Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation  

作　　者：Numan Ulki Kexing Wu 

机构地区：[1]Institute of Economic Studies,Charles University,Czechia [2]School of Commerce,University of South Australia,Australia

出　　处：《China & World Economy》2023年第5期1-25,共25页中国与世界经济（英文版）

基　　金：the Cooperatio Program,Research Area Economics,at Charles University,Czechia.

摘　　要：This paper studies the connection between the stock market and real output in China and compares it with benchmark countries,employing a novel vector autoregression with asymmetric leads(VARwAL)model.It makes two contributions.First,it finds that the time profile of the Chinese stock market's response to real output shocks suggests no evidence of a distorted relationship due to manipulation of Chinese real output data or domination of the Chinese stock market by individual investors.Rather,the Chinese stock market is relatively more responsive to real output,in line with the larger share of manufacturing in the Chinese economy.Electricity output and industrial profits,two different,less-manipulable time series,yield similar results.Second,it presents the first use of VARwAL impulse responses to detect stock market bubbles:VARwAL captures the 2015 bubble in China successfully.Over the full sample period,China's stock market appears to have been less prone to bubbles than the US stock market.

关 键 词：China real output shocks stock market VARwAL model 

分 类 号：F832.51[经济管理—金融学]