摘 要：
金融市场波动性作为反映经济运行状况的重要指标，与宏观经济因素之间存在复杂而紧密的关联。本研究以金融市场的波动性为核心，结合宏观经济变量，系统探讨两者之间的动态关系及其内在机制。研究旨在揭示宏观经济因素如何通过不同渠道影响金融市场波动性，并为政策制定者和市场参与者提供理论依据和实践参考。基于2000年至2022年的月度数据，本文采用GARCH类模型与向量自回归（VAR）模型相结合的方法，同时引入非线性效应分析，考察了包括利率、通货膨胀率、失业率以及国际经济环境等在内的多个宏观经济变量对金融市场波动性的影响。研究结果表明，利率和通货膨胀率是影响金融市场波动性的主要宏观经济因素，且其作用具有显著的非线性特征；此外，外部经济冲击对国内金融市场波动性的影响日益增强，凸显全球化背景下国际市场联动的重要性。本研究的创新点在于首次将非线性效应纳入分析框架，并通过实证检验明确了宏观经济因素对金融市场波动性的差异化影响路径。这一发现不仅丰富了现有文献，还为优化货币政策传导机制和提升金融市场稳定性提供了新的视角和政策建议。
关键词：金融市场波动性；宏观经济因素；非线性效应；利率；通货膨胀率
An Investigation into the Relationship between Financial Market Volatility and Macroeconomic Factors
Abstract: Financial market volatility, as a critical indicator reflecting the state of economic operations, is intricately and complexly linked to macroeconomic factors. This study focuses on financial market volatility and integrates macroeconomic variables to systematically explore the dynamic relationship and underlying mechanisms between them. It aims to reveal how macroeconomic factors influence financial market volatility through various channels and to provide theoretical foundations and practical references for policymakers and market participants. Based on monthly data from 2000 to 2022, this paper employs a combination of GARCH-type models and vector autoregression (VAR) models, while incorporating nonlinear effect analysis, to examine the impacts of multiple macroeconomic variables, including interest rates, inflation rates, unemployment rates, and international economic environments, on financial market volatility. The results indicate that interest rates and inflation rates are the primary macroeconomic factors affecting financial market volatility, with their effects exhibiting significant nonlinear characteristics. Furthermore, the influence of external economic shocks on domestic financial market volatility has been increasing, highlighting the importance of international market linkages in the context of globalization. The innovation of this study lies in its first-time inclusion of nonlinear effects within the analytical fr amework and its empirical validation of the differentiated impact pathways of macroeconomic factors on financial market volatility. This finding not only enriches the existing literature but also offers new perspectives and policy recommendations for optimizing monetary policy transmission mechanisms and enhancing financial market stability.
Keywords: Financial Market Volatility; Macroeconomic Factors; Nonlinear Effects; Interest Rate; Inflation Rate
目 录
1绪论 1
1.1研究背景与意义 1
1.2国内外研究现状综述 1
1.3研究方法与技术路线 2
2金融市场波动性的理论基础 2
2.1波动性定义与测量方法 2
2.2波动性的主要驱动因素 3
2.3宏观经济因素对波动性的影响机制 3
2.4波动性与宏观经济的理论模型分析 4
2.5理论框架总结 4
3宏观经济因素对金融市场波动性的影响实证分析 5
3.1数据来源与样本选择 5
3.2宏观经济指标的选取与处理 5
3.3实证模型构建与假设检验 6
3.4实证结果分析与解释 6
3.5稳健性检验与敏感性分析 7
4政策建议与未来研究方向 7
4.1基于研究发现的政策启示 7
4.2不同市场环境下政策工具的选择 8
4.3宏观经济调控对波动性的优化路径 8
4.4研究局限性分析 9
4.5未来研究展望 9
结论 10
参考文献 11
致 谢 12
