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居民在股票市场“有限参与”的问题已经成为家庭资产选择的核心问题,这方面的研究不仅对相关消费金融理论研究的深化具有重要的学术价值,而且对我国科学制定宏观经济政策和金融政策具有重要的指导意义。鉴于此,本文运用马尔科夫区制转换向量自回归模型,重点研究货币政策冲击对居民股市参与行为的影响。MSH(2)-VAR(1)模型和累积脉冲响应的结果表明,扩张的货币政策对我国居民参与股市的负面影响是直接且持续的,而在不同区制下,影响程度也存在显著差异。总体而言,本文为货币政策解释居民的股市“有限参与”现象提供了有力的实证证据。
Residents in the stock market “limited participation ” issue has become the core issue of family assets selection, research in this area not only has important academic value on the deepening of the research on consumer finance theory, but also on our country to formulate macroeconomic policies and financial Policy has important guiding significance. In view of this, this article uses Markov’s system of transition vector autoregression model, focusing on the impact of monetary policy shocks on the participation of residents in the stock market. The results of MSH (2) -VAR (1) model and cumulative impulse response show that the negative impact of expansionary monetary policy on the participation of Chinese residents in the stock market is direct and continuous. However, there are also significant differences in the degree of impact under different regional systems. Overall, this article provides strong empirical evidence that the monetary policy explains residents’ stock markets “limited participation ” phenomenon.