存款准备金率变动对股市影响的实证研究  

Empirical Research on the Impact of Changes in Deposit Reserve Ratio on Stock Market

作　　者：文先明[1] 江辉[1] 刘作[1] 

机构地区：[1]长沙理工大学经济与管理学院,湖南长沙410114

出　　处：《系统工程》2012年第4期18-24,共7页Systems Engineering

摘　　要：运用VAR模型的G ranger因果检验和脉冲响应函数分析研究了中央银行存款准备金率变动对沪深300指数的影响,并通过方差分解分析前者对后者的贡献度。得出的结论是存款准备金率变动对股市波动在短期内存在一定负方向的影响,股市波动对存款准备金率则无影响。但在长期内,存款准备金率变动对股市影响很小。最后在此基础上提出相关的货币政策的建议。This paper uses Granger test of VAR model and impulse response function to research the impact of the central bank deposit reserve rate changes on the Shanghai and Shenzhen 300 Index.It is concluded that the deposit reserve ratio negatively correlate with stock market volatility in the short period,and stock market volatility has no influence on the deposit reserve ratio,whose change has a small impact on the stock market in the long time.Finally,we put forward proposals concerning to monetary policy.

关 键 词：存款准备金率 沪深300指数 GRANGER因果检验 脉冲响应分析 方差分解 

分 类 号：F830[经济管理—金融学]