基于BVAR模型的股债联动关系实证研究

发布时间：2018-03-21 14:14

本文选题：股债联动关系　切入点：向量自回归　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票市场和债券市场作为实体经济直接融资方式下的主要资金来源渠道，同时也或直接或间接的反映着我国经济运行情况ǐ随着实体经济金融市场不断发展与开放，研究股票和债券这两个子市场之间的内在关系，了解其中相互作用的传导机制，一方面可以为宏观经济发展提供政策建议，更好的发挥金融市场服务实体经济；另一方面可以及时控制金融风险的波及范围，保证国民经济的健康发展，缓冲风险ǐ此外，也可以为投资者资产配置提供投资建议ǐ 其他学者对于证券市场的两个子市场股票市场和债券市场间的联动关系的研究结果表明我国证券市场的溢出效应明显，在本文中，作者将进一步深入定量研究两市之间的作用机理，传导途径，形成冲击的方向与力度，影响范围表现以及滞后期等ǐ 文章首先在进行理论分析的基础上，，确定宏观经济变量作为传导途径，选取通货膨胀率利率汇率货币供应量建立VAR模型，通过Granger因果关系检验方差分解脉冲响应函数误差修正模型等定量测定股债轮动现象，通过用最小二乘方法（OLS）和贝叶斯方法（BVAR）来进行模型估计，利用先验信息得到了更好的拟合效果ǐ分析得出结果，并提出了强化证券市场的价格发现机制调整证券市场结构等政策建议ǐ
[Abstract]:The stock market and bond market as the main source of funds under the direct financing mode of the real economy, also directly or indirectly reflect the economic operation of our country with the development and opening of the real economy financial market. The study of the relationship between the two sub-markets, stocks and bonds, and understanding of the transmission mechanism of the interaction between them, on the one hand, can provide policy advice for macroeconomic development and better play the role of financial markets in serving the real economy; On the other hand, it can control the scope of financial risk in time, ensure the healthy development of national economy, and buffer the risk. In addition, it can also provide investment advice for investors in asset allocation. The results of other scholars' studies on the linkage between the two sub-markets of the securities market and the bond market show that the spillover effect of the securities market in China is obvious. In this paper, The author will further and quantitatively study the mechanism of action between the two cities, the transmission pathway, the direction and intensity of the impact, the scope of influence and the lag. Firstly, on the basis of theoretical analysis, this paper determines the macroeconomic variables as the transmission path, selects the inflation rate, interest rate, exchange rate and money supply to establish the VAR model. By using Granger causality test, variance decomposition impulse response function error correction model and other quantitative measurement of stock debt rotation phenomenon, the least square method and Bayesian method are used to estimate the model. A better fitting effect is obtained by using the prior information, and some policy suggestions such as strengthening the price discovery mechanism of the securities market and adjusting the structure of the securities market are put forward.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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