中国股票价格和观经济变量关系的实证分析.pdfVIP

中国股票价格和宏观经济变量关系的实证分析 高霞 2005年4月 摘要 本文应用计量经济学的方法来研究中国股票价格指数和宏观经济变量之间 的相关关系 首先应用 Johansen 协整检验的方法检验股价指数与宏观经济变量 之间的长期关系 结果表明股价指数与工业增加值之间长期为正相关关系 而与 货币供应量 同业拆借利率 居民消费价格指数之间长期呈负相关关系 其次建 立误差修正模型确定变量间的短期影响关系 结果表明股价指数与工业增加值 货币供应量 同业拆借利率之间的关系在短期的表现不同于长期 并利用脉冲响 应函数来研究随机扰动对股价指数的影响 结果显示股票价格指数对来自其他变 量随机扰动的反应很缓慢 这说明中国股票市场的有效性还不是很强 这些结论 对宏观经济政策的制定 特别是对股票市场的分析和预测具有很大的理论意义和 现实意义 中图分类号 F830.91 关键词 股票价格 宏观经济变量 协整 误差修正模型 脉冲响应函数 II An Empirical Analysis on the relationship between stock price and macroeconomic variables in China GAO Xia April 2005 Abstract This paper tests the existence of a relationship between stock price and macroeconomic variables in China with econometrical method. First of all, a long relationship between stock price and macroeconomic variables is tested by Johansen cointegration theory. The result shows that there exists the positive cointegration relationship between stock price and industrial production, while the stock price is negative with money supply, interest rate and price index. On the base of multivariate cointegration analysis, this paper stimulates the Error Correction Model between these variables to make sure the short interaction among these variables. The result shows there is different presentation between stock price and industrial production, money supply and interest rate in the short run. To get some insight into the response of stock price to some random shock of the variables, an Impulse Response Analysis is performed t