中国股市与经济增长:基于MS-VECM的研究

Stock Market and Economic Growth in China: A Study Based on MS-VECM

一国的股市能够灵敏地反映该国经济发展的周期变化和运行状态。为了考察中国股市与经济增长之间的短期波动模式和长期均衡关系,基于1992年以来上证指数和中国实际GDP的季度数据,使用Markov区制转换向量误差修正模型(MS-VECM),可对不同状态和区制条件下股价波动与经济增长率之间的相关关系进行度量和检验。研究表明,中国经济周期中存在显著的三区制性质,经济周期波动存在非对称性。这既体现为周期阶段的转换概率不同,也体现为周期阶段的持续期不同;短期内不同区制的股价与经济增长关系呈现出不同特征,但存在长期稳定的内在制约与调整的均衡关系。

A country's stock market can sensitively reflect the periodic changes and the status of the country's economic development. In order to investigate the short-term fluctuation patterns and the long-term equilibrium relationships between stock market and economic growth in China,we use the vector error corrected model with Markov regime switching( MS-VECM) to measure and test the relationships between economic growth and stock market in different regimes and stages of business cycles based on the stock market index and real GDP quarterly data since 1992. The results show that the economic growth circle in China can obviously be divided into three regimes and that there exists asymmetry in China's business cycles. This is reflected by the transition probability differences of economic circles as well as the duration differences of economic regimes; there are different characteristics between stock prices and economic growths for different regimes in the short term but there exists a long-term internal stabilizing mechanism as well as an equilibrium relationship of coordination and changes.