股价指数、消费、利率之间的联动性分析

An Analysis of the Linkage of Stock-Price Index,Consumption,and Interest Rates

消费、利率、证券市场作为一国经济的重要因素 ,三者间的联动性对于经济管理宏观调控是至关重要的。通过消费资本资产定价模型 (CCAPM) ,对我国消费、无风险利率、股份指数之间的线性关系做实证分析 ,分析结果表明 ,上证、深证股份指数收益率与消费增长率间存在着此消彼长的负相关关系 ,即我国证券市场参与者多是风险的爱好者 ,参与行为多以投机为主。而无风险利率与消费间的关联度不够明显 ,这一方面表明在我国利率尚未市场化的情况下 ,利率的变动与消费脱节 ;另一方面表明我国居民消费存在惯性影响 ,消费效用函数在时间上是不独立的。

The linkage of consumption level, interest rate, and security market is of critical importance to an economy's macroeconomic management. Making us the model of consumptive capital asset pricing, this article presents an empirical analysis on the linear relation between the general consumption level, risk free interest rates, and stock price indexes. The study show that the yield of Shanghai stock index and Shenzhen stock index are negatively related to the increase of consumption level, which implies that the participants in the security markets in our country are mostly risk takers whose participation is mainly for speculation. The study does not bring forth a firm linkage between risk free interest rates and consumption. This shows that the movement of interest rates does not have an impact on consumption, as it has not been subjected to the market forces. It also shows that there exists an inertia in the consumption behavior of the residents and that the consumption function is not independent in terms of time.