我国股票市场与国民经济运行关系的实证研究

本文从分析上证指数及与股票市场密切相关的国民经济运行变量的时间序列入手,依据现代动态计量学的理论与方法,对我国股市和国民经济运行之间的关系进行了具体的分析,从而建立了一个向量自回归(VAR)模型,并在此基础上得出我国股市与经济运行之间的长期均衡关系和短期变动的向量误差修正(VEC)模型。实证研究的结果表明,目前股市背离国民经济运行只是暂时的现象,在一段较长的时期内,我国的股市发展依然受到国民经济运行状况的制约。

Demonstration research of China stock market and national economy operation Relation

Based on modern dynamic econometric theory,as well as thorough theoretic analysis of the relationship between the stock market and the national economic running,the paper establishes a VAR model which describes the intrinsic relationship mentioned above in quantity.As a con- clusion,it is put forward that the stock market's deviation from the eco- nomic running is temporary,and in the long period,the economic running still shows constraint in the development of the stock market.