我国证券市场与宏观经济间的协整分析

发布时间：2018-05-07 04:44

本文选题：单位根 + X-11模型　；参考：《电子科技大学》2012年硕士论文

【摘要】：证券市场与宏观经济之间的关系长期以来就是现代金融领域的热点话题，传统的经济理论认为，，证券市场是国民经济的“晴雨表”。一个国家证券市场的成长，特别是在发展中国家的新兴股市，都要经历股市的低迷初级阶段，市场低迷后的调整阶段，以及改善市场的成熟阶段。我国的股票市场仍属于很不成熟的发展阶段，受到国内宏观经济的调控影响也越来越大，尽管已有很多国内学者对宏观经济与证券市场的关系进行了很多理论研究和实证分析，但大都是考察单个经济变量与证券市场的关系，因此本文研究的主要目的是中国证券市场与整个宏观经济的关系加以系统分析。本文选取宏观经济变量指标国内生产总值、出口总额、全国消费价格指数（CPI）、广义货币（M2）、人民币对美元的比率（AVE）、投资完成额（INV）为解释变量，上证综合指数为研究对象，采用2006～2010年3月间的月度数据，利用协整分析对金融危机以来我国经济进行了实证分析。本文针对国内生产总值GDP数据序列中存在的季节效应这一问题，首先基于X-11模型对GDP序列进行季节调整，再通过单位根检验、协整分析得出我国股价指数与宏观经济变量间存在着长期均衡关系，建立了协整回归模型。分析得出：在金融危机的大环境下，我国股票指数和修订后的国内生产总值间存在负相关关系，发现居民消费价格指数、汇率利率和货币对股指的影响比投资和对外贸易（LCPI、MRE、LM2的回归系数比LEX、LINV系数大）的影响要大很多。
[Abstract]:The relationship between securities market and macro-economy has long been a hot topic in the field of modern finance. The traditional economic theory holds that the securities market is the barometer of the national economy. The growth of a country's securities market, especially in the developing world, has to go through the first stage of the downturn, the adjustment stage after the downturn, and the mature stage of improving the market. The stock market of our country is still a very immature stage of development, which is more and more influenced by the domestic macroeconomic regulation and control, although many domestic scholars have carried out a lot of theoretical research and empirical analysis on the relationship between the macro economy and the securities market. But most of them examine the relationship between the single economic variable and the securities market, so the main purpose of this paper is to analyze the relationship between the Chinese securities market and the whole macro economy. In this paper, macroeconomic variables such as GDP, total exports, national consumer price index (CPI), broad currency M2U, ratio of RMB to US dollar (AVEV) and investment volume (INV) are selected as explanatory variables, and Shanghai Composite Index (SSE) is taken as the object of study. Based on the monthly data from 2006 to 2010, this paper makes an empirical analysis of China's economy since the financial crisis by cointegration analysis. Aiming at the problem of seasonal effect in GDP data series of GDP, this paper firstly adjusts GDP sequence seasonally based on X-11 model, and then passes unit root test. Cointegration analysis shows that there is a long-term equilibrium relationship between stock price index and macroeconomic variables in China, and a cointegration regression model is established. It is concluded that under the environment of the financial crisis, there is a negative correlation between the stock index and the revised GDP, and the consumer price index is found. The influence of exchange rate and currency on stock index is much greater than that on investment and foreign trade.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F123.16

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