宏观经济因素影响证券市场波动的联立方程模型研究

Macro-Economy’s Effect on Volatility of Securities Market: A Simultaneous Equations Model

证券市场是宏观经济的"晴雨表",股票市场与宏观经济的关系一直是研究的热点问题。本文通过分析我国证券市场的发展情况,以及股价指数与主要经济变量之间的关系,建立了宏观经济变量与证券市场波动的联立方程模型,并利用1992年1月到2007年12月的月度数据进行了实证分析。

Securities market is macro-economy＇s ＂barometer＂, and relationship between stock market and y has always been a topic of great interest. After an analysis of growth of securities market in China, and the relationship between share price indexes and main economic variables, a simultaneous equations model of macro-economy variables and volatility of securities market is set up, and analysis on monthly data from January, 1992 to November, 2007 is conducted.