股票价格指数、消费指数与CHIBOR的关联性研究  

Research on the Correlation Among Stock Price Index, Consumption Price Index and CHIBOR

作　　者：刘文震[1] 王传玉[1] 

机构地区：[1]安徽工程大学数理学院,芜湖241000

出　　处：《数学理论与应用》2013年第2期87-95,共9页Mathematical Theory and Applications

摘　　要：本文研究表明,CHIBOR 7日拆放利率分别与股票价格指数、消费物价指数呈协整关系和显著正相关关系,且股票价格指数、消费物价指数为CHIBOR的Granger成因,从而反映了股市的财富效应增加了银行间资金的需求成本的上升。同时CHIBOR与消费物价指数呈互为因果关系,且消费物价指数对CHIBOR的脉冲响应时间较长,从而增加了货币市场管理难度.In this study, it is showed that the CHIBOR 7 offered rate is co - integrated and significantly positive cor-related with both the stock price index and consumer price index, and the two indexes are showed to be the causes of CHIBOR by the Granger cause test, which reflects that the wealth effect of stock market leads to rising in the cost of inter - bank funds. It is also realized that the CHIBOR and consumer price index are reciprocally causal, and the long impulse response time of consumer price index on CHIBOR will result in difficulties in managing the money market.

关 键 词：CHIBOR ADF检验 协整检验 GRANGER检验 脉冲响应函数 

分 类 号：F830.9[经济管理—金融学] F224