摘要
面对新冠肺炎疫情的冲击,文章构建了新冠肺炎疫情与金融市场发展指数,采用VAR模型、VCC-M-GARCH模型、TGARCH模型以及动态马尔科夫转换模型等方法系统分析了新冠肺炎疫情对货币基金、债券市场、股票市场、数字货币等细分金融市场的实际影响。结果显示:第一,新冠肺炎疫情的自冲击效应具有较强的波动性,反映了新冠肺炎疫情传染过程高波动、缓收敛的特征。第二,新冠肺炎疫情冲击对各细分金融市场具有不同的波动表现,且新冠肺炎疫情在不同阶段对金融市场的冲击具有明显的差异,其中对货币基金市场和股票市场的影响程度具有阶段效应,而对债券市场和数字货币市场具有阶段反转效应。第三,新冠肺炎疫情对细分金融市场的冲击具有动态时滞性,且新冠肺炎疫情对金融市场的影响具有明显的门槛效应和状态转换效应。
In the face of the COVID-19 epidemic shocks,this paper constructs the index of COVID-19 epidemic and financial market development,and then uses VAR model,VCC-M-GARCH model,TGARCH model and dynamic Markov transformation model to systematically analyze the actual impact of Covid-19 epidemic on segmentation of financial markets such as currency fund,bond market,stock market,and digital currency.The results are as follows:Firstly,the self-impact effect of the COVID-19 epidemic has strong volatility,reflecting the characteristics of high volatility and slow convergence during the infection process of COVID-19 epidemic.Second,the impact of COVID-19 epidemic has different volatility performance on various segmentations of financial markets,and the impact of COVID-19 epidemic on the financial market is obviously different in different stages,in which the impact degree on currency fund markets and stock markets has phase effect,while the impact degree on bond markets and digital currency markets has phase reversal effect.Third,the shocks of COVID-19 epidemic on the financial market segmentations have dynamic time lag,and the impact of COVID-19 epidemic on the financial market has significant threshold effect and state transition effect.
作者
蓝波
庄雷
Lan Bo;Zhuang Lei(School of Economics&Management,Southeast University,Nanjing 211189,China;School of Economics&Management,Nanjing Tech University,Nanjing 211816,China)
出处
《统计与决策》
CSSCI
北大核心
2021年第5期129-133,共5页
Statistics & Decision
基金
国家社会科学基金青年项目(17CGL011)
关键词
新冠肺炎疫情
金融市场
风险传染
波动模型
COVID-19 epidemic
financial market
risk contagion
volatility model
