亚洲经济中的平均和波动性溢出:贸易战的证据
Anum Shafique1, Nousheen Tariq Bhutta1
1Department of Management Sciences, Capital University of Science and Technology, Islamabad, Pakistan.
PloS one
|November 9, 2023
概括
该研究没有发现贸易战对亚洲市场的溢出影响的证据. 尽管存在担忧,但这些市场仍可能为寻求美国和中国经济替代方案的投资者提供多元化优势.
科学领域:
- 金融经济学 金融经济学
- 国际贸易 国际贸易 国际贸易
- 计量经济学 计量经济学
背景情况:
- 美中贸易战引发了重大的经济不确定性,影响了全球金融市场.
- 与这些经济体密切相关的亚洲市场是贸易战引起的波动的潜在受益者.
- 对寻求多元化和风险管理的投资者来说,了解溢出效应至关重要.
研究的目的:
- 评估美中贸易战对亚洲股票市场的平均和波动溢出影响.
- 为了确定亚洲市场是否在贸易紧张的情况下提供多元化利益.
- 分析综合贸易战变量的影响,重点关注美国政策.
主要方法:
- 为了分析波动的溢出效应,采用了通用自回归条件异种化 (GARCH) 模型.
- 使用美国双边关税,贸易政策和经济政策不确定性构建了一个复合变量.
- 该研究专注于贸易战变量构造的美国组成部分.
主要成果:
- 该研究没有发现美国-中国贸易战对亚洲市场的平均值或波动性溢出效应具有统计学意义.
- 基于美国政策的综合贸易战变量没有显示出重大影响.
- 与最初的假设相反,直接溢出道没有经验支持.
结论:
- 亚洲市场可能不会像最初担心的那样经历美中贸易战的直接负面溢出影响.
- 投资者可能仍然会在亚洲市场中找到多元化的好处,而不依赖于美中贸易动态.
- 决策者在评估贸易争端的更广泛经济影响时应该考虑这些发现.
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