摘要
自2004年以来,中国政府颁布并实施了一系列货币市场和资本市场的改革措施,增强了金融市场间的关联性。笔者基于VAR(4)-GARCH(1,1)-BEKK模型,对我国自二次汇改以来股票市场、外汇市场与货币政策联动性进行了分析探讨。研究显示,我国货币政策与股票市场存在显著的关联性,市场间具有显著的均值溢出效应和波动溢出效应。政府应制定合理有效的监管框架发挥金融改革协同效应,货币政策必须与汇率政策协调,避免金融市场大幅波动,降低风险,促进宏观经济稳定。
Based on VAR（4）-GARCH（ 1,1）-BEKK model,the authors analyze the Linkages between monetary market,stock market,exchange market. The results show that there are significant correlations between monetary market and financial markets,and significantly mutual mean and volatility spillover effect within financial markets. So,in order to full play synergistic effect for the reform of financial,government should formulate reasonable and effective supervisory framework,central bank is supposed to coordinate the relation of exchange policy and monetary policy,promote the maroeconomic stability.
出处
《经济经纬》
CSSCI
北大核心
2016年第5期155-160,共6页
Economic Survey
关键词
利率
汇率
股票市场
溢出效应
Interest Rate
Exchange Rate
Stock Market
Spillover Effect
