宏观经济政策冲击下的跨市场效应研究

Study on the Cross-Market Effects under the Impact of Macroeconomic Policies

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的正向投资转移行为，而国债和企业债之间则表现为正向风险传染；在利空宏观经济政策冲击下：股票、国债和企业债市场间存在明显的跨市场负向风险传染效应。

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.