CAJ | 학술논문

本文建立非齐次马氏域变模型检验股市价格泡沫，并结合对1996年1月至2010年6月间我国股市价格泡沫程度的实证度量，与齐次马氏域变模型的检验效果进行比较。两模型都能在一定程度上反映我国股票市场价格在各时间段的不同泡沫水平，但非齐次马氏域变模型所得到有泡沫概率和无泡沫概率区分度更高，比齐次马氏域变模型能更加精确的区分各时点上的泡沫水平。实证结果也表明，近期我国应对金融危机的超宽松经济政策对资本市场的刺激作用较为直接，而对实体经济的作用相对滞后，股市泡沫水平再度上升。
본문건립비제차마씨역변모형검험고시개격포말，병결합대1996년1월지2010년6월간아국고시개격포말정도적실증도량，여제차마씨역변모형적검험효과진행비교。량모형도능재일정정도상반영아국고표시장개격재각시간단적불동포말수평，단비제차마씨역변모형소득도유포말개솔화무포말개솔구분도경고，비제차마씨역변모형능경가정학적구분각시점상적포말수평。실증결과야표명，근기아국응대금융위궤적초관송경제정책대자본시장적자격작용교위직접，이대실체경제적작용상대체후，고시포말수평재도상승。
To use non-homogeneous Markov Switching models, putting the economic variables into the state-switching probability function, we extend the tes- ting methods of price bubbles in stock markets. We also compare the effectiveness of homogeneous and non - homogeneous Markov Switching models by testing the bubbles of Shanghai - securities Index between January 1996 and June 2010 in China. The result shows that non- homogeneous Markov Switching models are better in distinguishing the bubble states in different periods and in distinguis- hing probability of bubbles states and non bubble states although both kinds of models can reflect the bubble levels. Meanwhile, as the financial crisis recently, the unconventional expansionary monetary policy stimulated capital market more directly than the real economy, and bubble level of Chinese stock price grew obviously.