国债期限溢价与股权溢价之间动态相关性分析
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引用本文:王志强,熊海芳.国债期限溢价与股权溢价之间动态相关性分析[J].财经理论与实践,2011,(5):35-38
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王志强,熊海芳 (东北财经大学 应用金融研究中心辽宁 大连116025) 
中文摘要:鉴于国债期限溢价与股权溢价之间的相关关系具有时变性特征,本文运用BEKK-MGARCH、ADCC-MGARCH等模型从条件相关系数角度考察国债期限溢价与股权溢价之间的动态相关性。经验分析结果发现,在描述两者的相关性动态变化方面,考虑非对称性的ADCC-MGARCH模型优于BEKK-MGARCH模型;尽管国债期限溢价与股权溢价之间的条件相关系数大小在短期内会发生变动,但是条件相关系数在正负符号上却保持相对稳定。
中文关键词:利率期限结构  股权溢价  BEKK-MGARCH  ADCC-MGARCH
 
The Analysis of Dynamic Relationship between Treasury Maturity Premium and Equity Premium
Abstract:Based on the time-varying character of the correlation between treasury maturity premium and equity premium,dynamic conditional coefficient is used to analysis the dynamic correlation between them,by taking BEKK and ADCC multivariate GARCH models. The result shows that ADCC-MGARCH is prior to BEKK-MGARCH to describe the dynamic correlation. The size of dynamic correlation has changed in short-term period, however, the positive or minus of the correlation do not change for a long time.
keywords:Treasury maturity premium  Equity premium  BEKK-MGARCH  ADCC-MGARCH
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