我国信贷资金流人股票市

发布时间：2019-05-11 22:25

【摘要】：以贷款总额、M2、工业增加值、CPI为变量,构建VAR模型,对我国曾出现的信贷资金流入股票、房地产市场的数量进行实证估计.模型以经济理论为基础,在通过经济检验和统计检验的基础上,对信贷资金流入股市房市的数量做出估计.实证结果表明:2007、2009年有大量的信贷资金流入股市房市,并且2007年底股市见顶前最后几月不断有场外资金流入;模型还探讨了资金从股市房市中流出的情况,发现2005年有大量资.金从股市房市中流出,特别是2005年股市见底前最后几个月资金持续从市场中流出.基于模型的估计结果,能够对过去几年我国经济中的一些重要现象做出更好的解释.另外将模型应用于股市资金流向的监测,利用监测结果模拟了一个趋势投资,回溯检验发现趋势投资收益远强于市场表现.
[Abstract]:Taking the total amount of loans, M2, industrial added value and CPI as variables, the VAR model is constructed to estimate the amount of credit funds flowing into the stock and real estate market in China. Based on the economic theory, the model estimates the amount of credit funds flowing into the stock market on the basis of economic test and statistical test. The empirical results show that a large number of credit funds flowed into the stock market in 2007 and 2009, and there were continuous over-the-counter capital inflows in the last few months before the stock market peaked at the end of 2007. The model also discusses the outflow of funds from the stock market, and finds that there is a large amount of capital in 2005. Gold flowed out of the stock market, especially in the last few months before the stock market bottomed out in 2005. Based on the estimated results of the model, some important phenomena in China's economy in the past few years can be better explained. In addition, the model is applied to the monitoring of capital flow in the stock market, and a trend investment is simulated by using the monitoring results. The backtracking test shows that the trend investment return is much stronger than the market performance.
【作者单位】：中国科学院数学与系统科学研究院;
【基金】：国家自然科学基金(70673009,70933003)
【分类号】：F832.4;F832.51;F293.35;F224

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