异质价格预期、无风险利率调整与证券市场波动  

Heterogeneous price expectations,risk free rate adjustment and volatility of security markets

作　　者：袁晨[1,2] 傅强[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030 [2]重庆交通大学管理学院,重庆400074

出　　处：《管理科学学报》2012年第8期84-96,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70751050);教育部高校博士点基金资助项目(20100191110033)

摘　　要：基于交易者的异质价格预期规则,构建了二维离散非线性资产价格动态模型,探讨了无风险利率调整对均衡点稳定性的影响,实证检验了2004―2009年期间我国证券市场的波动性.理论分析表明,提高无风险利率易导致证券市场难以形成局部稳定,降低无风险利率则不会从本质上改变稳定性.实证结果显示:相对基准期而言2,006年8月―2008年10月的7次加息期间,证券市场呈现波动加剧特征;2008年10月―2009年10月的4次降息期间,证券市场的波动性没有显著改变.After constructing a two-dimensional discrete nonlinear dynamical model of asset prices with trad- ers＇ heterogeneous price expectations, this paper studies the impact of risk free rate adjustments on the stability of the equilibrium point. Moreover, an empirical test has been used to study the volatility of Chinese stock market from 2004 to 2009. Theoretical analysis shows that the local stability in security markets is difficult to show up due to the increasing risk free rate, and it can not be essentially changed when the risk free rate declines. Furthermore, the results are also indirectly confirmed by the empirical work. Especially compared with the benchmark, the volatility of China＇ s stock market is excessive during the seven times of increasing interest rate from August 2006 to October 2008. However, during the four times the central bank＇ s reduced interest rates from October 2008 to October 2009, the volatility shows no significant difference with respect to the benchmark.

关 键 词：异质价格预期 无风险利率 波动性 均值回归 

分 类 号：F830[经济管理—金融学]