摘要
基于2003-2018年11个国家样本月度数据,采用面板向量自回归模型、脉冲响应函数和方差分解方法,实证研究了经济政策不确定性和股票市场收益之间的动态关系。研究结果表明:经济政策不确定性和股票市场收益之间有显著的负向关系,且二者互为格兰杰原因;G7国家中,经济政策不确定性和股票市场收益之间存在格兰杰因果关系,而在金砖国家中,股票市场收益是经济政策不确定性的格兰杰原因,经济政策不确定性不是股票市场收益的格兰杰原因;在金融危机期间,经济政策不确定性对股票市场收益的影响更为复杂。据此,政府应提高制定政策的透明度和政策的持续性、稳定性;防范其他国家经济环境变化对本国造成的影响,提高监管效率,维护资本市场稳定。
Based on the monthly sample data of 11 countries from 2003 to 2018,this paper adopts panel vector autoregression model(PVAR),impulse response function graph and variance decomposition method to analyze the dynamic relationship between economic policy uncertainty and stock market returns.The results show that there is a significant negative relationship between economic policy uncertainty and stock market returns in 11 sample countries,and there is a granger causality between economic policy uncertainty and stock market returns.In G7 countries,there is a granger causality between economic policy uncertainty and stock market returns.In Brics countries,stock market returns are the granger cause of economic policy uncertainty,while economic policy uncertainty is not the granger cause of stock market returns.During the financial crisis,the impact of economic policy uncertainty on stock market returns was more complex.Based on the above conclusions,this paper proposes that the government should improve the transparency and sustainability of policy making.The government should guard against the impact of changes in the economic environment in other countries,improve the efficiency of supervision,maintain the stability of the capital market and other policy recommendations.
作者
翟晓英
杨严钧
ZHAI Xiao-ying;YANG Yan-jun(Institute of Management and Decision,Shanxi University,Taiyuan 030001,China;School of Economics and Management,Shanxi University,Taiyuan 030001,China)
出处
《经济问题》
CSSCI
北大核心
2020年第8期37-45,共9页
On Economic Problems
基金
山西省留学归国人员项目(2016018)
山西省软科学项目(2018041051-1)
教育部青年人文社科项目(18YJC790119)
山西省“1331”工程创新团队(TK201710)。
