政策选择对金融危机后股市恢复的影响研究:基于生存分析方法

Effect of Policy Choice on the Recovery of Stock Market after Financial Crisis: Based on Survival Analysis

基于1980—2013期间金融危机后股市恢复的识别,运用生存分析方法,检验货币政策、财政政策、资本账户开放政策和汇率政策等宏观经济政策在金融危机后股市恢复中的作用。研究表明:危机前扩张性的货币政策导致危机后股市更难恢复,而危机后扩张性货币政策加快了股市恢复;危机前高资本账户开放度不利于危机后股市的恢复,但固定汇率制度与资本账户开放政策组合有利于危机后股市的恢复;外汇储备充足的固定汇率制度国家危机后股市恢复更快。

Based on the identification of stock market recovery after the financial crisis during the period of 1980- 2013,using the method of survival analysis,this paper examines the roles of four major macroeconomic policies in the stock market recovery after the financial crisis. The main results are as follow ing.Pre- crisis expansion of monetary policy leads to the stock market more difficult to recover after the financial crisis,but post- crisis expansion of monetary policy accelerates the stock market recovery. High degree of pre- crisis capital account liberalization is bad for the stock market recovery after crisis,w hile fixed pre- crisis exchange rate regime w ith reputation is conducive to the recovery of the stock market. Fixed exchange rate system w ith sufficient foreign exchange reserves is in favor of quick stock market recovery after crisis.