中国资本市场与产业结构升级关系的实证研究--基于协整检验和灰色关联分析法  

An Empirical Study of the Relationship between China's Capital Market and Industrial Structure Upgrade:Based on Co-Integration and Gray Correlation Analysis

作　　者：严武[1] 王辉[2] 

机构地区：[1]江西财经大学金融发展与风险防范研究中心,金融管理国际研究院,江西南昌330013 [2]江西财经大学金融学院,江西南昌330013

出　　处：《江西财经大学学报》2012年第2期17-25,共9页Journal of Jiangxi University of Finance and Economics

基　　金：国家自然科学基金项目“股票融资、股市周期与产业结构升级研究”(71063004);教育部人文社科规划项目“债务抵押债券定价的蒙特卡罗模拟方法研究”(09YJA790092)

摘　　要：我们以1994年至2009年我国资本市场筹资额、产业增加值等为样本,通过协整检验和灰色关联分析相结合的方法,来检验我国资本市场与产业结构升级之间的联系。研究发现,我国资本市场筹资率和产业结构升级率存在(1,1)阶协整关系,意味着资本市场筹资率和产业结构升级率之间具有长期稳定的均衡关系。灰色关联分析法结果表明,我国股票市场融资额与产业结构升级度的关联度最高,债券市场次之,银行中长期贷款市场最低,这说明以股权融资为代表的直接融资在我国产业结构升级过程中扮演着重要的角色。By using the amount of the fund raised and the industrial added value in China＇s capital markets from 1994 to 2009 as the samples,this paper tests the relationship between the capital market and the industrial structure upgrade with the methods of co-integration test and gray correlation analysis.The results indicate that there exists a（1,1） order co-integration relationship between China＇s capital market fund raising rate and the rate of industrial structure upgrade,which means that there is a long-term stable equilibrant relationship between those two rates.The result of the gray correlation analysis shows that the relevance between the amount of China＇s stock market financing and the industrial structure upgrade has the highest degree,followed by the bond market,and the long-term bank loan market is the lowest.This indicates that the direct financing represented by equity financing plays an important role in the process of industrial structure upgrade.

关 键 词：资本市场 产业结构升级 灰色关联分析 

分 类 号：F121.3[经济管理—世界经济]