新兴市场变迁过程中我国股票市场脆弱性检验  

Studies on the Fragility of China's Stock Market During the Transition of Merging Markets

作　　者：刘慧悦[1] 刘金全[1] 

机构地区：[1]吉林大学数量经济研究中心,130012

出　　处：《上海经济研究》2013年第5期69-74,共6页Shanghai Journal of Economics

基　　金：国家社会科学基金重大项目(10zd&006);国家自然科学基金项目(70971055)资助

摘　　要：本文应用GARCH模型和MS-VAR模型对1991年以来的我国股票市场脆弱性进行了度量和区制划分,然后基于LOGIT模型分析了股市脆弱性的影响因素。实证结果表明:我国股市存在"高度脆弱性"和"低度脆弱性"两种区制,并且各种区制具有较强的稳定性和持续性;经济增长率和通货膨胀率的提高会加大我国股市脆弱程度;检验还发现,现阶段我国财政政策对股市脆弱性影响效果比较显著,应该加强货币政策和财政政策的有效组合来降低股票市场脆弱性。This paper studied on the degree and reason of Chinese stock market fragility using sample data since 1991. Firstly, the paper used GARCH model to measure stock market fragility, then MS- VAR model was used to simulate dynamic path of stock market market exists not only ＂ high vulnerability＂ and ＂low vulnerability＂ relevant between stock market policy implementation and stock market fragility and finds that the stock two regimes, but there is also fragility. Finally, LOGIT model was used to analysis macro influence factors of the stock market fragility, finding that the China＇s macroeconomic running state, implementation of monetary policy and fiscal policy has the different effects on the fragility of stock market, thus further puts forward relevant policy suggestions.

关 键 词：股市脆弱性 MS-VAR模型 LOGIT模型 

分 类 号：F832.59[经济管理—金融学]