摘要
股票市场的发展与一国的宏观经济因素存在密切的联系,本文选取工业增加值增长率,居民消费价格指数、利率、汇率、货币供应量、上证综合指数这6个变量建立VAR模型,并进行脉冲响应分析,对宏观经济因素对我国股票市场价格变动的影响进行定量分析。分析得出宏观经济因素与股票价格波之间存在长期稳定的均衡关系,并且货币政策只有很微弱的影响作用。
The development of stock market and a country＇s macroeconomic factors are closely linked,the paper selects six variables： added value growth rate, consumer price index, interest rate, exchange rate, money supply, the Shanghai Composite Index to establish VAR model, and conduct impulse response analysis of macroeconomic factors on the volatility of China＇s stock market for quantitative analysis. The study finds that macroeconomic factors and stock prices have the long-term stable equilibrium relationship, and monetary policy is only a very weak influence on the stock market.
出处
《特区经济》
2013年第11期71-73,共3页
Special Zone Economy
