美国不确定性冲击对全球股市波动的影响研究OA北大核心CHSSCDCSTPCD

Selecting four types of uncertainty indexes of macroeconomic uncertainty(MU),fi-nancial uncertainty(FU),economic policy uncertainty(EPU)and geopolitical risk(GPR)in the US from 2000 to 2021,as well as the stock returns data of the top 15 countries in the global GDP ranking,and based on the multi-dimensional uncertainty shock framework,single-factor,double-factor and multi-factor mixed frequency GARCH-MIDAS models are used to empirically investi-gate the differentiated impact of US uncertainty on the stock market volatility of major global countries from two aspects:in-sample fitting and out-of-sample forecasting.The results show that:(1)US financial uncertainty and macroeconomic uncertainty have a positive impact on the long-term stock market volatility in most countries,among which US financial uncertainty has the most extensive impact.(2)The US financial uncertainty is the main factor affecting the long-term volatility of China's stock market,and the Sino-US trade friction is mainly transmitted through the US financial uncertainty.(3)The increase of US economic policy uncertainty will in-crease the long-term volatility of Russian and Mexican stock markets,and the US geopolitical risk has a significantly positive impact on the long-term volatility of Italian stock market.