本文選題：股市 + 經(jīng)濟(jì)增長(zhǎng)�。� 參考：《廈門大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版)》2014年05期

【摘要】：一國(guó)的股市能夠靈敏地反映該國(guó)經(jīng)濟(jì)發(fā)展的周期變化和運(yùn)行狀態(tài)。為了考察中國(guó)股市與經(jīng)濟(jì)增長(zhǎng)之間的短期波動(dòng)模式和長(zhǎng)期均衡關(guān)系,基于1992年以來(lái)上證指數(shù)和中國(guó)實(shí)際GDP的季度數(shù)據(jù),使用Markov區(qū)制轉(zhuǎn)換向量誤差修正模型(MS-VECM),可對(duì)不同狀態(tài)和區(qū)制條件下股價(jià)波動(dòng)與經(jīng)濟(jì)增長(zhǎng)率之間的相關(guān)關(guān)系進(jìn)行度量和檢驗(yàn)。研究表明,中國(guó)經(jīng)濟(jì)周期中存在顯著的三區(qū)制性質(zhì),經(jīng)濟(jì)周期波動(dòng)存在非對(duì)稱性。這既體現(xiàn)為周期階段的轉(zhuǎn)換概率不同,也體現(xiàn)為周期階段的持續(xù)期不同;短期內(nèi)不同區(qū)制的股價(jià)與經(jīng)濟(jì)增長(zhǎng)關(guān)系呈現(xiàn)出不同特征,但存在長(zhǎng)期穩(wěn)定的內(nèi)在制約與調(diào)整的均衡關(guān)系。
[Abstract]:A country's stock market can be sensitive to the country's economic development cycle changes and operating state. In order to investigate the short-term volatility pattern and long-term equilibrium relationship between Chinese stock market and economic growth, based on the quarterly data of Shanghai Stock Exchange Index and China's actual GDP since 1992, Using the Markov transformation vector error correction model, the correlation between stock price fluctuation and economic growth rate can be measured and tested under different conditions. The results show that there is a significant three-zone system in the Chinese business cycle, and the fluctuation of the business cycle is asymmetric. This is reflected not only in the different transition probability of the cycle stage, but also in the different duration of the cycle stage. In the short term, the relationship between the stock price and economic growth in different regions shows different characteristics. However, there is a long-term stability of internal constraints and adjustment of the equilibrium relationship.
【作者單位】： 廈門大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)項(xiàng)目“空間自回歸單指數(shù)模型的理論和實(shí)踐”(13YJA9100002)
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1975743