發(fā)布時(shí)間：2017-12-30 23:05

  本文關(guān)鍵詞：基于SVAR模型的我國(guó)股票市場(chǎng)與宏觀經(jīng)濟(jì)關(guān)系的實(shí)證研究　出處：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股票市場(chǎng) 宏觀經(jīng)濟(jì) 結(jié)構(gòu)向量自回歸模型(SVAR)

【摘要】：在當(dāng)今市場(chǎng)經(jīng)濟(jì)環(huán)境之下,股票市場(chǎng)已經(jīng)發(fā)展成為一個(gè)國(guó)家優(yōu)化資源配置、企業(yè)籌集資金、投資者分享經(jīng)濟(jì)發(fā)展成果的重要場(chǎng)所,已經(jīng)逐步成為一個(gè)國(guó)家或地區(qū)證券市場(chǎng)乃至整個(gè)宏觀經(jīng)濟(jì)當(dāng)中不可缺少的重要組成部分。正是由于股票市場(chǎng)在宏觀經(jīng)濟(jì)發(fā)展中的作用日益顯現(xiàn),股票市場(chǎng)發(fā)展與宏觀經(jīng)濟(jì)增長(zhǎng)間的相互關(guān)聯(lián)關(guān)系一直都是學(xué)者們熱議的話題之一。而在這當(dāng)中,股票市場(chǎng)是否是宏觀經(jīng)濟(jì)的“晴雨表”,即股票市場(chǎng)的價(jià)格波動(dòng)能否反映出當(dāng)前的宏觀經(jīng)濟(jì)發(fā)展?fàn)顩r,則倍加受到人們的關(guān)注。 上世紀(jì)90年代初,隨著我國(guó)兩家證券交易所——上海證券交易所和深圳證券交易所的正式掛牌營(yíng)業(yè),我國(guó)證券集中交易市場(chǎng)正式形成,這標(biāo)志著我國(guó)資本市場(chǎng)邁向了高速發(fā)展的新時(shí)期。經(jīng)過(guò)20余年的高速發(fā)展,我國(guó)股票市場(chǎng)的規(guī)模越來(lái)越大,對(duì)國(guó)民經(jīng)濟(jì)的影響也越來(lái)越明顯。截至2012年底,我國(guó)境內(nèi)上市公司數(shù)量達(dá)到了2487家(含A、B股),股票市場(chǎng)的總市值達(dá)到了229,566.17億元,總股本達(dá)到了39,287.17億股,滬深兩市投資者有效賬戶數(shù)為14,043.49萬(wàn)戶。但是,在我國(guó)股票市場(chǎng)取得輝煌成就的同時(shí),我們也應(yīng)該清醒地認(rèn)識(shí)到,我國(guó)的股票市場(chǎng)仍是一個(gè)新興的市場(chǎng),各方面還不夠成熟。通常來(lái)講,在發(fā)達(dá)國(guó)家,股票市場(chǎng)更加成熟,股票市場(chǎng)可以充當(dāng)國(guó)民經(jīng)濟(jì)的晴雨表。而在我國(guó),正是由于我國(guó)股票市場(chǎng)的相對(duì)不成熟,在一定程度上限制了我國(guó)股票市場(chǎng)作為宏觀經(jīng)濟(jì)“晴雨表”功能的發(fā)揮。因此,為了規(guī)范和完善我國(guó)股票市場(chǎng)的發(fā)展,充分發(fā)揮我國(guó)股票市場(chǎng)對(duì)于宏觀經(jīng)濟(jì)的重要作用,探析我國(guó)股票市場(chǎng)與宏觀經(jīng)濟(jì)間相互關(guān)聯(lián)關(guān)系是十分重要的,也是十分有必要的。 文章將對(duì)我國(guó)股票市場(chǎng)與宏觀經(jīng)濟(jì)關(guān)系分別做出理論與實(shí)證分析。本文的第一章為緒論,首先對(duì)文章選題的背景與意義做出相應(yīng)闡述,其次對(duì)目前國(guó)內(nèi)外有關(guān)股票市場(chǎng)與宏觀經(jīng)濟(jì)關(guān)系的研究進(jìn)行系統(tǒng)分類(lèi)與相應(yīng)綜述,并對(duì)本文所運(yùn)用的研究方法和具體的段落安排進(jìn)行介紹,最后闡述本文可能的創(chuàng)新之處與不足之處。第二章為股票市場(chǎng)與宏觀經(jīng)濟(jì)關(guān)系的理論分析。這一章節(jié)分為兩個(gè)部分,第一個(gè)部分為股票市場(chǎng)對(duì)宏觀經(jīng)濟(jì)影響的理論分析。在這一部分,首先分析股票市場(chǎng)價(jià)格波動(dòng)如何影響資源的優(yōu)化配置。接下來(lái)分析股票市場(chǎng)價(jià)格波動(dòng)如何影響消費(fèi)者的財(cái)富效應(yīng)。進(jìn)而通過(guò)托賓Q理論效應(yīng)、資產(chǎn)負(fù)債表效應(yīng)和信息不對(duì)稱效應(yīng)三個(gè)方面來(lái)分析股票市場(chǎng)價(jià)格波動(dòng)對(duì)投資渠道的影響。最后介紹股票市場(chǎng)價(jià)格波動(dòng)對(duì)國(guó)民儲(chǔ)蓄率的影響。第二個(gè)部分為宏觀經(jīng)濟(jì)對(duì)股票市場(chǎng)影響的理論分析。在這—部分,首先闡述了宏觀經(jīng)濟(jì)是通過(guò)宏觀經(jīng)濟(jì)變量基于股票定價(jià)模型中的貼現(xiàn)現(xiàn)金流模型來(lái)對(duì)股票市場(chǎng)價(jià)格施加影響。然后分別從經(jīng)濟(jì)增長(zhǎng)、通貨膨脹、貨幣供應(yīng)量以及利率水平四個(gè)層面來(lái)闡述宏觀經(jīng)濟(jì)對(duì)于股票市場(chǎng)價(jià)格波動(dòng)的影響。第三章為本文的實(shí)證部分。首先分別介紹文章中所用到的計(jì)量方法：ADF檢驗(yàn)、向量自回歸(VAR)模型、結(jié)構(gòu)向量自回歸(SVAR)模型、脈沖響應(yīng)函數(shù)和方差分解等,以及相應(yīng)的原理,以便于對(duì)實(shí)證分析結(jié)論的理解。然后在實(shí)證分析部分,通過(guò)將通貨膨脹率、產(chǎn)出水平、貨幣供應(yīng)量和上證綜合指數(shù)四個(gè)變量聯(lián)立構(gòu)建SVAR模型,選取2005年1月至2012年12月的96個(gè)月度數(shù)據(jù)為樣本對(duì)模型進(jìn)行估計(jì)。最后通過(guò)脈沖響應(yīng)函數(shù)和方差分解來(lái)對(duì)實(shí)證結(jié)果進(jìn)行相應(yīng)分析。第四章為結(jié)論與政策建議。在第二章與第三章分別做出理論分析與實(shí)證分析的條件之下,總結(jié)出本文的有關(guān)結(jié)論,并且結(jié)合我國(guó)當(dāng)前的國(guó)情,提出有關(guān)的意見(jiàn)與政策建議。 本文的主要結(jié)論有以下三點(diǎn)： 1.當(dāng)前我國(guó)股票市場(chǎng)價(jià)格波動(dòng)主要受到通貨膨脹因素的影響。同時(shí),產(chǎn)出水平對(duì)我國(guó)股票市場(chǎng)價(jià)格波動(dòng)的影響程度也越來(lái)越大,我國(guó)股票市場(chǎng)作為宏觀經(jīng)濟(jì)“晴雨表”的作用正在逐步顯現(xiàn)。 2.造成現(xiàn)階段我國(guó)股票市場(chǎng)仍為弱有效市場(chǎng)的主要原因,是我國(guó)上市公司質(zhì)量普遍不高、股票市場(chǎng)投機(jī)氛圍太濃等因素。 3.我國(guó)股票市場(chǎng)沖擊對(duì)于產(chǎn)出水平的影響僅次于通貨膨脹的影響,且正在逐步增大�？傮w來(lái)看,我國(guó)股票市場(chǎng)調(diào)節(jié)宏觀經(jīng)濟(jì)的能力正在逐漸增強(qiáng)。 本文的研究結(jié)果表明：我國(guó)的股票市場(chǎng)發(fā)展至今已經(jīng)開(kāi)始逐步展現(xiàn)出宏觀經(jīng)濟(jì)“晴雨表”的作用,正在從弱有效市場(chǎng)向著半強(qiáng)有效市場(chǎng)而發(fā)展。政策建議方面,筆者認(rèn)為應(yīng)該切實(shí)提高上市公司質(zhì)量、大力引導(dǎo)理性投資、確保政策干預(yù)的適度、完善信息傳播與披露機(jī)制,從而可以有效防范操縱股市和過(guò)度投機(jī)等不法行為的發(fā)生,使得我國(guó)股票市場(chǎng)的運(yùn)行機(jī)制更加規(guī)范與完善。良好健康的股票市場(chǎng)運(yùn)行也將為我國(guó)宏觀經(jīng)濟(jì)發(fā)展提供穩(wěn)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.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F124;F832.51

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