金融宏观经济政策冲击下跨市场效应研究.pdfVIP

Finance 金融, 2012, 2, 100-107 doi:10.4236/fin.2012.22010 Published Online April 2012 (/journal/fin) Study on the Cross-Market Effects under the Impact of Macroeconomic Policies Minghua Luo, Yixiang Tian, Gaoxun Zhang School of Economics and Management, University of Electronic Science and Technology of China, Chengdu Email: lichenggang603@126.com, tianyx@ Received: Jan. 6th, 2012; revised: Jan. 25th; 2012; accepted: Feb. 11th, 2012 Abstract: By Copula functions, this paper analysis the changes of correlation structure between stocks market, government bonds market and corporate debt market, under the impact of macroeconomic policy. Through the changes in the correlation structure, we give empirical test of cross-market effects under different impact of macroeconomic policy. Evidence shows that under the positive impact of macroeconomic policies, there is positive shift investment behavior between stocks marker and government bonds marker, stock market and corporate debt market as well. There is risk infection between government bonds market and corporate debt market; under the negative impact of macroeconomic policy, there is significant cross-market risk contagion among stocks market, government bonds market and corporate debt market. Keywords: Macroeconomic Policy; Cross-Market Effects; Copula Functions; Non-Linear Correlation 宏观经济政策冲击下的跨市场效应研究 罗明华，田益祥，张高勋 电子科技大学经济与管理学院，成都 Email: lichenggang603@126.com, tianyx@ 收稿日期：2012 年1 月6 日；修回日期：2012 年1 月25 日；录用日期：2012 年2 月11 日 摘 要：本文通过Copula 函数导出的非线性相关系数、非对称上下尾部相关性来分析宏观经济政策冲 击下股票、国债和企业债市场间相关结构的变化，并通过相关结构的变化来对不同宏观经济政策冲击 下的跨市场效应进行实证检验，实证表明，在利好宏观经济政策的冲击下：股票和国债以及股票和企 业债市场之间存在着明显