关 键 词 :EPU指数;恐慌指数;VAR模型;双向均值传递学科分类:经济学--金融学
随着世界经济格局的发展,国际政治对证券市场的影响越来越明显。众所周知,经济政策的调整可能会引起金融市场参与者的恐慌。金融市场的巨大波动可能导致经济政策的变化。但关于这一点的实证研究仍有较大的探索空间。研究经济政策与金融波动的关系,将对整个经济市场的稳定和金融投资行为产生重大影响。在研究中,通过格兰杰因果关系模型检测经济政策不确定性指数(EPU)与恐慌指数(VIX)之间的双向格兰杰因果关系。这意味着任何一个指数的变化都会直接影响到另一个指数。在VAR模型的结果中,VIX滞后对EPU的影响系数几乎不显著。然而,EPU对VIX的滞后效应都是显著的。脉冲响应分析和方差分解也得到了一致的结果。数值上,VIX对EPU的影响弱于VIX对EPU的影响。EPU可以作为VIX较好的先行指标,而VIX对EPU的影响相对较小。投资者可以通过EPU及时调整头寸,监管机构也可以通过EPU引导股市。
With the development of the world economic pattern, the impact of international politics on the stock market is becoming more and more obvious. It's well-known that the adjustment of economic policy may cause the panic of the financial market's participants. And the huge fluctuation of the financial market may lead to the change of economic policy. But the empirical study on this point still has considerable space to explore. The research on the relationship between economic policy and fluctuation of finances will have a great impact on the stability of the whole economic market and financial investment behavior. In the research, the bidirectional Granger causal relationship between the Economic Policy Uncertainty index (EPU) and Volatility Index (VIX) is detected by the Granger causality model. That means the changes in either index will directly affect another index. In the result of the VAR model, the coefficients of the effects from lags of VIX to EPU are almost insignificant. However, that of the effects from lags of EPU to VIX are all significant. Consistent results are also obtained from impulse response analysis and variance decomposition. Numerically, the impact of VIX on EPU is weaker than that of VIX on EPU.EPU can be a good lead indicator of VIX, while VIX has a relatively small effect on EPU. Investors can adjust their positions in time through EPU, while regulators can guide the stock market with EPU.