Study On The Skewness Risk Of Stock Market And Its Impact On China's Macro Economy

With more and more investment portfolios,capital pricing,risk value and option valuation models have strengthened the asymmetry of assets income,including skewness into assets income has become additionally popular.As is known to all,the distribution of stock returns shows a negative bias,namely,the fall of stock market is more likely to happen than the rise of it.Therefore,studying skewness,especially time-varying skewness risks is of particular importance to maintaining the stable development of the stock market.The author of the paper has compared the GARCH models based on different error item distributions,through pairwise comparison with DM test,it is found out that the GARCH model based on extended sequence of Gram-Charlie's has the best description effect for higher moments of return series,and on this basis,the skewness data of stock markets in Shanghai and Shenzhen are concluded.The recession of financial market will directly affect people's expectation,which leads to a lack of confidence and reasonable expectation for the future economic development.As a "barometer" of the stock market,the performance of the stock market has huge influence of consumers' confidence,so to discuss the stock market risk of skewness impact on the macro economy is necessary.While applying the skewness risk of the stock market to macro-economic models,value addition or interpolation among other methods are needed to be made use of by traditional macro-economic models to unify mixed-frequency data as data with the same frequency before being applied to macro-economic models,while mixed-frequency data models directly make use of mixed-frequency data to construct models,avoiding the information loss caused by data totaling or interpolation and the inflation of artificial information,high-frequency data information is fully made use of,and the effectiveness of calculation with macro-measurement models and the accuracy of prediction are improved.Therefore the author of the article uses the currently popular MIDAS regression to further discuss the influence of the skewness risk of the stock market on our maco-economy.Through analysis of and comparison with low-frequency OLS regression,it is found out that MIDAS regression more significantly and accurately describes the correlation of the stock market in Shenzhen and Shanghai and macro-economy,it is also concluded that the skewness risk of the stock market has aggravated inflation,lowered social consumption increase so as to inhibit economic growth,and lead to the increase of the exchange rate of the home currency of RMB,which is not conducive to the healthy and stable development of foreign exchange market.