经济政策不确定性对“中-美”股市、“中国股市-黄金市场”的长期动态相关性影响研究———基于DCC-MIDAS模型

研究聚焦在中国经济政策不确定性对“中-美”股市、“中国股市-黄金市场”的长期动态相关性影响方面。引入Baker提出的用于衡量经济政策不确定性的EPU指数建立修正版DCC-MIDAS模型,基于该模型的实证结果如下:其一,中国经济政策不确定性指数变动对 “中-美”股市的长期相关性具有显著的正向影响;其二,中国经济政策不确定性指数变化对“中国股市—黄金市场”的长期相关性具有显著的负向影响,当经济政策不确定性较高时,投资者会倾向于选择相对安全的黄金资产,这恰恰符合“安全投资转移”效应。除此之外,作为应用案例,比较了美股股指期货和黄金期货的风险对冲效果,结果显示美股期货对冲更优。

Research on the Effect of Economic Policy Uncertainty for the Long-term Dynamic Correlations between China-U.S. Stock Markets as well as China Stock Market-Gold Market Based on DCC-MIDAS model

This paper focuses on the impact of China's economic policy uncertainty on the long-term dynamic correlation of China-U.S. stock markets and China stock market-gold market. For the purpose of this, the EPU index proposed by Baker for measuring economic policy uncertainty is introduced to establish a modified DCC-MIDAS model and the empirical results based on this model are carried out as follows: First, the change of China's economic policy uncertainty index has a significant positive influence on the long-term correlation of China-U.S. stock markets. Second, the change of China's economic policy uncertainty index has a significant negative impact on the long-term correlation of China's stock market-gold market. Moreover, investors tend to choose gold that is the relatively safe assets when the economic policy uncertainty is high and this finding is in accordance with the flight-to-quality phenomenon. In addition, as a case study, we analyze the effect of U.S. stock index futures and gold futures in hedging risks of China's stock market, and the result shows that U.S. stock index futures is better than gold futures.