摘要
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 financial market volatility and spillover effect have been the hot issues in economic and financial study.SV model is an effective tool in describing the volatility of financial time series,but few literatures studies the vector SV model for the difficulty in parameter estimation.With the help of WinBUGS software,this paper used the MCMC method which based on Gibbs sampling to estimate the DC-MSV model and the GC-MSV mode.Thus,the dynamic price spillover and volatility spillover between the foreign exchange market and stock market can be calculated.The empirical results show that there is obvious negative time-varying price spillover effect between the two financial markets.The volatility spillover is asymmetric,which means the fluctuations from exchange rate market to stock market are stronger than the stock market spillover volatility on exchange rate market.
出处
《系统工程》
CSSCI
CSCD
北大核心
2010年第10期47-53,共7页
Systems Engineering
基金
国家社会科学基金重点资助项目(07AJL005)
教育部人文社会科学规划基金资助项目(10YJA630180)
湖南省社科基金资助项目(09YBB083)
