QQ客服 官方微博 反馈留言

	人民币升值对中小板市场波动的影响——基于贝叶斯分位数回归的分析; The Impact of RMB Appreciation on the Volatility of Small and Medium-sized Board Market Based on Bayesian Quantile Regression
	陈耀辉 ; 郭俊峰 ; 殷文超
	2015-01-28
关键词	人民币升值 中小板综合指数 贝叶斯估计 分位数回归 自回归分布滞后 RMB Appreciation Small and Medium-sized Board Composite Index Bayesian Estimation Quantile Regression ARDL
英文摘要	由于传统均值回归模型无法很好地刻画中小板综合指数极差、汇率和利率具有的尖峰厚尾及结构突变等特征,本文利用分位数回归基本思想,引入自回归分布滞后效应,借助不对称lAPlACE分布进行贝叶斯估计,构建基于gIbbS抽样的贝叶斯自回归分布滞后分位数回归模型,并考察了人民币升值对中小板综合指数极差波动的影响。结果表明,中小板市场主要受自身过去波动的刺激作用,利率影响微弱;人民币升值可以平缓中小板市场波动,但股市波动剧烈时,抑制效果减小。因此本文认为在股市波动平缓的情况下,可以适当推进人民币升值步伐。; As traditional mean regression models cannot describe the characteristics of the thick tail and structural breaks of small and medium-sized board market composite index's range,exchange rate and interest rate,this paper creates Bayesian autoregressive distributed lag quantile regression model based on Gibbs sampling using quantile regression method,combined autoregressive distributed lag effect and Bayesian estimating through the Asymmetric Laplace distribution,then analyses the impact of RMB appreciation on the range fluctuations of small and medium-sized board market composite index.The empirically results show that this stock market mainly stimulated by its' own past volatilities and interest rate has weak effect,What's more,the appreciation of RMB can reduces small and medium-sized board market's fluctuations,but the negative effect decreases when the stock market waves largely.Thus,this paper argues that the government should promote RMB appreciation appropriately under the condition of gentle volatility.; 国家自然科学基金资助项目(71373219);国家自然科学基金青年项目(71103150); 全国统计科学研究计划项目(2012LY045); 中央高校基本科研业务费项目(2013221012); 江苏高校优势学科建设工程项目(PAPD); 江苏省普通高校研究生科研创新计划项目(CXLX12_0596)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/113631]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	陈耀辉,郭俊峰,殷文超. 人民币升值对中小板市场波动的影响——基于贝叶斯分位数回归的分析, The Impact of RMB Appreciation on the Volatility of Small and Medium-sized Board Market Based on Bayesian Quantile Regression[J],2015.
APA	陈耀辉,郭俊峰,&殷文超.(2015).人民币升值对中小板市场波动的影响——基于贝叶斯分位数回归的分析..
MLA	陈耀辉,et al."人民币升值对中小板市场波动的影响——基于贝叶斯分位数回归的分析".(2015).

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。