The Relationship Between Macro Economy And China’s Stock And Bond Market

Bond markets and stock markets are the core components of financial markets.The volatility and correlation of the two have been valued by practitioners and academic researchers in the financial industry.In traditional research methods,such as the generalized autoregressive conditional heteroscedasticity model(GARCH),the volatility is often calculated from the information of the bond market or the stock market,and the impact of actual macroeconomic conditions on the volatility of the relevant financial market is ignored.In addition,when analyzing the correlation between the bond and stock markets,most of them are from a financial perspective,ignoring the causal relationship between changes in correlation and macroeconomic conditions.Therefore,from the perspective of macroeconomic variables,this article analyzes the changes in macroeconomic conditions on the long-term trend of domestic bond market volatility and its impact on the correlation between bond and stock markets.To analyze the impact of macroeconomic conditions on the domestic bond market,the first difficult point to solve is: When using macroeconomic variables to analyze the domestic bond market,the data of the previous macroeconomic variables are generally low-frequency data(monthly or quarterly),while the latter bond market And the stock market data is often high-frequency data(generally daily),so traditional analysis methods face the problem of inconsistent data frequency and cannot be modeled and analyzed.This article adopts the prefaced mixed frequency data technology(MIDAS),and incorporates low-frequency macroeconomic data in high-frequency financial data and models it.It attempts to describe the impact of changes in macroeconomic conditions on the long-term trend of domestic bond market volatility.The structure of the article is as follows: First,the low-frequency macroeconomic variables are incorporated into the traditional GJR-GARCH model using a mixed-data model to analyze the impact of macroeconomic conditions on the long-term trend of domestic bond market volatility.Next,in the first step,Based on this,the obtained standardized residual sequence is introduced into the mixed Copula model,and the causal relationship between the macroeconomic situation and the domestic bond market and the stock market is analyzed;finally,in order to prove the robustness of the previous analysis,the bond market is selected The same analysis was performed on the government’s market segment,Treasury Bonds,to verify the accuracy of the foregoing analysis.This paper finds that the long-term trend of domestic bond market volatility and macroeconomic conditions show countercyclical characteristics,that is,the volatility of the bond market becomes larger when the macroeconomic forwards,and the volatility of the bond market decreases when the macroeconomic condition deteriorates;The correlation between the domestic bond market and the stock market is mainly negative,and will change with changes in macroeconomic conditions,that is,time-varying.When the macroeconomy is in extreme conditions,the correlation between the bond and stock markets will increase rapidly,and will show a positive correlation at the beginning of the extreme conditions.