原油价格冲击对中国股票市场的非对称影响研究
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引用本文:刘新恒1,盛虎1,赵晓芹2.原油价格冲击对中国股票市场的非对称影响研究[J].经济数学,2017,(2):70-78
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刘新恒1,盛虎1,赵晓芹2 (1.中南大学商学院湖南 长沙 4100832.长沙理工大学 数学与计算科学学院湖南 长沙 410114) 
中文摘要:原油价格冲击对股票市场的非对称影响一直是学者们关注和研究的热点问题.借鉴Kilian(2009)提出的SVAR方法将油价冲击分解为供给冲击、总需求冲击和原油特定需求冲击,并运用非线性自回归分布滞后(NARDL)模型分析了结构性油价冲击对中国股票市场(上证综指、深证成指)在长期和短期的非对称影响.研究结果表明,长期内,仅原油特定需求冲击对中国股市产生显著影响,但并不存在非对称效应.短期内,总需求冲击和原油特定需求冲击都能显著影响中国股市,且总需求冲击的影响还具有非对称影响效应.而供给冲击不管在长期还是短期均不能显著影响中国股票市场.
中文关键词:投资学  原油价格冲击  实证分析  NARDL模型  股票市场
 
Asymmetric Effects of Crude Oil Price shock on China’s Stock Market
Abstract:The SVAR method proposed by Kilian (2009) was used to disentangle the supply shock,aggregated demand shock and oil-specific demand shock,and the nonlinear ARDL (NARDL) model was used to analyze the asymmetric effects of structural oil prices shock on Chinese stock market both in the long-run and short-run.The results show that,in the long term,only the shock of specific demand for crude oil has a significant impact on the Chinese stock market,but there is no asymmetric effect.While in the short term,the shock of aggregate demand and that of specific demand for crude oil can significantly affect the Chinese stock market,and the impact of aggregate demand shock has an asymmetric effect.But supply shocks cannot significantly affect the Chinese stock market neither in the long-run nor in the short-run.
keywords:investment  oil price shock  Empirical analysis  NARDL model  stock market
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