基于扩展VAR模型的中国货币市场与资本市场联结机理研究

Analysis on the Coupling Mechanism between China's Money Market and Capital Market Based on LA-VAR Model

以往关于中国货币市场与资本市场联结机理的研究,大多采取协整检验分析的单一方法,从同业拆借市场与债券市场或同业拆借市场与股票市场的相互关系中分析验证货币市场与资本市场的联结机理。本文则尝试从理论分析入手,运用扩展的VAR模型、广义脉冲响应函数等综合性计量手段对中国银行间回购市场和股票市场的有关数据进行动态分析,研究货币市场和股票市场联结机理。研究发现,我国货币市场和股票市场尚未建立起紧密联系的联结机理。在短期内,货币市场利率的下降(上升)会使证券价格上升(下降),并且存在股票价格指数上升伴随回购市场利率上升的联动关系;不过回购利率和股票价格指数之间的因果关系却不显著。

In the past, the analysis is on the coupling mechanism between China＇ s money market and capital market, which always uses single method of cointegration test, carries the research from the interactive rela- tionship between inter - bank borrowing market and bond market or the interactive relationship between inter- bank borrowing market and stock market. But this paper starts on the theoretical analysis, uses comprehensive econometrical tools like LA- VAR model, generalizes impulse response function, etc, to dynamically analyze the relevant data of repurchase market and stock market, to analyze the coupling mechanism between China＇s mon- ey market and capital market. We find that the fairly relevant coupling mechanism between money market and stock market hasn＇t been founded. During a short period, the rise of repurchase rate represses the rise of stock price, and there exists the linkage relationship that stock price＇s rise is closely related to repurchase fate＇s rise. However, the causal relationship between repurchase rate and stock index seems statistically nonsignificant. Our conclusions above will be helpful to understand the coupling mechanism between money market and stock market.