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金融市场波动特征及溢出效应一直是经济、金融学界研究的热点问题之一,SV模型作为一种有效刻画金融时间序列波动的工具,极具应用前景,但用于测度溢出效应的向量SV模型由于参数估计困难而鲜见于文献。本文借助WinBUGS软件,采用基于Gibbs抽样的MCMC方法,运用DC-MSV模型和GC-MSV模型分别对汇市与股市间的动态价格溢出效应和波动溢出效应进行研究。实证结果表明,汇市与股市间的价格溢出具有明显的时变特征,总体为负相关关系;汇市与股市间存在双向波动溢出效应,但汇市对股市的波动溢出要强于股市对汇市的波动溢出,呈现不对称性。
The volatility and spillover effects of financial markets have always been one of the hot topics in the economic and financial fields. As a tool to effectively describe the fluctuation of financial time series, the SV model has great application prospects. However, the SV model for measuring spillover effects Difficult to estimate parameters rarely seen in the literature. By using WinBUGS software and MCMC method based on Gibbs sampling, the dynamic price spillover effect and volatility spillover effect between foreign exchange market and stock market are studied respectively by using DC-MSV model and GC-MSV model. The empirical results show that the price spillover between the foreign exchange market and the stock market has obvious time-varying features, which are generally negatively correlated. There is a two-way volatility spillover effect between the foreign exchange market and the stock market. However, the volatility spill over the foreign exchange market is stronger than the volatility spill over from the stock market to the foreign exchange market, Asymmetry.