摘要
股市的发展和一国的经济增长和居民储蓄存款有着密切的关系,然而三者之间的影响关系如何。本文通过计量经济学中VAR模型以及脉冲响应函数,对它们之间的关系进行测量,得到三者之间存在长期均衡关系:就长期而言,对经济增长和居民储蓄的一个冲击对股票交易量的变化有明显的影响;股票交易量80%的增长依靠于经济增长和居民储蓄,而股市自身的发展对股票交易量的影响只占到20%左右。
The development of stock market has a close relationship with economic growth and residents saving, but what is the relationship among them. In this paper, VAR model and impulse response function are applied to measure the interactive relationship. It finds that they have long term equilibrium relationships： In long term, the impact of economic growth and residents saving have significant effect; 80% stock trading volume growth rely on economic growth and residents savings, but the development of stock market trading volume itself accounts for only 20%.
出处
《统计教育》
2009年第1期14-17,共4页
Statistical education
关键词
股市交易量
VAR模型
脉冲响应函数
方差分解
Stock trading volume
VAR model
impulse response function
variance decomposition
