|
Finance 2013
基于分位数回归技术的金融市场稳定性研究
|
Abstract:
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 financial
stability from the perspective of return volatility, considering about the
developmental characteristics of Chinese stock market. With quantile regression
technique, we develop a universally econometric test for financial stability.
Empirical analysis results within Shanghai market show that the market has been
beginning to turn to a stable state from an unstable one since 2002, this
conclusion is also confirmed by a sensitivity test of this model. Moreover,
this paper investigates a vital role that the “extremely good” news plays in
safeguarding financial market stability. Furthermore, the positive impact of a
series of policies on rescuing the market, which is promulgated by Chinese
government after the financial crisis, has been verified by our test.
[1] | W. F. Duisenberg. The contribution of the euro to financial stability. Baden-Baden, 2001: 37-51. |
[2] | European Central Bank. Financial Stability Review [URL]. 2007.
http://www.ecb.int/pub/pdf/other/financialstabilityreview200706en.pdf. |
[3] | J. S. Garry, G. Schinasi. Defining financial stability. IMF Working Paper, 2004: 128-190. |
[4] | A. Houben, J. Kakes and G. Schinasi. Towards a framework for safe guarding financial Stability. IMF Working Paper, 2004, 101(4): 11-12. |
[5] | A. Croekett. The theory and practice of financial stability. Economist, 1996, 144(4): 531-568. |
[6] | F. S. Mishkin. Global financial instability: Framework, events, issues. Journal of Economic Perspectives, 1999, 13(4): 193-201. |
[7] | D. Baur, N. Schulze. Financial market stability: A test. Journal of international financial markets, institutions and money, 2009(19): 506-519. |
[8] | 史金凤, 刘维奇. 基于分位数回归的金融市场稳定性检验[J].中国管理科学, 2011, 19(4): 24-29. |
[9] | M. Drehmann. A market based macro stress test for the corporate credit exposures of UK Banks. London Bank of England, 2005: 2-3. |
[10] | M. Boss. A macroeconomic credit risk model for stress testing the Austrian credit port folio. Financial Stability Review, Oesterreichische National Bank, 2002, 4: 26-42. |
[11] | H. C. Good, B. Hofmann. Asset prices, financial conditions, and the transmission of monetary policy. Paper Presented for the Conference on asset Prices, Exchange Rates, and Monetary Policy, Stanford University, 2001: 5-10. |
[12] | J. W. van den End, T. Mostafa. Measuring financial stability: Applying the risk to the Netherlands. De Nederlandsche Bank Working Paper, 2006, 30: 2-18. |
[13] | A. Demirgü?-Kunt, E. Detragiache. Financial liberalization and financial fragility. World Bank, 2000: 46-62. |
[14] | D. Baur, N. Schulze. Coexceedances in financial markets—A quantile regression analysis of contagion. Emerging Markets Review, 2005, 6(1): 21-43. |
[15] | 段小茜. 金融稳定届说: 定义、内涵及制度演进[J]. 财经科学, 2007, 1: 1-9. |
[16] | 刘利红, 何德好. 我国区域金融稳定检测评估面临的挑战[J]. 西南金融, 2008, 3: 32-33. |
[17] | 王海龙. 相关因素对区域金融稳定影响的实证分析[J]. 金融理论与实践, 2008, 6: 59-61. |
[18] | 王雪峰. 中国金融稳定状态指数的构建——基于状态空间模型分析[J]. 当代财经, 2010, 5: 51-60. |
[19] | 史金凤. 金融市场稳定的判别与度量[D]. 山西大学, 2012. |
[20] | R. Koenker. Regression quantiles. New York: Cambridge University Press, 2005: 9-10. |
[21] | 魏宇. 沪深300股指期货的波动率预测模型研究[J]. 管理科学学报, 2010, 13(2): 66-76. |
[22] | 杨科, 陈浪南. 股市波动率的短期预测模型和预测精度评价[J]. 管理科学学报, 2012, 15(5): 19-31. |
[23] | T. Bollerslev. Generalized autoregressive conditional hetero skedasticity. Journal of Econometrics, 1986, 31(2): 307-327. |