摘要
中国股票市场和房地产市场调控与经济政策不确定性的联系日趋紧密。本文选用2005年6月至2020年10月的月度数据,基于马氏转换向量自回归模型划分波动状态,根据马尔科夫链蒙特卡洛算法构建时变参数向量自回归模型,探究经济政策不确定性、股票市场和房地产市场间的动态关联。研究结果表明,三者相互作用存在滞后效应,大多具有时变特征。经济政策不确定性冲击短期影响强烈,对房地产市场带来显著滞后影响;股票市场和房地产市场对经济政策不确定性的负传导效应持续期较长,任意一个市场的异常波动都将对另一市场带来波动风险。为避免经济政策不确定性的频繁变动给我国金融市场带来风险积累,同时防范市场风险的相互传导,建议政府加强内外部市场的异常波动风险监测,以有效维护我国宏观经济及金融市场的平稳运作。
The regulation of China's stock market and real estate market is increasingly linked to economic policy uncertainty.Using the monthly data from June 2005 to October 2020,this paper divides the fluctuation state based on Markov regime switching(MS-VAR)model,and constructs the Time-varying parameter vector auto-regression(TVP-SV-VAR)model based on Markov chain Monte Carlo algorithm to explore the dynamic relationship between the uncertainty of economic policy,the stock market and the real estate market in China.The results show that the three interactions have a lag effect and most of them have time-varying characteristics.The impact of economic policy uncertainty has a strong short-term impact on the fluctuation of the two markets and a significant lag effect on the real estate market.The negative transmission effect of stock market and real estate market on economic policy uncertainty lasts for a long time,and abnormal fluctuations in either market will bring volatility risk to the other market.In order to avoid the accumulation of risks in China's financial market caused by the frequent changes of economic policy uncertainty and prevent the mutual transmission of market risks,it is suggested that the government strengthen the monitoring of abnormal volatility risks in internal and external markets,so as to effectively maintain the smooth operation of China's macroeconomic and financial markets.
作者
杨苓
蒋远营
YANG Ling;JIANG Yuan-ying(College of Science,Guilin University of Technology,Guilin 541004,China)
出处
《系统工程》
CSSCI
CSCD
北大核心
2023年第3期47-56,共10页
Systems Engineering
基金
国家自然科学基金资助项目(71963008)
广西哲学社会科学规划项目(22BTJ001,21BTJ001)
关键词
经济政策不确定性
金融系统
市场波动
马尔科夫区制转换
时变参数向量自回归
Economic Policy Uncertainty
Financial System
Market Volatility
Markov Regime Switching
Time-varying Parameter Vector Auto-regression
