经济政策不确定性对中国能源股票市场的多尺度动态溢出效应Multi-scale Dynamic Spillover Effects of Economic Policy Uncertainty on China's Energy Stock Market
孙青茹,张月,席增雷
摘要(Abstract)：
能源股票市场是我国金融市场的重要组成部分，现有研究证实了经济政策不确定性对股票市场的显著影响，但其对我国能源股票市场的动态溢出效应仍未被揭示。本文结合小波变换方法、BEKK-GARCH模型、Diebold-Yilmaz溢出指数和网络分析方法，探究不同时频域下经济政策不确定性对能源股市的直接和间接溢出效应，并进一步采用TVP-SV-VAR模型评估经济政策不确定性对不同类型能源股市的时变冲击效应。结果显示，经济政策不确定性对能源股市的溢出效应具有显著的多尺度特征，且随着尺度增加，二者的传导关系愈加紧密。经济政策不确定性不能直接影响所有能源股票，但能通过级联传导间接影响所有能源股票。此外，经济政策不确定性对不同类型能源股市的冲击效应不同，对煤炭行业股票市场的冲击最显著。因此，要把握经济政策不确定性冲击对能源股票市场的间接影响和中长期影响，在监管和投资时要考虑能源股票的类别，以便更好地把握市场和政策动向，防范金融风险的发生。
关键词(KeyWords)： 经济政策不确定性;能源股票市场;级联传导;小波变换;网络分析方法
基金项目(Foundation): 教育部人文社会科学研究青年基金项目“国际大宗商品价格极端波动对我国价格体系的风险传导及防控研究”(24YJCZH264)
作者(Author): 孙青茹,张月,席增雷
DOI: 10.16620/j.cnki.jrjy.2025.04.004
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