基于SVAR模型的我国股票市场与宏观经济关系的实证研究

发布时间：2017-12-30 23:05

本文关键词：基于SVAR模型的我国股票市场与宏观经济关系的实证研究　出处：《江西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：在当今市场经济环境之下,股票市场已经发展成为一个国家优化资源配置、企业筹集资金、投资者分享经济发展成果的重要场所,已经逐步成为一个国家或地区证券市场乃至整个宏观经济当中不可缺少的重要组成部分。正是由于股票市场在宏观经济发展中的作用日益显现,股票市场发展与宏观经济增长间的相互关联关系一直都是学者们热议的话题之一。而在这当中,股票市场是否是宏观经济的“晴雨表”,即股票市场的价格波动能否反映出当前的宏观经济发展状况,则倍加受到人们的关注。上世纪90年代初,随着我国两家证券交易所——上海证券交易所和深圳证券交易所的正式挂牌营业,我国证券集中交易市场正式形成,这标志着我国资本市场迈向了高速发展的新时期。经过20余年的高速发展,我国股票市场的规模越来越大,对国民经济的影响也越来越明显。截至2012年底,我国境内上市公司数量达到了2487家(含A、B股),股票市场的总市值达到了229,566.17亿元,总股本达到了39,287.17亿股,沪深两市投资者有效账户数为14,043.49万户。但是,在我国股票市场取得辉煌成就的同时,我们也应该清醒地认识到,我国的股票市场仍是一个新兴的市场,各方面还不够成熟。通常来讲,在发达国家,股票市场更加成熟,股票市场可以充当国民经济的晴雨表。而在我国,正是由于我国股票市场的相对不成熟,在一定程度上限制了我国股票市场作为宏观经济“晴雨表”功能的发挥。因此,为了规范和完善我国股票市场的发展,充分发挥我国股票市场对于宏观经济的重要作用,探析我国股票市场与宏观经济间相互关联关系是十分重要的,也是十分有必要的。文章将对我国股票市场与宏观经济关系分别做出理论与实证分析。本文的第一章为绪论,首先对文章选题的背景与意义做出相应阐述,其次对目前国内外有关股票市场与宏观经济关系的研究进行系统分类与相应综述,并对本文所运用的研究方法和具体的段落安排进行介绍,最后阐述本文可能的创新之处与不足之处。第二章为股票市场与宏观经济关系的理论分析。这一章节分为两个部分,第一个部分为股票市场对宏观经济影响的理论分析。在这一部分,首先分析股票市场价格波动如何影响资源的优化配置。接下来分析股票市场价格波动如何影响消费者的财富效应。进而通过托宾Q理论效应、资产负债表效应和信息不对称效应三个方面来分析股票市场价格波动对投资渠道的影响。最后介绍股票市场价格波动对国民储蓄率的影响。第二个部分为宏观经济对股票市场影响的理论分析。在这—部分,首先阐述了宏观经济是通过宏观经济变量基于股票定价模型中的贴现现金流模型来对股票市场价格施加影响。然后分别从经济增长、通货膨胀、货币供应量以及利率水平四个层面来阐述宏观经济对于股票市场价格波动的影响。第三章为本文的实证部分。首先分别介绍文章中所用到的计量方法：ADF检验、向量自回归(VAR)模型、结构向量自回归(SVAR)模型、脉冲响应函数和方差分解等,以及相应的原理,以便于对实证分析结论的理解。然后在实证分析部分,通过将通货膨胀率、产出水平、货币供应量和上证综合指数四个变量联立构建SVAR模型,选取2005年1月至2012年12月的96个月度数据为样本对模型进行估计。最后通过脉冲响应函数和方差分解来对实证结果进行相应分析。第四章为结论与政策建议。在第二章与第三章分别做出理论分析与实证分析的条件之下,总结出本文的有关结论,并且结合我国当前的国情,提出有关的意见与政策建议。本文的主要结论有以下三点： 1.当前我国股票市场价格波动主要受到通货膨胀因素的影响。同时,产出水平对我国股票市场价格波动的影响程度也越来越大,我国股票市场作为宏观经济“晴雨表”的作用正在逐步显现。 2.造成现阶段我国股票市场仍为弱有效市场的主要原因,是我国上市公司质量普遍不高、股票市场投机氛围太浓等因素。 3.我国股票市场冲击对于产出水平的影响仅次于通货膨胀的影响,且正在逐步增大。总体来看,我国股票市场调节宏观经济的能力正在逐渐增强。本文的研究结果表明：我国的股票市场发展至今已经开始逐步展现出宏观经济“晴雨表”的作用,正在从弱有效市场向着半强有效市场而发展。政策建议方面,笔者认为应该切实提高上市公司质量、大力引导理性投资、确保政策干预的适度、完善信息传播与披露机制,从而可以有效防范操纵股市和过度投机等不法行为的发生,使得我国股票市场的运行机制更加规范与完善。良好健康的股票市场运行也将为我国宏观经济发展提供稳定有效的支持。
[Abstract]:Under the environment of market economy, the stock market has become a country to optimize the allocation of resources, enterprises to raise funds, an important place for investors to share the fruits of economic development, has gradually become a country or region of the stock market and even the entire macro economy an important and indispensable component. It is because of the effects of the stock market in the macro economy in the development of increasingly apparent, relationship between stock market development and economic growth has always been one of the hot topic of scholars. In this, whether the stock market is the barometer of economy, namely the price fluctuations in the stock market can reflect the macro economic development, the current situation of the doubly by the attention of people.
The last century at the beginning of 90s, with China's two stock exchange officially open the Shanghai stock exchange and Shenzhen stock exchange, the official formation of our securities market, which marks China's capital market into a new period of rapid development. After 20 years of rapid development, China's stock market scale is more and more big and the impact on the national economy is more and more obvious. By the end of 2012, the number of Listed Companies in China reached 2487 (including A, b), the total market value of the stock market reached 22 trillion and 956 billion 617 million yuan, the total capital reached 3 trillion and 928 billion 717 million shares, Shanghai and Shenzhen two city investors valid account number is 140 million 434 thousand and 900. However, made brilliant the achievements in China's stock market at the same time, we should also be soberly aware that China's stock market is still an emerging market, all aspects are not mature enough. Generally speaking, in the developed The state, the stock market is more mature, the stock market can serve as a barometer of the national economy. But in our country, it is because China's stock market is not mature, to some extent limit the stock market of our country as a macroeconomic "barometer" function. Therefore, in order to standardize and improve the development of China's stock market and give full play to China's stock market plays an important role in macroeconomic analysis, China's stock market and macro economy mutual relationship is very important, is also very necessary.
This article will focus on China's stock market and macro economy relation respectively to make theoretical and empirical analysis. The first chapter is the introduction, first introduced the background and significance of this topic to make, followed by the current research at home and abroad about the relationship between stock market and economic growth are classified and the corresponding review, and research methods of this paper use the specific paragraph arrangement are introduced, finally elaborated the innovation and shortage of this paper possible. The second chapter is the analysis of the stock market and macro economy relation. This chapter is divided into two parts, the first part is the theoretical analysis of the macroeconomic impact of the stock market. In this part, first analysis price fluctuations in the stock market affect the optimal allocation of resources. The analysis of price fluctuations in the stock market affect the consumer wealth effect. Then by Tobin Q On the effect, to analyze the impact of price fluctuations in the stock market on the investment channels of assets in three aspects of effect and asymmetric information effect sheet. Finally introduced the effects of price fluctuations in the stock market to the national savings rate. The second part is the theoretical macroeconomic impact on the stock market analysis. In this part, firstly expounds the macro economy the macroeconomic variables based on stock pricing model of discounted cash flow model to exert influence on the stock market price. And then from the economic growth, inflation, money supply and interest rates in four aspects for the macroeconomic impact of price fluctuations in the stock market. The third chapter is the empirical part of this paper. Firstly, the measurement methods used in the article: ADF test, vector autoregressive (VAR) model, structural vector autoregression (SVAR) model, impulse response function and variance Decomposition, and the corresponding principle, understanding of the empirical analysis conclusion for analysis in the empirical part. Then, the rate of inflation, output level, construct the SVAR model of money supply and the Shanghai stock index of the four variable simultaneous 96, monthly data from January 2005 to December 2012 as a sample to estimate the model. Finally, the pulse the response function and variance decomposition to analyze the empirical results. The fourth chapter is the conclusion and policy suggestions. Under the second and third chapters respectively make theoretical analysis and empirical analysis, summarizes the related conclusions of this paper, and combined with the current situation of our country, put forward opinions and suggestions.
The main conclusions of this paper are the following three points:
1., the price fluctuation of China's stock market is mainly influenced by inflation factors. Meanwhile, the influence of output level on China's stock market price fluctuation is also increasing. China's stock market as a macroeconomic barometer is gradually showing.
2., the main reason for China's stock market to remain weak and effective is that the quality of China's listed companies is generally not high, and the speculative atmosphere of stock market is too strong.
3., the impact of China's stock market shocks on output level is only secondary to inflation and is gradually increasing. In general, the ability to regulate macro-economy in China's stock market is gradually increasing.
The results of this study show that: China's stock market development has gradually began to show the role of macroeconomic "barometer", is from the weak effective market to semi strong efficient market development. Policy recommendations, the author thinks that we should improve the quality of listed companies, to guide rational investment, to ensure that the appropriate policy intervention, improvement and dissemination of information disclosure mechanism, which can effectively prevent stock manipulation and excessive speculation and other illegal acts, the operating mechanism of China's stock market more standardized and improved. A good healthy stock market will also provide a stable and effective support for the development of our country's macro economy.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F124;F832.51

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