上证指数与中国宏观经济关系的实证研究

发布时间：2018-05-29 21:20

本文选题：股票市场 + 国民经济　；参考：《山西财经大学》2012年硕士论文

【摘要】：21世纪的经济，既是一种知识为本的经济，又是一种金融化的经济。经济全球化的本质就是资本全球化、金融全球化，而证券市场在金融市场处于举足轻重的地位，与银行业、保险业共居于金融业的核心地位。当代的经济学家一致认为，金融业的发展对经济增长具有巨大的杠杆效应，现代科学技术与金融的有效结合，亦在实体经济中发挥了坚不可摧的推动作用，从一定程度可以说，虚拟经济是实体经济的催化剂，因此现代金融已经成为当代世界经济增长的核心动力，同样促进着经济的高速发展，因此，研究证券市场与宏观经济之间的关系具有一定的现实意义。中国股市短短20多年，历经风雨，变化反复无常，运行规律让人琢磨不透，中国股票市场与宏观经济的运行是否具有一致性关系到很多人的利益。因而，对中国股市与宏观经济关系的研究很有必要。早在100多年前道氏理论就详细地说明了股票市场与国民经济之间的关系，像美国这样成熟的资本市场中，股票市场高度市场化，股票市场与国民经济之间有着紧密的联系。股票市场晴雨表功能是本文写作的基础理论，在美国，股价指数作为宏观经济的先行指标，，提前反映国民经济的运行态势，可以借鉴美国股市的发展，来研究中国股市与国民经济的关系，而在中国，股票市场化程度不够、行政干预过度、腐败现象过多等等负面因素很多，导致中国的股票市场对国民经济反映不及美国股票市场对国民经济的反映，本文通过VAR（向量自回归）模型研究了我国九个宏观经济指标之间的关系，先进行单位根检验，再对平稳的变量进行格兰杰因果检验，建立VAR模型，并检验模型的稳定性，在VAR模型的基础上用到脉冲响应函数和方差分解，全面阐释经济指标之间的相互关系和相互影响，从中找出中国股市存在的问题，并提出了相应的政策建议。
[Abstract]:The economy of the 21 st century is not only a knowledge-based economy, but also a financialized economy. The essence of economic globalization is capital globalization, financial globalization, and the securities market in the financial market in a pivotal position, with the banking industry, insurance industry in the core position of the financial industry. Contemporary economists agree that the development of the financial industry has a huge leverage effect on economic growth, and that the effective combination of modern science and technology with finance has also played an impenetrable role in the real economy. To a certain extent, it can be said that The virtual economy is the catalyst of the real economy, so modern finance has become the core power of the economic growth in the contemporary world, and it also promotes the rapid development of the economy. It is of practical significance to study the relationship between securities market and macro-economy. The Chinese stock market has been through the wind and rain for more than 20 years and has changed capriciously. It is difficult to figure out whether the operation of Chinese stock market and macro economy is consistent or not, which is related to the interests of many people. Therefore, it is necessary to study the relationship between Chinese stock market and macro-economy. As early as more than 100 years ago, Taoist theory explained in detail the relationship between the stock market and the national economy. In a mature capital market like the United States, the stock market is highly market-oriented, and there is a close connection between the stock market and the national economy. The function of the barometer of the stock market is the basic theory of this paper. In the United States, stock price index, as a leading indicator of the macro economy, reflects the operational situation of the national economy in advance, and can draw lessons from the development of the stock market in the United States. To study the relationship between China's stock market and the national economy. In China, there are many negative factors such as insufficient marketization of the stock market, excessive administrative intervention, excessive corruption and so on. As a result, China's stock market is not as responsive to the national economy as the American stock market is. This paper studies the relationship between the nine macroeconomic indicators in China by using the VAR (Vector autoregressive) model, and carries out the unit root test first. Then Granger causality test is carried out on the stationary variables, VAR model is established, and the stability of the model is tested. On the basis of the VAR model, pulse response function and variance decomposition are used to fully explain the interrelation and mutual influence between economic indicators. Find out the existing problems in Chinese stock market, and put forward the corresponding policy recommendations.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F124;F224

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