Journal of Banking and Finance ·Volume 92, pp 130–145· JULY 2018

金融市场波动率，宏观经济基本面和投资者情绪

作者：Ching-wai (Jeremy) Chiu (Bank of England)

Richard D.F.Harris (Xfi Centre for Finance and Investment, University of Exeter)

Evarist Stoja (School of Economics, Finance and Management, University of Bristol)

Michael Chin (Bank of England)

摘要：在本文中，我们采用双因素模型将波动率分解为持续的长期成分和短暂的短期成分，研究了金融市场波动率、宏观经济基本面和投资者情绪之间的动态关系。使用具有贝叶斯符号限制的结构向量自回归模型，我们发现对总需求和供给的不利冲击导致股票和债券市场波动率的持续性成分增加，并且对股票或债券市场波动率的持续成分的不利冲击导致宏观经济基本面恶化。我们没有发现波动率的短暂成分与宏观经济基本面之间存在关系的证据。但是，我们发现短暂成分与投资者情绪的变化密切相关。我们的结果对各种替代情况都很稳健。样本外预测表明波动率的组成部分可以改善对宏观经济基本面的预测，反之亦然。

关键词：股票市场与债券市场波动率；两因素波动率模型；宏观经济基本面；结构向量自回归模型；贝叶斯估计

Financial market Volatility, macroeconomic fundamentals and investor Sentiment

Ching-wai (Jeremy) Chiu (Bank of England) Richard D.F.Harris (Xfi Centre for Finance and Investment, University of Exeter) Evarist Stoja (School of Economics, Finance and Management, University of Bristol) Michael Chin (Bank of England)

ABSTRACT

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a transitory short run component. Using a structural VAR model with Bayesian sign restrictions, we show that adverse shocks to aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that adverse shocks to the persistent component of either stock or bond market volatility cause a deterioration in macroeconomic fundamentals. We find no evidence of a relationship between the transitory component of volatility and macroeconomic fundamentals. Instead, we find that the transitory component is more closely associated with changes in investor sentiment. Our results are robust to a wide range of alternative specifications. Out-of-sample forecasting shows that the components of volatility can improve forecasts of macroeconomic fundamentals, and vice versa.

Keywords: Stock and bond market volatility; Two-factor volatility model; Macroeconomic fundamentals; Structural vector autoregression; Bayesian estimation

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300967

翻译：张展