【作者】 罗明华；

【导师】 田益祥；

【作者基本信息】 电子科技大学 ， 管理科学与工程， 2012， 博士

【摘要】 宏观经济政策的冲击效应已经得到研究学者的广泛关注。本文在对相关文献进行系统性综述的基础上，发现宏观经济政策冲击的市场内冲击效应研究已经取得了一些有益的成果，但是对宏观经济政策冲击的跨市场效应尚未得到研究学者的重视。因此，本文结合我国股票和债券市场的实际情况以及相关政策的制定和实施，使用金融市场计量经济学的相关理论和方法，通过构建计量经济模型，实证检验了我国宏观经济政策冲击的跨市场效应，重点检验了宏观经济政策的信息含量、宏观经济政策的非对称效应、宏观经济政策冲击下的跨市场投资转移和风险传染等问题。首先，本文实证检验了宏观经济政策的信息含量。通过构建似不相关（Seemingly Unrelated Regression，简称SUR）模型，不仅分析了宏观经济政策的市场内信息含量，而且分析了宏观经济政策的跨市信息含量。由于宏观经济政策的冲击会影响市场的定单流和流动性，本文同时也分析了定单流和流动性的市场内和跨市场信息含量。实证检验结果表明，宏观经济政策对股票、国债和企业债市场的影响不同。其次，本文实证检验了宏观经济政策的跨市场非对称效应，分析了扩张性和紧缩性的货币政策对股票、国债和企业债市场产生的跨市场非对称效应，讨论了利率政策对股票、国债和企业债市场产生的两种跨市场非对称效应——跨市场投资转移和跨市场风险传染，并刻画了跨市场非对称效应的时变特征。实证分析结果表明，货币政策冲击不仅存在方向上的非对称效应：紧缩性与扩张性货币政策之间的非对称性，而且存在不同市场之间的非对称性：货币政策冲击对股票、国债和企业债市场产生了非对称效应。利率变动引起股票市场和国债市场、股票市场和企业债市场之间的投资转移以及国债市场和企业债市场之间的风险传染。同时，利率变动的跨市场效应呈现时变特征，利率变动冲击大小随时间而发生变动。再次，本文实证检验了宏观经济政策冲击下的跨市场投资转移。从微观层面分析流动性和定单流等微观因素对股票、国债和企业债市场的跨市场投资转移的影响，从宏观层面探讨货币供应量和拆借利率等宏观经济政策变量对跨产生投资转移的影响。实证分析结果表明，宏观经济政策变量会影响到投资者的跨市场投资转移行为。在货币供应量和银行间同业拆借利率等宏观因素的影响下，股票和债券市场之间存在显著的投资转移行为。在银行间拆借利率的影响下，国债市场定单流下降，企业债市场定单流、流动性上升（报价较差减小）。银行间拆借利率的影响使得在债券市场上出现显著的市场内投资转移行为。最后，本文实证检验了宏观经济政策冲击下的跨市场风险传染。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。更多还原

【Abstract】 The shock effects of macroeconomic policies has been widespread concerned bythe research scholars. Based on systematic review of the relevant literatures, this paperfinds that the researches of the shock effects of macroeconomic policies have madesome useful results. However, the cross-market effects of macroeconomic policies’impact have not yet been to the attention of research scholars. Therefore, combiningthe actual situation of China’s stock and bond markets and related policy formulationand implementation, this paper uses of the theory and method of financial marketseconometrics, by constructing econometric models, to examine the cross-marketeffects of macroeconomic policies’ impact, such as the information content ofmacroeconomic policies, the asymmetric effect of macroeconomic policies, thecross-market flight and risk contagion under the impact of macroeconomic policies.Firstly, the information content of macroeconomic policies is empirically tested.By constructing Seemingly Unrelated Regression model, this paper not onlyanalyzes within-market information content of macroeconomic policies, but alsoanalyzes cross-market information content of macroeconomic policies. Becausemacroeconomic policies will affect the order flow and liquidity of the market, thispaper also analyzes the within-market and cross-market information of order flow andliquidity. The empirical test results show that the impacts of macroeconomic policieson stock, Treasury bond and corporate bond markets are different.Secondly, the cross-market asymmetric effects of the macroeconomic policies areempirically tested. This paper analyzes the cross-market asymmetric effects ofexpansionry and contractionary monetary policies on stock, Treasury bond andcorporate bond markets. Also, this paper analyzes two cross-market asymmetric effectsof interest rate policy on the stock, Treasury bond and corporate bond markets:cross-market flight and cross-market risk contagion. This paper depicts time-varyingcharacteristics of cross-market asymmetric effects. The empirical results show that theimpact of monetary policy not only exists the direction of the asymmetric effect, butalso exists asymmetry effects among stock, Treasury bond and corporate bond markets. Changes in interest rates caused the flight between stock market and Treasurybond market, and between stock market and corporate bond market as well as riskcontagion between Treasury bond and corporate bond market. At the same time, thecross-market effects of changes in interest rates present time-varying characteristics.The size of changes in interest rates’ impact changes over time.Thirdly, the cross-market flight under the macroeconomic policies’ impact isexamined. From the micro-level, this paper analyzes the impacts of microeconomicfactors such as liquidity and order flow on the cross-market flight of stock, Treasurybond and corporate bond markets. From the macro-level, this paper analyzes theimpact of macroeconomic policy variables such as money supply and lending interestrates on cross-market flight. The empirical results show that the macroeconomic policyvariables will affect the investor’s cross-market flight behavior. There is a significantflight behavior between stock and bond markets under the influence of money supplyand inter-bank lending interest rates. Under the influence of the inter-bank lending rate,the order flow of Treasury bond market decreases, the order flow and liquidity ofcorporate bond market increases (bid spreads decreases). The impact of inter-banklending interest rates makes a significant within-market flight behavior in the bondmarket.Lastly, cross-market risk contagion under the impact of macroeconomic policiesis empirically tested. By Copula functions, this paper analysis the changes ofcorrelation structure between stocks market, government bonds market and corporatedebt market, under the impact of macroeconomic policy. Through the changes in thecorrelation structure, we give empirical test of cross-market effects under differentimpact of macroeconomic policy. Evidence shows that under the positive impact ofmacroeconomic policies, there is positive shift investment behavior between stocksmarker 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-marketrisk contagion among stocks market, government bonds market and corporate debtmarket.更多还原