股票价格与宏观经济变量间的实证研究

本文运用协整检验等计量方法对我国股票价格与宏观经济变量间的关系进行了研究。表明股价指数与工业生产值、消费支出、消费价格指数、货币供应量存在长期均衡关系;消费价格指数和货币供给量的变化会引起股价指数的波动,同时股价指数的波动会引致工业生产值和消费支出的变化;股价指数与部分宏观经济变量存在协整关系,一定程度上可以反映我国经济发展的水平。

Shares price and macroeconomy variable relation's demonstrative research

This paper probes on the relation between stock price and macroeconomic variables by using Co-integration test.It Proves a long-term balance between stock index and industrial output,consumer price,a fluctuation of stock index caused by the variation of consumer price index and money supplies,which in return lead to a change in industry output value and consume expenditure.In short,a Co-integration Relationship is proved to exist between stock index and macroeconomic variables,which can reflect China＇s economic development to a certain degree.