英文标题：
《Hysteresis and Duration Dependence of Financial Crises in the US:
Evidence from 1871-2016》
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作者：
Rui Menezes and Sonia Bentes
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最新提交年份：
2016
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英文摘要：
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative returns for the S&P500 stock market index over the last 145 years. Factors known to affect the duration of these spells are the magnitude or intensity of the price decline, long-term interest rates and economic recessions, among others. The result of interest is the conditional probability of ending a spell of consecutive months over which stock market returns remain negative. In this study, we rely on continuous time survival models in order to investigate this question. Several specifications were attempted, some of which under the proportional hazards assumption and others under the accelerated failure time assumption. The best fit of the various models endeavored was obtained for the log-normal distribution. This distribution yields a non-monotonic hazard function that increases up to a maximum and then decreases. The peak is achieved 2-3 months after the spells onset with a hazard of around 0.9 or higher; this hazard then decays asymptotically to zero. Spells duration increase during recessions, when interest rate rises and when price declines are more intense. The main conclusion is that short spells of negative returns appear to be mainly frictional while long spells become structural and trigger hysteresis effects after an initial period of adjustment. Although in line with our expectations, these results may be of some importance for policy-makers.
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中文摘要：
本研究分析了引发股票市场波动持续性的事件的持续时间依赖性。在我们的背景下，这些事件是过去145年来标普500指数连续下跌或负回报的月度周期。影响这些时期持续时间的已知因素包括价格下跌的幅度或强度、长期利率和经济衰退等。利息的结果是，有条件地有可能结束连续几个月的股市回报率保持为负值的局面。在这项研究中，我们依靠连续时间生存模型来研究这个问题。尝试了几种规范，其中一些是在比例危险假设下，另一些是在加速失效时间假设下。对于对数正态分布，获得了各种模型的最佳拟合。该分布产生一个非单调的风险函数，该函数先增大到最大值，然后减校峰值出现在咒语发作后2-3个月，危险度约为0.9或更高；然后，这种危险逐渐衰减为零。在经济衰退期间，利率上升和价格下跌更加剧烈时，持续时间延长。主要结论是，短期负回报似乎主要是摩擦性的，而长期负回报则成为结构性的，并在初始调整期后引发滞后效应。虽然符合我们的预期，但这些结果可能对决策者具有一定的重要性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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