Study on the Cross-Market Effects under the Impact of Macroeconomic Policies
Abstract: By Copula functions, this paper analysis the changes of correlation structure between stocks market, government bonds market and corporate debt market, under the impact of macroeconomic policy. Through the changes in the correlation structure, we give empirical test of cross-market effects under different impact of macroeconomic policy. Evidence shows that under the positive impact of macroeconomic policies, there is positive shift investment behavior between stocks marker and government bonds marker, stock market and corporate debt market as well. There is risk infection between government bonds market and corporate debt market; under the negative impact of macroeconomic policy, there is significant cross-market risk contagion among stocks market, government bonds market and corporate debt market.
文章引用: 罗明华 , 田益祥 , 张高勋 (2012) 宏观经济政策冲击下的跨市场效应研究。 金融， 2， 100-107. doi: 10.12677/fin.2012.22010
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