China:economic growth expectation shocks,monetary policy shocks,hedging risk premium factor shocks,and normal risk premium factor shocks.Our empirical findings suggest that the fac-tors associated with economic growth expectations and monetary policy not only align with theoretical predictions but also pos-sess a robust predictive ability for future macroeconomic trends and market interest rates.These factors,therefore,serve as potent indicators of market sentiment towards economic and interest rate prospects,facilitating real-time monitoring of social expecta-tions at a higher frequency.
关键词
经济预期/货币政策预期/债券与股票市场联动Key words
Economic expectations/Monetary policy expectations/Bond and stock market引用本文复制引用
出版年
2024
NETL
NSTL
万方数据