资本配置效率与金融发展的协整研究——基于江苏省的数据  

Co-integration Analysis on Capital Allocation Efficiency and Financial Development Based on Data of Jiangsu Province

作　　者：江红莉[1] 何建敏[1] 庄亚明[1] 刘向东[1] 

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《南京航空航天大学学报（社会科学版）》2011年第2期34-39,共6页Journal of Nanjing University of Aeronautics & Astronautics（Social Sciences）

基　　金：国家自然科学基金项目(70671025/G0115)

摘　　要：首先基于Jeffrey Wurgler模型,采用江苏省1995-2007年37个工业行业的面板数据度量了各年的资本配置效率,得出资本配置效率弹性值平均为0.4844,高于山东省和全国水平。进一步对资本配置效率弹性值与金融相关率进行协整分析和Granger因果检验,发现两个变量都是一阶单整,具有协整关系,且滞后1期时,资本配置效率弹性值是金融相关率的Granger原因,反之则不成立。Based on Jeffrey Wurgler＇s capital allocation efficiency model, this paper firstly analyzes the capital allocation efficiency of Jiangsu Province＇s 37 industries during 199542007. The result shows that the average capital allocation efficiency is 0. 4844, higher than that of Shandong Province and that of the whole country. Then co-integration analysis and Granger causality test on capital allocation efficiency elasticity and FIR are carried out, finding that both variables are I（1）,and there is co-integration relation between them, and lag 1 year, capital allocation efficiency elasticity is FIR＇s Granger reason, but not vice versa.

关 键 词：资本配置效率 单位根检验 协整 GRANGER因果检验 

分 类 号：F83[经济管理—金融学]