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外汇市场冲击与国内资本市场波动的关联机理解析
引用本文:黎克俊,马文涛,张国柱.外汇市场冲击与国内资本市场波动的关联机理解析[J].西安交通大学学报(社会科学版),2011,31(6):45-52.
作者姓名:黎克俊  马文涛  张国柱
作者单位:1. 西安交通大学经济与金融学院,陕西西安,710049
2. 中国人民银行白银市中心支行,甘肃白银,730900
基金项目:国家社会科学基金重点项目
摘    要:运用三元VAR-GARCH(1,1)-Asymmetric-BEKK模型,解析了汇市、股市和债市间的关联机制。结果显示,汇市对股市和债市有显著的均值与波动溢出,而股市和债市对汇市仅有波动溢出,且汇市对股市的溢出效应大于对债市的溢出。基于新闻冲击曲面的分析揭示了资本市场对汇市冲击呈明显的非对称性。为此,政府应将金融市场开放度的扩大与资本流动的监管相结合,构建针对资本市场风险的多层次测度与监控体系,并完善资本市场的制度架构,增强信息披露的有效性。

关 键 词:资本市场  外汇市场  非对称性  新闻冲击曲面

The Analysis on the Co- movement Mechanism between Exchange Rate Shock and Volatility of Domestic Capital Prices: Theory and Empirical Evidence
LI Ke-jun,MA Wen-tao,ZHANG Guo-zhu.The Analysis on the Co- movement Mechanism between Exchange Rate Shock and Volatility of Domestic Capital Prices: Theory and Empirical Evidence[J].Journal of Xi'an Jiaotong University(Social Sciences),2011,31(6):45-52.
Authors:LI Ke-jun  MA Wen-tao  ZHANG Guo-zhu
Institution:1.School of Economics and Finance,Xi′an Jiaotong University,Xi′an 710061,China; 2.The People Bank of China Baiyin Municipality Central Bank,Baiyin 730900,China)
Abstract:We use the thee-element VAR-GARCH(1,1)-Asymmetric-BEKK model to analyze the relevant mechanism between the exchange rate market,and the stock and bond market.The results show that there is a significant mean and volatility spillover effect from the exchange rate market on the stock market and bond market,but there is only a volatility spillover effect from the stock market and the bond market on the exchange rate market,and the effect on the stock market is greater than that on the bond market.The results b...
Keywords:Exchange rate market  asymmetry  news impact curved surface  
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