银行信贷与股票价格关系研究--基于后金融危机时代数据的再检验

本文以08年次贷危机以后的变量月度数据为基础，综合运用向量自回归模型以及误差修正模型来研究后金融危机时代我国银行信贷与股票价格之间的关系，实证结果表明，在金融危机后的中国，银行信贷与股票价格的关系在短期内存在一定的正向关系，但在长期内存在负向关系。通过格兰杰因果检验发现，股票市场的变化是信贷市场波动的格兰杰原因，而反之不成立。

Research on the Relationship between the Bank Credit and Stock Price---Based on the Reinspection of the Post Financial Crisis Era Data

Based on the variable monthly data after the subprime mortgage crisis in 2008, this paper comprehensively uses the vector autoregression model (VAR) and the vector error correction model (VEC) to research the relationship between the bank credit and the stock price in the post-financial crisis era in China. The empirical results show that, after the financial crisis in China, the bank credit and the stock price affect each other positively in short term, but affect each other negatively in long term. Through Granger Causality Test, this paper finds out that the change of the stock market is the granger reason of the credit market volatility, but not vice versa.