Modelling impact of monetary policy on stock market liquidity a dynamic copula~~

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

《Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach》

此篇论文发表在2015年Applied Economics Letters上。作者使用Symmetrized Joe-Clayton copula模型来分析中国股票市场流动性和货币政策的依附结构。 作者发现中国货币市场的起伏对其股票市场流动性有着不对称的影响以及金融危机后中国货币流通性和股票市场流动性的分布左尾依赖性加强。

简介

This article investigates the dependence structure between monetary policy and stock market liquidity in China. The dynamic ‘symmetrized JC’ copula copula is applied to capture evolving asymmetric behaviours and tail dependence. The empirical evidence shows that less liquid stock markets are influenced by contractionary monetary policy, and highly liquid stock markets are dependent on expansionary monetary policy. The asymmetric effect of monetary shocks on stock market liquidity is also found. The empirical results also indicate that the strength of lower-tail dependence between monetary liquidity and stock liquidity rises significantly for the post-crisis period.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：Modelling Liquidity Monetary modelli Dynamic dynamic impact market policy

DuShu16 发表于 2017-1-27 00:09
《Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach》

此篇 ...

谢谢咯楼主分享