我国股债非线性联动的影响因素分析——基于股市全流通的视角

摘要

Based on the perspective of full circulation of stock market,the factors affecting the nonlinear stock-bond co-movement are studied by using the LSTR model in this article, we find that: the stock-bond co-movement is affected by stock volatility, short-term interest rates, spreads and stock return, bond yields, the rate of inflation and economic growth rate, especially affected by stock volatility, short-term interest rate, spreads. But the effect is not significant in present stage, and meanwhile it is not steady.%本文基于股市全流通的视角,利用LSTR模型实证分析了我国股债非线性联动的影响因素,结果表明:我国股债联动性受到股市波动、短期利率、利差、股票收益率、债券收益率、通货膨胀率和经济增长率等因素的影响,尤其受到股市波动、短期利率、利差这3个因素的影响,但这种影响在现阶段还不显著,而且这种影响也是不稳健的.