MRS-GARCH MRS-GARCH Bernanke and Gertler (1999) ; ; Cecchetti (2000) ( ) Gray (1996) MRS-GARCH (2001) 500 t- Gray t- S t S t S t =1 ; 90 S t =2 Hamilt

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1 * : GARCH 2003~ : GARCH : F831 : A Filardo (2004) 6 Christiano (2007) 2009 (M 2 ) (2009) 30% Bernanke and Gertler (1999) Cecchetti (2000) : ; * : (06XNB003); (AHSK09-10D03) 80 /

2 MRS-GARCH MRS-GARCH Bernanke and Gertler (1999) ; ; Cecchetti (2000) ( ) Gray (1996) MRS-GARCH (2001) 500 t- Gray t- S t S t S t =1 ; 90 S t =2 Hamilton and Susmelb ( 1994) r t ζ t-1 ~ t μ1t σ 1t! df1 (1) t μ 2t σ 2t df1 Gray (1996) r t pt it μ it σ 2 it GARCH df i t- (i=1 2) ζ t-1 t-1 pt it =Pr { St=i ζ t-1 } GARCH t S i (MRS-GARCH) GARCH (GARCH) r sp t-1 /

3 r it =a 0i +a 1i r t-1 +a 2i r sp t-1+ε t i.id ε t ζ t-1 ~t μ it σi t df t i=12. (2) : f pt it =π 1t-1 pt it-1 1 f μ it =a 0i +a 1i r t-1 +a 2i r sp t-1 for i=12. (3) 1t-1 pt it-1 +f 2t-1 (1-pt it-1 ) +(1-π 2) (3) ( ) 500 (S&P500) GARCH ( Datastream) 1 {S t-1 S t-2 S 0 } GARCH (1 1) σ 2 it=b 0i +b 1i ε 2 t-1+b 2i σ 2 t-1 (4) t σ 2 t=e [(r t -E [r t ]) 2 ζ t-1 ] =E [r 2 t ζ t-1 ] - {E [r t ζ t-1 ]} 2 (5) =pt 1t (μ 2 1t+σ 2 1t)+(1-pt 1t )(μ 2 2t+σ 2 2t)-[pt 1t μ 1t + (1-pt 1t )μ 2t ] 2 σ 2 t 1 ( ) σ 2 it+1(i = 1 2) 1 (2) : ε t-1 =r t-1 -E [r t-1 ζ t-2 ] =r t-1 - [pt 1t-1 μ 1t-1 +(1-pt 1t-1 )μ 2t-1 ] (6) S t : Pr {S t =1 S t-1 =1} =π 1 Pr {S t =0 S t-1 =1} =1-π 1 (7) Pr {S t =0 S t-1 =0} =π 2 Pr {S t =1 S t-1 =0} =1-π 2. π 1 π 2 [0 1] 2008 MRS-GARCH (1 1) Λ: T Λ=Σln{pt 1t f 1t (r t ;μ 1t σ 1t df 1 )+(1-pt 1t )f 1t (r t ;μ 2t t=1 σ 2t df 2 )} (8) t pt 1t pt 2t f 2t-1 (1-pt it-1 ) f 1t-1 pt it-1 +f 2t-1 (1-pt it-1 ) f it μ it σ 2 it df i t- (9) /

4 2008 ( ) 9 1/(1-π i ) S&P GARCH (1 1) 1 MRS- GARCH MRS - 1 GARCH p- GARCH (11) MRS-GARCH a 0 a * a (3) (4) *** b ** % b *** b *** a 1i d f *** MRS-GARCH 1 ( ) a 01 a 11 a ** *** b * b ** b *** df *** ( ) a a ** r sp t-1 a 21 b ** *** % ( ) b *** b *** df *** π *** π *** : π 1 π : : *** ** * 1 % t-1 t 5% 10% /

5 (9) 2 MRS-GARCH 1 ( ) (9) ( ) /

6 % M 2 30% % M % 2009 GDP (8.7%) % ( ) /

7 MRS-GARCH ( ) GARCH ( ) MRS-GARCH /

8 ( ) ( ) : [1]. [J] (7) 60~67. [2]. [J] (3): 13~20. [3]. : [J] (8): 182~193. [4] Filardo A. Monetary Policy and Asset Price Bubble: Calibrating the Monetary Policy Trade-offs [DB]. BIS Working Paper No [5] Bernanke B. M. Gertler. Monetary Policy and Asset Price Volatility [J]. Federal Reverse Bank of Kansas City E- conomic Review 1999 (4): 17~51. [6] Cecchetti S. G. Hans L. John and S. Wadhwan. Geneva Report on the World Economy: Asset Prices and Central Bank Policy[R]. Geneva [7] Christiano L. C. Ilut R. Motto and M. Rostagno. Monetary policy and stock market boom-bust cycle [DB]. European Central Bank Working Paper No [8] Gray S. F.. Modeling the Conditional Distribution of Interest Rates as a Regime-switching Process[J]. Journal of Finance and Economics 1996 (1): 27~62. [9] Hamilton J. R. Susmelb. Autoregressive Conditional Heteroskedasticity and Changes in Regime [J]. Journal of E- conometrics 1994 (1): 307~333. Abstract: This paper employs Markov Regime Switching GARCH model to examine the nature of stock market volatility in China from 2003 to Empirical evidence suggests significant regime changes in the stock market volatility ignited by monetary policy adjustment since the new global financial crisis. The results show that the stock market in China has switched to a more volatile period with highly persistent volatility since late Theses findings indicate that the central bank of China should incorporate stock market volatility into its information set for policy adjustments. Keywords: MRS-GARCH; Volatility; Monetary Policy; Regime Switching /

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