基于马尔科夫域变模型对我国股市财富效应的研究

A Research about the Wealth Effect of Chinese Stock Market based on Markov Regime-Switching Models

自金融危机以来,我国经济发展环境日趋复杂。扩大内需,依靠国内消费拉动经济增长已成共识。利用资本市场财富效应刺激居民消费是当前最有效的政策。马尔科夫域变模型,可以衡量我国股票市场财富效应在股市各个阶段中的变化。通过实证发现,我国股市的剧烈波动是阻碍资本市场财富效应发挥的主要因素,在股市平稳上升的阶段,我国股市有一定的财富效应。

Since the financial crisis, the condition of economic development of China is increasing complicated. Expanding interior demand and consumption to stimulate the economy is the consensus.To stimulate the consumption by the wealth effect of capital market is the most effective policy at present.This paper applies the Markov regime-switching models to measure changes of the wealth effect of stock market at all stages. Empirical study shows that the strong volatility of Chinese stock market is the main factor to restrain the wealth effect of capital market. In the period of stock blooming, Chinese stock market has certain wealth effect.