文档介绍：
基于贝叶斯 Markov 转换模型的股市收益与
通胀波动关系研究#
朱慧明,邓慧敏,谢赤,马超群,王延彦*
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(湖南大学工商管理学院,长沙 410082)
摘要:针对股市收益与通胀波动关系分析过程中随机参数条件下的建模问题,构建了贝叶斯
Markov 转换 VAR 模型。通过分析模型的统计结构,设置参数的先验分布,利用贝叶斯统计
方法,推断了模型参数的后验分布,设计相应的两次 Gibbs 抽样算法对模型参数进行贝叶斯
估计,运用该模型对上证股指回报率与通货膨胀率的波动关系进行实证分析。研究结果表明:
贝叶斯 Markov 转换 VAR 模型更准确地刻画出两变量之间波动关系的非线性动态特征,证
明了费雪效应和代理效应在市场的不同机制中都成立。
关键词:股票收益率;通货膨胀率;贝叶斯分析;Markov 转换模型;HP 滤波
中图分类号:
The Regional Captital Liquidity Study Study the Volatility
Relationship Between the Stock Market Returns and the
Inflation Rate Based on Bayesian Markov-Switching Model
ZHU Huiming, DENG Huimin, XIE Chi, MA Chaoqun, WANY Yanyan
(College of Business Administration, Hunan University, ChangSha 410082)
Abstract: Inorder to solve the problem that how to modeling the relationship analysis process of
stock market returns and inflation fluctuation under the condition of random parameter. this paper
proposes a Bayesian Markov regime switching VAR model. Through analyzing the statistical
model structure, setting parameters of the prior distribution, using Bayesian statistical method,
deducing the posterior distribution of the model and designing two times of Gibbs sampling
algorithm to estimate the parameters, we analyze the relationship between Shanghai stock index
returns and inflation based on the proposed model. The empirical results suggest that the propos