基于時變參數狀態空間模型的利率變動跨市場效應研究

羅明華 田益祥

摘 要：利率變動對股票市場和債券市場的沖擊是國內外學術界和政府管理層重點關注的問題之一。本文利用定單流蘊含利率變動的跨市場信息含量，構建似不相關模型檢驗了利率變動的跨市場效應，建立時變參數狀態空間模型刻畫了利率變動跨市場效應的時變特征。實證結果顯示，利率變動引起股票市場和國債市場、股票市場和企業債市場之間的投資轉移以及國債市場和企業債市場之間的風險傳染。利率變動通過國債市場對股票市場產生了負向跨市場沖擊，通過企業債市場對股票市場產生了正向跨市場沖擊。國債市場和企業債市場是利率變動跨市場效應的傳導渠道。

關鍵詞：利率；跨市場效應；似不相關模型；狀態空間模型；股票市場；債券市場

中圖分類號：F830 文獻標識碼：A 文章編號：1003-5192(2012)04-0063-06

Study on the Cross-market Effects of Interest Rate Changes Based on

Time-varying Parameter State Space Model

LUO Ming-hua, TIAN Yi-xiang

(School of Economics and Management, University of Electronic Science and Technology of China, Chengdu 610054, China )

Abstract:The impact of interest rate changes on stock and bond markets is one of the issues domestic and international academic and government management focus on. This paper uses the cross-market information content of interest rate changes contained in order flow, constructs Seemingly Unrelated Regression model to test the cross-market effects of interest rate changes, and builds the time-varying parameter state space model to present the time-varying characteristics of the cross-market effects of interest rate changes. The empirical results show that interest rate changes cause the flight between stock market and Treasury bond market, and between stock market and corporate bond market, and risk contagion between Treasury bond market and corporate bond market. Interest rate changes have a negative impact on stock market through the Treasury bond market, and have a positive impact on stock market through the corporate bond market. The bond market and corporate bond market are the transmission channels of the cross-market effects of interest rate changes.

Key words:interest rates; cross-market effects; seemingly unrelated regression model; state space model; stock market; bond market

1 引言

近年來，利率變動與股票、債券市場的關系以及利率變動對股票、債券市場的影響效應等問題受到學術界、業界和政府管理層的廣泛關注。其中，利率變動的跨市場效應是重點研究的問題之一。利率變動的跨市場效應是指利率變動引起的投資者在股票市場和債券市場之間的跨市場投資轉移，以及利率變動產生的沖擊在股票市場和債券市場之間的跨市場風險傳染。研究利率變動的跨市場效應一方面可以提高投資者對利率變動跨市場效應及跨市場投資轉移、風險傳染內在機理的認識，規避利率變動產生的風險，另一方面可以為政府管理層制定合理的利率政策引導投資者的跨市場投資轉移和規避利率風險傳染提供有益參考。……