宏观经济波动对股票市场的动态影响经验分析  

An Empirical Analysis on the Dynamic Impact of Macroeconomic Fluctuation on Stock Market

作　　者：刘凤根[1] 周驭舰 

机构地区：[1]湖南商学院财政金融学院,湖南长沙410205

出　　处：《湖南商学院学报》2017年第2期114-122,共9页Journal of Hunan Business College

基　　金：国家社科基金项目(项目编号:10BGL056);湖南省哲学社会科学基金项目(项目编号:09YBA086);湖南省高等学校科学研究项目(项目编号:09C587);湖南省高校科技创新团队与湖南省高校哲学人文社会科学重点研究基地资助项目

摘　　要：基于1990~2015年上证综合指数与宏观经济相关变量的时间序列数据,运用SVAR模型的脉冲响应和方差分解、协整检验与误差修正模型对宏观经济波动对股票市场的冲击进行实证,并运用状态空间模型就股票市场波动对宏观经济各变量的敏感度进行分析。结果表明,在长期,利率和汇率对股票市场波动影响明显;而短期,国内生产总值与居民消费水平对股票市场冲击较为明显;居民消费水平对股票市场波动最为敏感,国内生产总值对股票市场波动的敏感度随着股票市场的完善逐渐增强。Based on the time series data of Shanghai Composite Index and several macroeconomic variables, this paper uses the Impulse Response and Variance Decomposition approach of SVAR model, co-integration test and Error Correction Model to capture the impact of macroeconomic volatility on stock market. Furthermore, State space Model has been applied to examine the sensibility degree of stock market to each macroeconomic variable. The result shows, interest rate and exchange rate can significantly affect stock market volatility in the long run, while in the short run, GDP and CPI have an evident impact on stock market volatility. CPI is much more sensible to stock market volatility, and with the improvement of stock market, the sensibility degree of GDP to stock market volatility increase.

关 键 词：宏观经济 股票市场 SVAR 状态空间模型 

分 类 号：F832.5[经济管理—金融学]