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本文以沪深300股票指数、沪深300股指期货与货币政策之间关系为研究对象,通过构建协整误差修正模型和多元VAR-BEKK-MVGARCH(1,1)模型的递进式计量分析框架,深入剖析和比较了中国股指期货推出前后股票市场与货币政策的关联互动关系。研究结果表明:在考虑金融市场信息溢出的条件下,中国货币政策与股票价格之间长期均衡的协整关系较股指期货上市前的时期并未发生改变;Granger因果关系表现为由股票市场到货币政策的单向引导作用,较股指期货上市前的时期已经发生改变;此外,中国股票市场资产价格波动与货币政策调整之间存在显著的双向风险溢出,且货币政策调整对股票市场资产价格的风险传递更强;但股指期货推出后,货币政策对股票市场的风险溢出较之前有所降低。
In this paper, the relationship between the Shanghai-Shenzhen 300 Stock Index and the CSI 300 stock index futures and monetary policy is taken as the research object. By constructing a co-integration error correction model and a progressive metrological analysis framework of the multivariate VAR-BEKK-MVGARCH (1,1) model, , In-depth analysis and comparison of the interaction between the stock market and monetary policy before and after the introduction of China’s stock index futures. The results show that under the conditions of financial market information overflow, the long-term equilibrium co-integration between China’s monetary policy and stock prices does not change compared with the period before the listing of stock index futures. The Granger causality is represented by the stock market to the currency In addition, there is a significant two-way risk spillover between asset price volatility and monetary policy adjustment in China’s stock market, and the risk that monetary policy adjusts to the stock market asset price Pass more; but after the introduction of stock index futures, the risk of monetary policy on the stock market risk spillover decreased.