本文選題：單位根 + X-11模型　； 參考：《電子科技大學(xué)》2012年碩士論文

【摘要】：證券市場(chǎng)與宏觀經(jīng)濟(jì)之間的關(guān)系長(zhǎng)期以來(lái)就是現(xiàn)代金融領(lǐng)域的熱點(diǎn)話題，傳統(tǒng)的經(jīng)濟(jì)理論認(rèn)為，，證券市場(chǎng)是國(guó)民經(jīng)濟(jì)的“晴雨表”。一個(gè)國(guó)家證券市場(chǎng)的成長(zhǎng)，特別是在發(fā)展中國(guó)家的新興股市，都要經(jīng)歷股市的低迷初級(jí)階段，市場(chǎng)低迷后的調(diào)整階段，以及改善市場(chǎng)的成熟階段。我國(guó)的股票市場(chǎng)仍屬于很不成熟的發(fā)展階段，受到國(guó)內(nèi)宏觀經(jīng)濟(jì)的調(diào)控影響也越來(lái)越大，盡管已有很多國(guó)內(nèi)學(xué)者對(duì)宏觀經(jīng)濟(jì)與證券市場(chǎng)的關(guān)系進(jìn)行了很多理論研究和實(shí)證分析，但大都是考察單個(gè)經(jīng)濟(jì)變量與證券市場(chǎng)的關(guān)系，因此本文研究的主要目的是中國(guó)證券市場(chǎng)與整個(gè)宏觀經(jīng)濟(jì)的關(guān)系加以系統(tǒng)分析。 本文選取宏觀經(jīng)濟(jì)變量指標(biāo)國(guó)內(nèi)生產(chǎn)總值、出口總額、全國(guó)消費(fèi)價(jià)格指數(shù)（CPI）、廣義貨幣（M2）、人民幣對(duì)美元的比率（AVE）、投資完成額（INV）為解釋變量，上證綜合指數(shù)為研究對(duì)象，采用2006～2010年3月間的月度數(shù)據(jù)，利用協(xié)整分析對(duì)金融危機(jī)以來(lái)我國(guó)經(jīng)濟(jì)進(jìn)行了實(shí)證分析。本文針對(duì)國(guó)內(nèi)生產(chǎn)總值GDP數(shù)據(jù)序列中存在的季節(jié)效應(yīng)這一問(wèn)題，首先基于X-11模型對(duì)GDP序列進(jìn)行季節(jié)調(diào)整，再通過(guò)單位根檢驗(yàn)、協(xié)整分析得出我國(guó)股價(jià)指數(shù)與宏觀經(jīng)濟(jì)變量間存在著長(zhǎng)期均衡關(guān)系，建立了協(xié)整回歸模型。分析得出：在金融危機(jī)的大環(huán)境下，我國(guó)股票指數(shù)和修訂后的國(guó)內(nèi)生產(chǎn)總值間存在負(fù)相關(guān)關(guān)系，發(fā)現(xiàn)居民消費(fèi)價(jià)格指數(shù)、匯率利率和貨幣對(duì)股指的影響比投資和對(duì)外貿(mào)易（LCPI、MRE、LM2的回歸系數(shù)比LEX、LINV系數(shù)大）的影響要大很多。
[Abstract]:The relationship between securities market and macro-economy has long been a hot topic in the field of modern finance. The traditional economic theory holds that the securities market is the barometer of the national economy. The growth of a country's securities market, especially in the developing world, has to go through the first stage of the downturn, the adjustment stage after the downturn, and the mature stage of improving the market. The stock market of our country is still a very immature stage of development, which is more and more influenced by the domestic macroeconomic regulation and control, although many domestic scholars have carried out a lot of theoretical research and empirical analysis on the relationship between the macro economy and the securities market. But most of them examine the relationship between the single economic variable and the securities market, so the main purpose of this paper is to analyze the relationship between the Chinese securities market and the whole macro economy. In this paper, macroeconomic variables such as GDP, total exports, national consumer price index (CPI), broad currency M2U, ratio of RMB to US dollar (AVEV) and investment volume (INV) are selected as explanatory variables, and Shanghai Composite Index (SSE) is taken as the object of study. Based on the monthly data from 2006 to 2010, this paper makes an empirical analysis of China's economy since the financial crisis by cointegration analysis. Aiming at the problem of seasonal effect in GDP data series of GDP, this paper firstly adjusts GDP sequence seasonally based on X-11 model, and then passes unit root test. Cointegration analysis shows that there is a long-term equilibrium relationship between stock price index and macroeconomic variables in China, and a cointegration regression model is established. It is concluded that under the environment of the financial crisis, there is a negative correlation between the stock index and the revised GDP, and the consumer price index is found. The influence of exchange rate and currency on stock index is much greater than that on investment and foreign trade.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51;F123.16

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