本文選題：股債聯(lián)動(dòng)關(guān)系　切入點(diǎn)：向量自回歸　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場(chǎng)和債券市場(chǎng)作為實(shí)體經(jīng)濟(jì)直接融資方式下的主要資金來(lái)源渠道，同時(shí)也或直接或間接的反映著我國(guó)經(jīng)濟(jì)運(yùn)行情況ǐ隨著實(shí)體經(jīng)濟(jì)金融市場(chǎng)不斷發(fā)展與開(kāi)放，研究股票和債券這兩個(gè)子市場(chǎng)之間的內(nèi)在關(guān)系，了解其中相互作用的傳導(dǎo)機(jī)制，一方面可以為宏觀經(jīng)濟(jì)發(fā)展提供政策建議，更好的發(fā)揮金融市場(chǎng)服務(wù)實(shí)體經(jīng)濟(jì)；另一方面可以及時(shí)控制金融風(fēng)險(xiǎn)的波及范圍，保證國(guó)民經(jīng)濟(jì)的健康發(fā)展，緩沖風(fēng)險(xiǎn)ǐ此外，也可以為投資者資產(chǎn)配置提供投資建議ǐ 其他學(xué)者對(duì)于證券市場(chǎng)的兩個(gè)子市場(chǎng)股票市場(chǎng)和債券市場(chǎng)間的聯(lián)動(dòng)關(guān)系的研究結(jié)果表明我國(guó)證券市場(chǎng)的溢出效應(yīng)明顯，在本文中，作者將進(jìn)一步深入定量研究?jī)墒兄g的作用機(jī)理，傳導(dǎo)途徑，形成沖擊的方向與力度，影響范圍表現(xiàn)以及滯后期等ǐ 文章首先在進(jìn)行理論分析的基礎(chǔ)上，，確定宏觀經(jīng)濟(jì)變量作為傳導(dǎo)途徑，選取通貨膨脹率利率匯率貨幣供應(yīng)量建立VAR模型，通過(guò)Granger因果關(guān)系檢驗(yàn)方差分解脈沖響應(yīng)函數(shù)誤差修正模型等定量測(cè)定股債輪動(dòng)現(xiàn)象，通過(guò)用最小二乘方法（OLS）和貝葉斯方法（BVAR）來(lái)進(jìn)行模型估計(jì)，利用先驗(yàn)信息得到了更好的擬合效果ǐ分析得出結(jié)果，并提出了強(qiáng)化證券市場(chǎng)的價(jià)格發(fā)現(xiàn)機(jī)制調(diào)整證券市場(chǎng)結(jié)構(gòu)等政策建議ǐ
[Abstract]:The stock market and bond market as the main source of funds under the direct financing mode of the real economy, also directly or indirectly reflect the economic operation of our country with the development and opening of the real economy financial market. The study of the relationship between the two sub-markets, stocks and bonds, and understanding of the transmission mechanism of the interaction between them, on the one hand, can provide policy advice for macroeconomic development and better play the role of financial markets in serving the real economy; On the other hand, it can control the scope of financial risk in time, ensure the healthy development of national economy, and buffer the risk. In addition, it can also provide investment advice for investors in asset allocation. The results of other scholars' studies on the linkage between the two sub-markets of the securities market and the bond market show that the spillover effect of the securities market in China is obvious. In this paper, The author will further and quantitatively study the mechanism of action between the two cities, the transmission pathway, the direction and intensity of the impact, the scope of influence and the lag. Firstly, on the basis of theoretical analysis, this paper determines the macroeconomic variables as the transmission path, selects the inflation rate, interest rate, exchange rate and money supply to establish the VAR model. By using Granger causality test, variance decomposition impulse response function error correction model and other quantitative measurement of stock debt rotation phenomenon, the least square method and Bayesian method are used to estimate the model. A better fitting effect is obtained by using the prior information, and some policy suggestions such as strengthening the price discovery mechanism of the securities market and adjusting the structure of the securities market are put forward.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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