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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。
In this paper, we use GARCH model and MS-VAR model to divide the stock market fragility of our country from 1991 to 2004. Then we analyze the influencing factors of stock market vulnerability based on LOGIT model. The empirical results show that there are two kinds of zoning of “high degree of vulnerability” and “low degree of vulnerability” in the stock market of our country, and each kind of zoning has strong stability and continuity. The economic growth rate and the inflation rate The test also found that at this stage the effect of our fiscal policy on the vulnerability of the stock market is more significant. We should strengthen the effective combination of monetary policy and fiscal policy to reduce the vulnerability of the stock market.