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基于利率期限溢价和股权溢价具有区制转移的特征,本文采用马尔科夫区制转移自回归(MS-AR)模型检验利率期限溢价与股权溢价之间的非线性关系,并分析通胀预期、股市情绪和股市波动等因素对两者之间非线性关系的影响。我们的经验结果显示,不仅利率期限溢价和股权溢价各自存在区制转移特征,而且两者之间的关系也具有区制转移特征;通胀预期对两者非线性关系影响不显著,而股市情绪和股市波动能解释这种非线性关系。
Based on the characteristics of the transfer of term premiums and share premiums, this paper tests the nonlinear relationship between term premium and premium premium by using the Markov Regression Autoregression (MS-AR) model and analyzes inflation expectations, stock market Emotional and stock market fluctuations and other factors on the nonlinear relationship between the two. Our empirical results show that not only the transfer of interest rate term premium and equity premium each have the characteristics of zoning shift but also the transfer of zoning characteristics. The inflation expectancy has no significant effect on the nonlinear relationship between the two and the stock market sentiment and Stock market volatility can explain this nonlinear relationship.