摘要翻译:
本文考察了新冠肺炎疫情期间经济政策不确定性(EPU)对美国股市崩盘风险的影响。为此,我们使用GARCH-S(GARCH with skewness)模型来估计日偏度作为股市崩盘风险的代理。实证结果表明EPU与股市崩盘风险显著负相关,说明EPU的加剧增加了股市崩盘风险。此外,全球新冠肺炎疫情爆发后,这种负相关性变得更强,这表明美国股市在疫情期间的崩盘风险将更多地受到EPU的影响。
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英文标题:
《Preventing crash in stock market: The role of economic policy
uncertainty during COVID-19》
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作者:
Peng-Fei Dai, Xiong Xiong, Zhifeng Liu, Toan Luu Duc Huynh, Jianjun
Sun
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最新提交年份:
2021
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the pandemic.
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PDF链接:
https://arxiv.org/pdf/2010.01043