摘要
采用间接度量法,建立TAR模型和AR模型,运用协整理论剔除上证指数中的实际价格,以检验我国上证指数月度收盘均价的泡沫情况。实证结果表明:AR模型可以很好地拟合股价泡沫的演变路径,优于TAR模型。基于实证分析得出结论并且给出促进消费和协调银行体系与股市关系的建议。
This paper aims to test the bubble of the monthly closing price of the Shanghai Composite Index with co-integration theory by using the indirect measurement method and building the TAR model and AR model. The empirical result show that AR model can well fit the evolution path of stock price bubble,and it is better than TAR model. Based on the empirical analysis,we make the conclusion and put forward suggestions for promoting consumption and coordinating the relationship between the banking system and the stock market.
出处
《重庆理工大学学报（社会科学）》
CAS
2016年第10期60-66,共7页
Journal of Chongqing University of Technology（Social Science）
关键词
间接度量法
协整理论
TAR模型
AR模型
indirect measurement method
co-integration theory
TAR model
AR model
