基于BVAR模型的我国股票价格宏观经济因素影响分析

发布时间：2018-01-22 23:59

本文关键词： 经济运行状况财政政策货币政策贝叶斯VAR模型脉冲响应分析　出处：《暨南大学》2014年硕士论文　论文类型：学位论文

【摘要】：很多因素都会对股票价格产生影响，而在这些因素中宏观经济因素是其中一个非常重要的因素，因为宏观经济因素对于处在该市场中的每一个成员都有影响。因此本文分别从宏观经济运行状态、财政政策和货币政策这三个方面分别从理论分析和实证分析两个方面分析其对股票价格的影响。本文中宏观经济运行状态选取指标一致指数、CPI、进口值、出口值、工业增加值增长率，财政政策方面选取了证券交易印花税，货币政策方面选取了M2增长速度、M1/M2、一年期存款利率、人民币对美元汇率。通过对这些指标分别与1999年1月--2013年12月的上证综合指数建立贝叶斯VAR模型，进行分析研究。所选用的贝叶斯VAR模型不仅具有VAR模型的优势，能克服其过度参数的缺点，通过分析得出如下结论，股票市场的运行基本与我国经济运行状态相一致，，货币政策对股票市场的影响具有大约6期的滞后性，且其对股票市场影响的方向不太明确；证券交易印花税在长期中对股票价格没有影响。
[Abstract]:Many factors have an impact on stock prices, of which macroeconomic factors are one of the most important. Since macroeconomic factors have an impact on every member in the market, this paper starts from the macroeconomic operating state. Fiscal policy and monetary policy from the theoretical analysis and empirical analysis of its impact on the stock price. In this paper, the macroeconomic operation state of the same index, CPI, import value. Export value, industrial value added growth rate, fiscal policy selected the stamp duty on securities transactions, monetary policy chose M2 growth rate M 1 / M 2, one-year deposit interest rate. The exchange rate of RMB to the US dollar. The Bayesian VAR model is established by comparing these indexes with the Shanghai Composite Index from January 1999 to December 2013. The Bayesian VAR model not only has the advantages of VAR model, but also can overcome the shortcomings of its excessive parameters. The operation of the stock market is basically consistent with the state of our country's economy. The influence of monetary policy on the stock market is lagging behind for about six periods, and the direction of its influence on the stock market is not very clear. Stamp duty on securities transactions has no effect on stock prices in the long run.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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