上海金融发展与经济增长:基于VAR系统的实证研究  

Financial Development and Economic Growth in Shanghai:Empirical Research Based on VAR System

作　　者：孙士金 孙世霞 

出　　处：《统计教育》2009年第11期30-37,共8页Statistical education

摘　　要：本文基于多变量VAR系统,运用协整检验、格兰杰因果关系检验、脉冲响应函数和方差分解分析、向量误差修正模型(VECM)对上海市的金融发展与经济增长的关系进行了分析。格兰杰因果关系检验和脉冲响应函数分析结果表明,上海市的股票市场发展与经济增长存在相互促进的关系,保险深度能对金融相关率和经济增长产生正向稳定的拉动作用,而存贷款比率可以对金融相关率产生正向持续的拉动作用。方差分解分析显示,存贷款比率对经济增长的贡献最大。向量误差修正模型显示了上海经济增长与金融发展各指标间的具体数量关系。最后,我们结合所得到的结论和实际提出了自己的建议。This paper uses co-integration test, Granger causality test, impulse response function, variance decomposition and vector error correction model to check the relationship between financial development and economic growth in Shanghai. Granger causality test and impulse response function analysis indicate that, development of stock market and economic growth support each other in Shanghai, and the development of insurance market has a sustaining and positive effect on eeonomic growth and expansion of financial scale. And the ratio of loans to savings has a sustaining and positive effect on expansion of financial scale. Variance decomposition indicates that, the ratio of loans to savings contributes most to economic growth. Vector error correction model shows exact quantitative relationship between financial development and eeonomic growth. At last, suggestions are proposed to the financial development in Shanghai with integrating conclusions with reality.

关 键 词：金融发展 经济增长 协整检验 格兰杰因果关系检验 脉冲响应函数 向量误差修正模型 

分 类 号：O211.67[理学—概率论与数理统计] F124[理学—数学]