基于混频数据模型的宏观经济对股票市场波动的长期动态影响研究

股票价格时间序列与宏观经济变量时间序列原始数据的不同频直接导致传统计量模型在处理宏观经济波动与股票市场波动的关系问题中产生模型误设和估计偏误。本文运用混频自回归条件异方差模型从水平值和波动率两个维度实证分析生产者价格指数、居民消费价格指数、宏观经济景气指数及同业拆借利率四个宏观经济变量对股票市场波动的长期动态影响。同时，运用主成分分析提取宏观经济第一主成分并构建一个宏观经济综合指数，进一步探究宏观经济总体状况对股票市场波动的长期影响。研究发现：股票市场已实现波动率显著地放大了股票市场的长期波动。生产者价格指数、居民消费价格指数、宏观经济景气指数的水平值和波动率均对股票市场长期波动产生显著影响；且其波动率维度呈现出较强的持续效应；同业拆借利率仅在水平值维度对股票市场波动长期成分产生微弱影响。宏观经济第一主成分和宏观综合指数的波动率对股票市场波动长期成分均具有显著的正向放大作用，但持续效应较弱；而其水平值对股票市场波动长期成分的影响虽然微弱，但持续时间较长。

Long-run Dynamic Effect of Macro-economy on Stock Market Volatility Based on Mixed Frequency Data Model

The different frequency in the time series original data of stock price and macro-economic variables directly leads to model misspecificationandestimation bias of the traditional econometric models in analyzingthe relationship between macro-economic fluctuations and stock market volatility. The mixed frequency autoregressive conditional heteroscedasticity model is used to empirically analyze the long-term dynamic effects of producer price index, consumer price index, coincident index of macro-economic business and the interbank interest rate on stock market volatility from the perspective of level value and change rate.At the same time, the first principal component of macroeconomic variable is extracted via principal component analysis and a macroeconomic composite index is constructed to further explore the long-term impact of macroeconomic conditions on stock price volatility. It is found that, i)the realized volatility of stock market has magnified the long-term volatility of the stock market;ii) the level value and volatility of producer price index, consumer priceindex, coincident index of macro-economic business all have significant influence on the long-term volatility of the stock market, and it presents a strong continuous effect from the volatility dimension. The interbank interest rate only has a slight influence on the long-term component of the stock market volatility in the level value dimension; iii)the volatility of the first principal component of the macro-economy and the macro-economy composite index have significant positive amplification effect on the long-term component of the stock market volatility, but the sustained effect is weak, andits level value have a slight effect on the long-term component of the stock market volatility although it lasts for a long time.This conclusion shows that unexpected shocks from macroeconomic fundamentals play an important role in stock price volatility, deepening the academic view that "stock prices are pro-cyclical, and stock price volatilityarecounter-cyclical".