宏观经济变量与股价指数的协整关系分析

An Empirical Study of Cointegration Relationship between Chinese Stock Price Index and Macroeconomic Variables

文章主要运用协整方法研究中国股价指数与国内生产总值、利率和货币供应量等宏观经济变量的长期均衡关系,建立多因素的长期均衡模型,同时分析它们之间存在的因果关系,检验结果表明股价波动与经济增长相背离、股票市场阻碍了货币政策的传导效率。对检验结果出现的原因作了详尽的分析,提出了相关的政策建议。

The cointergration method was employed to do the resrearch on the relationship between the Chinese stock index and macroeconomic variables such as GDP （Gross Domestic Product）, interest rates and money supply. The article not only settles a multi-factor model of those factors but also analyzes the causality of them. From the results, it concludes that the fluctuation of stock price deviates from the growing trend of national economy and that stock market is inefficient in the transmitting system of monetary policy. Finally, the article analyzes the cause of such phenomenon and provides some constructive policy suggestions.