Study on the Dynamic Impact Effect of Unconventional Emergencies on Stock and Bond Markets

Xiaolin LI, Shiming LI, Chenggang LI

Abstract


The research of the impact of unconventional emergency on the stock market and bond market is one of the important concern of academia. This paper uses the VAR model to do the empirical analysis on the dynamic impact effect of unconventional emergencies on Chinese stock market, Treasury bond market and enterprise bond market. The empirical results show that it had a significant impact on the stock market, Treasury bond market and enterprise bond market when unconventional emergencies happened. On this basis, this paper constructs the impulse response functions of the impact of unconventional emergency on the stock market, Treasury bond market and enterprise bond market. Impulse response function display that the impact of unconventional emergencies on the stock market, treasury bond market and enterprise bond market is a dynamic process.

Keywords


Unconventional emergencies; Stock market; Bond market; VAR model; Impulse response function

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References


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DOI: http://dx.doi.org/10.3968/j.mse.1913035X20130702.3601

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