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随着我国经济和金融业的不断发展,各金融市场的自身波动性越来越大,且相互之间有价格和波动溢出趋势。本文对股市、债市、汇市三个金融市场的价格和波动溢出现状进行介绍,并利用三元VAR-BEKK-GARCH模型、三元滞后回归模型等实证分析了三个市场间短期、长期及特殊“节点”下的价格和波动溢出效应,并在得出研究结论的基础上给出有针对性的政策建议。
With the continuous development of China’s economy and financial industry, the financial markets themselves have become more and more volatile with the tendency of price and fluctuation among themselves. This paper introduces the current situation of the price, volatility and spillover in the three financial markets of the stock market, the bond market and the foreign exchange market. Employing the ternary VAR-BEKK-GARCH model and the ternary lag regression model, we analyze the short-term, long-term and special “Node ” under the price and volatility spillover effect, and based on the conclusions of the study given targeted policy recommendations.