中国股市与经济增长:基于MS-VECM的研究

发布时间：2018-06-04 03:44

本文选题：股市 + 经济增长　；参考：《厦门大学学报(哲学社会科学版)》2014年05期

【摘要】：一国的股市能够灵敏地反映该国经济发展的周期变化和运行状态。为了考察中国股市与经济增长之间的短期波动模式和长期均衡关系,基于1992年以来上证指数和中国实际GDP的季度数据,使用Markov区制转换向量误差修正模型(MS-VECM),可对不同状态和区制条件下股价波动与经济增长率之间的相关关系进行度量和检验。研究表明,中国经济周期中存在显著的三区制性质,经济周期波动存在非对称性。这既体现为周期阶段的转换概率不同,也体现为周期阶段的持续期不同;短期内不同区制的股价与经济增长关系呈现出不同特征,但存在长期稳定的内在制约与调整的均衡关系。
[Abstract]:A country's stock market can be sensitive to the country's economic development cycle changes and operating state. In order to investigate the short-term volatility pattern and long-term equilibrium relationship between Chinese stock market and economic growth, based on the quarterly data of Shanghai Stock Exchange Index and China's actual GDP since 1992, Using the Markov transformation vector error correction model, the correlation between stock price fluctuation and economic growth rate can be measured and tested under different conditions. The results show that there is a significant three-zone system in the Chinese business cycle, and the fluctuation of the business cycle is asymmetric. This is reflected not only in the different transition probability of the cycle stage, but also in the different duration of the cycle stage. In the short term, the relationship between the stock price and economic growth in different regions shows different characteristics. However, there is a long-term stability of internal constraints and adjustment of the equilibrium relationship.
【作者单位】：厦门大学经济学院;
【基金】：教育部人文社会科学项目“空间自回归单指数模型的理论和实践”(13YJA9100002)
【分类号】：F224;F832.51

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