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基于混频数据的实体经济与金融市场时变溢出效应研究.docx

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基于混频数据的实体经济与金融市场时变溢出效应研究 Title:ResearchontheTime-VaryingSpilloverEffectsbetweentheRealEconomyandFinancialMarketsBasedonMixedFrequencyData Abstract: Therelationshipbetweentherealeconomyandfinancialmarketshasbeenofgreatinteresttoresearchersandpolicymakers.Thisstudyaimstoinvestigatethetime-varyingspillovereffectsbetweentherealeconomyandfinancialmarketsusingmixedfrequencydata.Byemployingadvancedeconometrictechniques,weassesstheextenttowhichshocksintherealeconomytransmittofinancialmarketsandviceversa. Introduction: Therealeconomyandfinancialmarketsareinherentlylinked,witheachexertingsignificantinfluenceontheother.Understandingthedynamicsoftheirrelationshipiscrucialforpolicymakersseekingtostabilizeeconomiesandimprovefinancialmarketregulations.Theobjectiveofthisstudyistoexplorethetime-varyingspillovereffectsbetweentherealeconomyandfinancialmarkets,inordertoshedlightonthetransmissionofshocksandtheoverallinterconnectedness. LiteratureReview: Previousstudieshavemainlyfocusedonthestaticrelationshipbetweentherealeconomyandfinancialmarkets,neglectingthedynamicandtime-varyingaspects.However,recentresearchhasbeguntorecognizetheimportanceofcapturingthechangingnatureofthisrelationship.Severalstudieshaveemployedmixedfrequencydataandadvancedeconometrictechniquessuchasvectorautoregressivemodelsandwaveletanalysistocapturethetime-varyingspillovereffects. Methodology: Inthisstudy,weutilizemixedfrequencydata,whichcombineshigh-frequencyfinancialmarketdatawithlowerfrequencyrealeconomicindicators.Byemployingthevectorautoregressivemodelswithtime-varyingparameters,wecapturethedynamicrelationshipbetweentherealeconomyandfinancialmarkets.Theuseofwaveletanalysisalsoallowsustoassessthefrequency-specificspillovereffects. EmpiricalResults: Preliminaryempiricalresultsindicatethepresenceoftime-varyingspillovereffectsbetweentherealeconomyandfinancialmarkets.Theanalysisrevealsthatshocksoriginatingfromtherealeconomysignificantlyimpactfinancialmarkets,butthemagnitudeanddurationoftheseeffectsvaryovertimeanda