基于SVAR模型的中国股票市场财富效应实证分析

通过构建结构化的向量自回归模型(SVAR)对我国股市的财富效应进行实证分析,得出我国股票收益与人均消费支出存在长期稳定关系。运用脉冲响应函数和方差分解等方法,分析在样本期内股票指数变化对消费水平的影响效应大小,实证结果显示我国股票市场财富效应存在一定缺失,对提振消费从而拉动经济增长的作用不明显,收入水平作为衡量居民拥有财富的直接变量对促进消费有明显作用,反映我国股票市场发展还不完善,制约了股票市场财富效应的发挥。

This article got cointegration analysis on the wealth effect of China’ s stock market by building Structured Vector Au-to-Regression model ( SVAR) , and obtained that there had the long-term stable relationship existed in China’ s stock price returns with per capita consumption expenditure.Then the paper use Impulse Response Function and the method of Variance Decomposition for making the analysis of the changes from the stock price index when met the consumption level the influential effect size.The result of empirical analysis showed that there had some certain deficiency which consisted in the stock market wealth effect on our country, the promoting function getting through boosting consumption for economic growth was less obvi-ous.As a straightforward variable that the wealth residents have ,income level played a significant role in promoting the con-sumption.This also reflected the imperfect development of China’ s stock market which restricted the wealth effect producing the best possible results.