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本文基于VAR—GARCH—M—BEKK模型对我国2005年7月22日至2014年4月18日间的股票市场、债券市场、外汇市场、货币市场均值与波动溢出效应进行深入研究,探讨我国金融市场间“风险传染”的作用机理。实证结果表明,我国金融市场间一阶矩均值溢出效应不显著,但是存在较明显的二阶矩波动溢出效应。因此,目前我国的主要矛盾是进一步提高各金融市场之间关联性的问题,使货币政策有较高的传导效率。
Based on the VAR-GARCH-M-BEKK model, this paper studies the stock market, bond market, foreign exchange market, money market mean and volatility spillover effect from July 22, 2005 to April 18, 2014 in our country, Market mechanism of “risk infection” mechanism. The empirical results show that the first-order mean-value spillover effect between financial markets in our country is not significant, but there is more obvious second-order moment-spillover effect. Therefore, at present, the main contradiction in our country is to further raise the issue of the connection between financial markets and to make monetary policy more effective in transmission.