美国货币和股票市场的时变溢出效应:两个多世纪以来的历史证据

Q2 Decision Sciences
Semei Coronado, Rangan Gupta, Besma Hkiri, O. Rojas
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引用次数: 5

摘要

在本文中,我们分析了1791年9月至2019年9月期间美元兑英镑汇率与标准普尔500指数回报率之间随时间变化的因果关系。基于动态条件相关-多元广义自回归条件异方差(DCC-MGARCH)框架,我们发现两种回报之间单向因果关系的证据通常很弱,并且主要局限于布雷顿森林协议破裂后的时期。然而,这两个市场回报的瞬时溢出效应相当强,这反过来往往表明存在非同步交易和高频因果依赖,后者基于1900年1月3日至2019年10月4日的每日数据得到证实。此外,潜在的DCC表明,投资者实际上有投资组合多样化的机会。最后,对第二时刻的分析显示,与回报联系相比,这两种资产之间存在波动性溢出效应的证据要强得多。这一结果对于制定旨在减少不确定性对实体经济影响的政策具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries
In this paper, we analyze time-varying causality between the dollar-pound exchange rate and S&P 500 returns over the monthly period of September, 1791 to September, 2019. Based on a Dynamic Conditional Correlation-Multivariate Generalised Autoregressive Conditional Heterosckedasticity (DCC-MGARCH) framework, we find that evidence of unidirectional causality between the two returns is in general weak, and primarily restricted to the period following the breakdown of the Bretton Woods agreement. However, instantaneous spillovers across the returns of these two markets is quite strong, which in turn tends to suggest the existence of nonsynchronous trading and also high-frequency causal dependency, with the latter confirmed based on daily data covering 3 January 1900 – 4 October 2019. Moreover, the underlying DCC reveals that there is actually portfolio diversification opportunities for investors. Finally, an analysis of the second moments reveal much stronger evidence of volatility spillovers between these two assets, when compared to the return linkages. This result has important implications from the perspective of policy making aiming to reduce the impact of uncertainty on the real economy.
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来源期刊
Advances in Decision Sciences
Advances in Decision Sciences Mathematics-Applied Mathematics
CiteScore
4.70
自引率
0.00%
发文量
18
审稿时长
29 weeks
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