财经理论与实践2024，Vol.45Issue(2)：48-55,8.DOI:10.16339/j.cnki.hdxbcjb.2024.02.007
美国不确定性冲击对全球股市波动的影响研究
A Study on the Impact of US Uncertainty Shocks on Global Stock Market Volatility
摘要
Abstract
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.关键词
美国不确定性/股市波动/GARCH-MIDAS/样本外预测Key words
US uncertainty/stock market volatility/GARCH-MIDAS/out-of-sample fore-casting分类
管理科学引用本文复制引用
李政,李薇..美国不确定性冲击对全球股市波动的影响研究[J].财经理论与实践,2024,45(2):48-55,8.基金项目
国家社科基金重大项目(22&ZD120) （22&ZD120）
教育部人文社会科学重点研究基地重大项目(22JJD790046) （22JJD790046）
教育部人文社会科学研究一般项目(17YJA790024) （17YJA790024）
