| 基于时变参数状态空间模型的利率变动跨市场效应研究 |
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| 引用本文： | 罗明华,田益祥.基于时变参数状态空间模型的利率变动跨市场效应研究[J].预测,2012,31(4):63-68. |
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| 作者姓名： | 罗明华 田益祥 |
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| 作者单位： | 电子科技大学经济与管理学院,四川成都,610054 |
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| 基金项目： | 四川省软科学研究计划资助项目 |
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| 摘 要： | 利率变动对股票市场和债券市场的冲击是国内外学术界和政府管理层重点关注的问题之一。本文利用定单流蕴含利率变动的跨市场信息含量,构建似不相关模型检验了利率变动的跨市场效应,建立时变参数状态空间模型刻画了利率变动跨市场效应的时变特征。实证结果显示,利率变动引起股票市场和国债市场、股票市场和企业债市场之间的投资转移以及国债市场和企业债市场之间的风险传染。利率变动通过国债市场对股票市场产生了负向跨市场冲击,通过企业债市场对股票市场产生了正向跨市场冲击。国债市场和企业债市场是利率变动跨市场效应的传导渠道。
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| 关 键 词： | 利率 跨市场效应 似不相关模型 状态空间模型 股票市场 债券市场 |
Study on the Cross-market Effects of Interest Rate Changes Based on Time-varying Parameter State Space Model |
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| LUO Ming-hua
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TIAN Yi-xiang.Study on the Cross-market Effects of Interest Rate Changes Based on Time-varying Parameter State Space Model[J].Forecasting,2012,31(4):63-68. |
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| Authors: | LUO Ming-hua TIAN Yi-xiang |
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| Institution: | (School of Economics and Management,University of Electronic Science and Technology of China,Chengdu 610054,China) |
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| Abstract: | The impact of interest rate changes on stock and bond markets is one of the issues domestic and international academic and government management focus on.This paper uses the cross-market information content of interest rate changes contained in order flow,constructs Seemingly Unrelated Regression model to test the cross-market effects of interest rate changes,and builds the time-varying parameter state space model to present the time-varying characteristics of the cross-market effects of interest rate changes.The empirical results show that interest rate changes cause the flight between stock market and Treasury bond market,and between stock market and corporate bond market,and risk contagion between Treasury bond market and corporate bond market.Interest rate changes have a negative impact on stock market through the Treasury bond market,and have a positive impact on stock market through the corporate bond market.The bond market and corporate bond market are the transmission channels of the cross-market effects of interest rate changes. |
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| Keywords: | interest rates cross-market effects seemingly unrelated regression model state space model stock market bond market |
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