运用向量自回归模型(VAR)分析存款准备金率的变动对开放式基金价格的影响  

Analysis of the Effect of Reserve Ratio Volatility to Mutual Fund Price:Using VAR Model

作　　者：文赋[1] 

机构地区：[1]中南大学商学院,长沙410083

出　　处：《湖南理工学院学报（自然科学版）》2008年第2期20-23,共4页Journal of Hunan Institute of Science and Technology(Natural Sciences)

摘　　要：运用基于VAR模型的脉冲响应函数和格兰杰因果检验分析了2003年1月至2008年4月的日度数据,得到的结论是准备金率的变动对开放式基金市场有单向的影响.这种单向的影响说明,我国通过法定准备金率的调整来控制宏观经济的运行是一种比较可靠的渠道.The research purpose of this paper is to test whether the reserve ratio affects and how to affect the mutual fund market. Impulse response function based on VAR model and Granger causality test to analysis the daily data from January 2003 to April 2008 is applied in this paper. That the fluctuation of reserve ratio affected the mutual fund unilaterally is derived. This one-side influence indicated that it is a reliable channel to control the macroeconomics operation by adjusting the reserve ratio.

关 键 词：开放式基金 住备金率 ADF检验 脉冲响应函数 格兰杰因果检验 向量自回归模型 

分 类 号：O29[理学—应用数学]