经济与管理研究2016，Vol.37Issue(6)：74-80,7.DOI:10.13502/j.cnki.issn1000-7636.2016.06.010
短期利率对中国股市的非对称影响
The Asymmetric Reactions of Stock Markets to the Volatility of Short-Term Interest Rates in China
摘要
Abstract
The paper adopts Markov-switching model to partition the state of China's market into bull market,volatility market and bear market,and finds that the short-term interest rates do not affect the stock return in bear market,but have significant effects in bull and volatility market.In addition,the short-term interest rates do not affect the market risk (variance of stock return)in all market regimes.This paper documents a nonlinear relation between the volatility of short term interest rate and stock market performance,which has important implications for identifying the impacts of macro-economic factors on China's stock market.关键词
货币政策/短期利率/股市收益/马尔科夫状态转换模型Key words
monetary policies/short-term interest rate/stock returns/Markov-switching model分类
管理科学引用本文复制引用
董维佳,方芳,吕鑫..短期利率对中国股市的非对称影响[J].经济与管理研究,2016,37(6):74-80,7.基金项目
国家自然科学基金青年科学基金项目“企业集团、货币政策与现金持有水平”（71402005）；北京市社会科学基金项目“北京市国有企业混合所有制改革研究” （）
