Chang Mengmeng, Li Yuqi
Business School, University of International Business and Economics, Beijing, 100000, China.
Digital Department, Beijing Branch of China United Network Communications Co., LTD, Beijing, 100000, China.
Heliyon. 2024 Feb 5;10(3):e25679. doi: 10.1016/j.heliyon.2024.e25679. eCollection 2024 Feb 15.
This paper delves into the relationship between the volatility of the capital market and economic growth within the broader framework of the macro capital market. By employing the Heston stochastic volatility model in tandem with macroeconomic theory, we aim to analyze the stochastic control problem between the allocation trajectory of macro-capital and economic fluctuations. Our mathematical analysis reveals that the influence of capital shifts on economic growth's volatility varies across different capital markets due to diverse risk levels inherent within the macro-capital market. To validate these mathematical findings, we embark on an empirical econometric analysis tailored to the nuances of China's capital market and its macroeconomic operations. This econometric exploration yields two primary insights: 1. Distinct components of China's capital market have varying influences on macroeconomic growth. 2. The structure of China's capital market, especially in its impact on macroeconomic development, exhibits imbalances and lacks optimal configuration.
本文在宏观资本市场的更广泛框架内，深入探讨资本市场波动性与经济增长之间的关系。通过将赫斯顿随机波动率模型与宏观经济理论结合使用，我们旨在分析宏观资本配置轨迹与经济波动之间的随机控制问题。我们的数学分析表明，由于宏观资本市场固有的不同风险水平，资本转移对经济增长波动性的影响在不同资本市场中各不相同。为了验证这些数学发现，我们针对中国资本市场及其宏观经济运行的细微差别进行了实证计量分析。这种计量经济学探索产生了两个主要见解：1. 中国资本市场的不同组成部分对宏观经济增长有不同影响。2. 中国资本市场的结构，特别是在其对宏观经济发展的影响方面，存在失衡且缺乏最优配置。
