| 货币政策和股票收益率的动态相关性研究——基于DCC-MGARCH和MS-VAR的实证分析 |
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| 引用本文： | 郑鸣,倪玉娟.货币政策和股票收益率的动态相关性研究——基于DCC-MGARCH和MS-VAR的实证分析[J].厦门大学学报(哲学社会科学版),2011(2). |
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| 作者姓名： | 郑鸣 倪玉娟 |
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| 作者单位： | 厦门大学金融系,福建厦门,361005 |
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| 基金项目： | 教育部人文社会科学研究规划基金项目"中国金融稳定理论及政策协调机制构建--基于经济全球化背景的视角" |
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| 摘 要： | 货币政策是否对股价产生影响,目前尚无一致的结论.运用DCC-MGARCH方法测算货币供给和利率与分别沪、深股市收益率的动态相关系数,并进一步运用MS-VAR方法可分析货币政策与沪、深股市收益率的动态相关性与股票市场特征的关系.实证表明,货币供应量与股市的相关性比利率与股市的相关性要高,并且当股市处于波动较小、价格膨胀时,股市收益率和货币供应量的正相关性较高,相反则较低;同时当股票市场处于低迷且波动较小的状态时,股市收益率和利率的负相关性较高,相反则较低.
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| 关 键 词： | 货币政策 股票收益率 动态条件相关系数 |
Dynamic Correlations between Monetary Policy and Stock Returns:An Empircal Study Based of DCC - MGARCH and MS - VAR |
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| ZHENG Ming,NI Yu-juan.Dynamic Correlations between Monetary Policy and Stock Returns:An Empircal Study Based of DCC - MGARCH and MS - VAR[J].Journal of Xiamen University(A Quarterly for Studies in Arts & Social Sciences),2011(2). |
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| Authors: | ZHENG Ming NI Yu-juan |
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| Institution: | ZHENG Ming,NI Yu-juan(Department of Finance,Xiamen University,Xiamen 361005,Fujian) |
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| Abstract: | There is no consensus so far on the question of whether monetary policy has any impact on stock price.This study employs DCC-MGARCH to calculate the dynamic correlation coefficient between monetary supply and interest rate and the return rates of Shanghai and Shenzhen stock markets respectively.Then it uses MS-VAR to analyzes the relationship between the dynamic correlations between monetary policies and the return rates of Shanghai and Shenzhen stock markets and the features of stock markets.The empirical ... |
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| Keywords: | MS-VAR |
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