中国资本市场的突出风险点与监管的反事实仿真  

The Salient Risk Points in China’s Capital Market and the Counterfactual Simulation of Supervision and Regulation

作　　者：王少平[1] 赵钊[1] Wang Shaoping;Zhao Zhao

机构地区：[1]华中科技大学经济学院现代经济研究中心

出　　处：《中国社会科学》2019年第11期44-63,205,共21页Social Sciences in China

基　　金：国家自然科学基金面上项目“中度偏离、泡沫与单位根过程的结构变化理论和应用研究——我国供给侧改革和金融监管的理论和实证依据”(71671070);国家自然科学基金青年项目“高频数据高维协方差矩阵的非线性压缩估计及其在投资组合选择中的应用”(71803055);教育部人文社会科学研究青年基金项目“非线性压缩估计及其在投资组合选择中的应用”(18YJC790232);华中科技大学人文社会科学发展专项基金资助项目阶段性成果

摘　　要：针对我国资本市场2015年的运行与证监部门的护盘干预,使用GSADF和BSADF泡沫检验,对我国沪深300指数及其10个一级行业指数进行泡沫检验,确定泡沫起止时间及其微观结构,发现市场泡沫与行业泡沫的引导关系,由此识别突出的风险点,并进行系列反事实仿真分析,提出化解突出风险点的实时监管建议。这一结果系首次以反事实仿真的证据,回应国际金融界对中国股市护盘干预的质疑。Targeting the operation of China’s capital market in 2015 and the intervention by the securities regulatory authorities to stabilize the market,we used the GSADF and BSADF to conduct a bubble test on the CSI 300 Index and its ten first-level sectoral indices so as to determine the start and end time and microstructure of the bubble and discover the causal relationship between the market bubble and the industry bubble.In this way,we identify the salient risk points,conduct a series of counterfactual simulation analyses and propose real-time regulatory recommendations to resolve the salient risk points.This is the first time the evidence provided by counterfactual simulation has been used to respond to the questions of the international financial community about China’s intervention in the stock market.

关 键 词：突出风险点 资产价格泡沫 反事实仿真 监管和干预 

分 类 号：F83[经济管理—金融学]