基于分位数回归技术的金融市场稳定性研究  

The Study on Financial Market Stability Based on Quantile Regression Technique

作　　者：陈洁 何春 杨晓蓉[1] 

机构地区：[1]浙江工商大学统计与数学学院,杭州

出　　处：《金融》2013年第4期59-68,共10页Finance

基　　金：国家自然科学基金(No.11201421);浙江省自然科学基金(Nos.LY12A01020&LY12A01021);教育部人文社科基金(No.10YJC910010);浙江省高校人文社科重点研究基地(浙江工商大学统计学)重点项目;教育部留学归国科研启动金。

摘　　要：立足于我国金融市场发展特点,本文从收益波动率的视角重新定义金融稳定的内涵,利用分位数回归技术提出了具有普适意义的用于金融市场稳定性检验的模型。通过对上证市场历年稳定性情况进行实证检验分析,发现2002年以来上证市场开始由不稳定状态向着稳定状态发展,该结论也通过了模型的敏感性检验。此外,本文还探讨了“极端利好”消息在维护金融市场稳定过程中的重要作用并且验证金融危机之后我国政府出台的一系列救市政策积极正面的影响。The study proposes a new definition for financialstability from the perspective of return volatility, considering about thedevelopmental characteristics of Chinese stock market. With quantile regressiontechnique, we develop a universally econometric test for financial stability.Empirical analysis results within Shanghai market show that the market has beenbeginning to turn to a stable state from an unstable one since 2002, thisconclusion is also confirmed by a sensitivity test of this model. Moreover,this paper investigates a vital role that the “extremely good” news plays insafeguarding financial market stability. Furthermore, the positive impact of aseries of policies on rescuing the market, which is promulgated by Chinesegovernment after the financial crisis, has been verified by our test.

关 键 词：金融稳定 分位数回归 波动率 系统冲击 

分 类 号：F2[经济管理—国民经济]