影子政策利率与股票市场之间的多分体动态的相互作用
Faheem Aslam1, Wahbeeah Mohti2, Haider Ali1
1Department of Management Sciences, COMSATS University Islamabad, Park Road, 45550 Islamabad, Pakistan.
Heliyon
|July 24, 2023
概括
这项研究揭示了国际货币政策 (以影子空头利率衡量) 与八个发达经济体的股票市场之间的交叉相关性中的显著多元特征. 调查结果为导航全球金融动态的央行和投资者提供了洞察力.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 量化金融 量化金融
背景情况:
- 股票市场经常充当主要的经济指标,对货币政策作出反应.
- 中央银行在金融危机期间越来越多地利用非传统的货币政策,例如2007-2009年全球金融危机和COVID-19大流行.
- 影子短期利率 (SSR) 在传统和非传统的货币政策制度中提供了一种一致的衡量标准.
研究的目的:
- 研究国际货币政策与股票市场表现之间的交叉相关性.
- 分析这些关系在一个多元结构框架内.
主要方法:
- 雇佣的多分形受损交叉相关性分析 (MF-DXA).
- 利用了2000年1月1日至2022年3月31日的每日数据.
- 对八个发达经济体的股票市场指数分析了特定国家的影子空头利率 (SSR).
主要成果:
- 所有国家特定的SSR和股票市场对都表现出显著的多分位式属性.
- 在新西兰 (NZ-SSR/NZX50),美国 (US-SSR/DJIA) 和加拿大 (CN-SSR/S&P TSX) 观察到的多分位数模式最高.
- 澳大利亚和新西兰市场显示与SSR的反持续交叉相关性,而其他市场显示持续交叉相关性.
结论:
- 这项研究证实了货币政策和股票市场之间的复杂,多元的相互依赖关系.
- 调查结果对货币政策制定和投资策略有实际影响.
- 了解这些动态对于央行和市场参与者来说至关重要.
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