欧洲主权信用评级变动对股票市场冲击的波动与均衡及政策选择

The Volatility and Equalization of the Stock Market Shocked by the Changes of Sovereign Credit Rating and Policy Suggestion

摘要: 主权信用评级的变动冲击着各国股票市场，对股票市场的波动性产生深远的影响。本文运用多元GARCH参数模型过滤提取评级变动对股票市场冲击的波动，将此波动带入误差修正模型分析了宏观经济因素对股票市场的长短期影响，以及刻画出评级下调冲击导致的短期偏离与长期均衡。并用希腊的实际数据进行实证，结果表明，股票市场自身具有误差修正机制。实际GDP，对外债务，评级下调等因素对股票市场冲击短期波动影响显著。实际GDP的增长率、实际有效汇率等对于股票市场的长期均衡稳定发展具有显著影响。并针对这些结论，提出长期政策维护和提升评级等级、短期调控政策抑制短期非正常冲击。

Abstract: The changes of sovereign credit rating influence the Stock Market all over the world, which have a far-reaching impact on the volatility of Stock Market. This paper uses the multivariate GARCH models to filter and extract the fluctuations information of Stock Market affected by the Changes in sovereign credit rating. It uses the error correction model considering the fluctuations infor-mation of Stock Market to analyze the long-term and short-term impact of macroeconomic factors on the stock market, and to depict the short-term deviation and long-term equilibrium led by downgrades. The results confirmed by the actual data from Greece show that the stock market itself has error correction mechanism.