基于混频数据的实体经济与金融市场时变溢出效应研究

本文基于混频VAR模型分析了中国实体经济与股票市场、债券市场之间的时变溢出效应。结果显示，实体经济与股票市场、债券市场之间收益率与波动率的溢出效应呈现显著的时变特征，溢出效应在金融危机期间呈现快速上升趋势，而后呈现下降态势，且易受到极端事件的影响；在大部分考察时期内存在股票市场向实体经济的波动率溢出效应，而债券市场相对于实体经济则从考察初期波动率溢出效应的净输入方转化为中后期的波动率溢出效应的净输出方。进一步分析收益率与波动率总溢出指数的影响因素，结果发现，极端事件、宏观经济代理变量和期限利差对于溢出效应具有正向影响，泰德利差对波动率总溢出指数具有负向影响，而投资者情绪指数对收益率总溢出指数具有负向影响。

A Study on Time-Varying Spillover Effects on Real Economy and Financial Markets Based on Mixed Data

Based on mixed frequency VAR model, this paper studies the time-varying spillover effects on China's real economy, stock market and bond market. The result shows that the spillover effects of returns and volatility present significant time-varying characteristics, i.e., with a rapid upward during the financial crisis and then a downward after the crisis, the spillover effects are easily affected by extreme events. Moreover, there exist volatility spillovers from the stock market to the real economy in most observed period, while the bond market in terms of the real economy changes from the net receiver in the beginning to the net transmitter at the late stage as for the volatility spillover effects. Furthermore, after analyzing the factors affecting the total spillover indexes of return and volatility, it is found that extreme events, macroeconomic proxy variables and term spreads have positive effects on both indexes, while the TED spread has negative impact on the total volatility spillover index, so as the investor sentiment index on the total returns spillover index.