股票市场与宏观经济的关系研究.doc

摘要 金融活动在现代经济体系中是处于核心地位的。虽然大多数当代经济学家在金融发展对经济增长具有重要作用的这一命题上已经达成了共识，但是对于宏观经济与股票市场之间的关系却还是存在着不少的分歧。 本文的主要研究目的通过向量自回归模型和其他一些相关的计量方法来实证研究我国现阶段宏观经济与股票市场之间的关系，并深入分析了我国股票市场与宏观经济相背离的相关原因，进而提出发展和完善我国股票市场的若干政策与建议。 本文首先全面回顾了相关领域的国内外文献，对股票市场与宏观经济的各种不同的观点进行了深入分析并归类总结，并提出了自己对已有研究的一些看法和观点。其次作者对股票市场和宏观经济的相关理论进行了深入的分析，其中包括股票市场与宏观经济的理论分析和相互作用的机制分析。在实证分析方面，本文基于1998年1月——2009年12月的季度数据，对股票市场和经济增长之间关系作实证研究，在时间跨度上比较完整，其中代表股票市场发展状况的变量有股票筹资额、股票交易额以及股指收益率三个指标；代表宏观经济状况的变量是季度实际GDP指标。本文用到的实证方法有单位根检验、动态最小二乘法，长期和短期的格兰杰因果检验、误差修正模型以及脉冲响应函数。得出的结论是，股票市场与经济增长有着长期的协整关系，股票市场筹资额对经济增长有显著的影响。而从短期看，我国的股票市场与经济增长之间不存在显著的相关性，股票市场与经济增长有一定程度的背离。针对研究结果，本文分析了产生这种现象的原因并提出了相关的政策与建议。 关键词：股票市场；宏观经济；VAR模型；正相关；股经背离； Abstract Financial activities is at the heart of the modern economic system. Although most contemporary economists has been reached a consensus that financial development plays an important role for economic growth. But there are still many differences between macroeconomic and stock marker. The main purpose of this paper is that analysis the present stage the relationship between macroeconomic and stock marker through the VAR model and other related empirical study of measurement method. And in-depth analysis the causes of China’s stock market and macro-related divergence. The paper first give a comprehensive review of literatures of domestic and international in related fields. It gives a in-depth analysis and classified about different views between stock market and macro-economic, and put forward some views and perspectives in my own research. Then the paper gives a in-depth theoretical analysis of the stock market and macroeconomic. It includes the interaction theory of stock market and macroeconomic and the mechanism of the interaction between stock market and macroeconomic. This paper is a positives study of the relation between stock market and macroeconomic based on the quartcrly data from January 1990 to December 2009, which is long time series. On the stock market, we choose the financing amount of s