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中文摘要：
本文引入小波多分辨分析方法,并利用VAR-MGARCH-BEKK模型来分析外汇市场与股票市场在不同周期上的溢出效应.实证结果表明：随着交易周期的增长,股票市场对外汇市场的溢出效应强于外汇市场对股票市场的溢出效应.金融监管当局要注意股票市场对外汇市场的信息传递,适时地切断风险传播渠道,有效地防范和化解金融风险在金融市场间的传递.
英文摘要：
This paper uses wavelet multi-resolution and the VAR-MGARCH-BEKK model to analyze the spillover effects of the foreign exchange market and the stock market in different periods. The empirical results show that with the growth of trade cycle, the spillover effect of the stock market on the foreign exchange market is stronger than the spillover effects of the foreign exchange market to the stock market. The financial regulatory authorities must pay more attention on the information transfer of the stock market to the foreign exchange market, cutting transmission channels of the risk timely, guarding against and defusing financial risks passed in financia1. markets effectively.
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