关键词: 混频VAR模型, 溢出指数, 实体经济, 时变溢出

Abstract: Based on mixed frequency VAR model, this paper studies the time-varying spillover effects on China's real economy, stock market and bond market. The result shows that the spillover effects of returns and volatility present significant time-varying characteristics, i.e., with a rapid upward during the financial crisis and then a downward after the crisis, the spillover effects are easily affected by extreme events. Moreover, there exist volatility spillovers from the stock market to the real economy in most observed period, while the bond market in terms of the real economy changes from the net receiver in the beginning to the net transmitter at the late stage as for the volatility spillover effects. Furthermore, after analyzing the factors affecting the total spillover indexes of return and volatility, it is found that extreme events, macroeconomic proxy variables and term spreads have positive effects on both indexes, while the TED spread has negative impact on the total volatility spillover index, so as the investor sentiment index on the total returns spillover index.

Key words: Mixed Frequency VAR (MF-VAR) Model, Spillover Index, Real Economy, Time-varying Spillover