中国金融资产收益率与宏观经济相关性研究

基于Lamont设立的经济跟踪指标组合体系,选择1997年5月至2006年11月的数据构建了股市各项资产收益率与宏观经济指标之间的多元OLS回归模型(ETP)、向量自回归模型(VAR)、协整检验和向量误差修正模型(VEC),全面考察了我国股市资产收益率与宏观经济变量之间的互动关系。研究发现,OLS模型与VAR模型中资产收益率的回归系数大多不显著,虽然宏观变量和金融资产收益率存在长期均衡关系,但是这种均衡关系非常松散和不明朗。

The Interaction between China's Financial Assets Return and Macroeconomic Indicators

Based on "Economic Tracking Portfolio" in Lamont(1999,2001),the authors use data from May.1997 to Nov.2006 to establish multivariate OLS(ETP model),Vector Autoregression model(VAR),Cointegration and Vector Error Correction(VEC) model between various stock returns and macroeconomic variables,the monetary policy control variables are included in the model too in order to evaluate the interaction between asset returns and real economy.It is found that most of regression coefficients in OLS and VAR are not significant.Although there is a long-term equilibrium relationship between asset returns and macroeconomic variables,the relationship is loose and unclear.The author tries to explain this phenomenon from the perspectives of irrationality in stock market,inflexibility in monetary policies and lack of representation of stock market capitalization and so on.