积极财政政策效应和股价关联性分析——基于SVAR模型的实证研究

An Analysis of the Effect of Active Fiscal Policy and the Relevance of Stock Price——Empirical Study based on SVAR Model

财政政策是政府实施宏观经济调控的主要手段之一,其效应研究亦为当前学者们关注的重点内容。本文选取2013年1月至2018年12月的月度数据,构建施加短期约束的结构式向量自回归(SVAR)模型,深入研究中国积极财政政策对股票价格波动的影响。研究结果表明:在积极的财政政策背景之下,短期内一方面扩大财政支出规模、增加财政赤字,有可能导致赤字货币化效应,引起物价水平波动,带动产品价格上升、公司利润增加,股价相应上升;另一方面物价水平持续上涨,影响投资者的心理和预期,致使股价下跌。因此,政府支出规模和通货膨胀率均与股票价格波动有着显著的关联性;经济增长和货币政策可以为各类市场主体创造良好的发展环境,但对股票价格的影响不显著;股票市场运行有其自身运动规律,自身冲击影响是股价波动的主要原因。

Fiscal policy is one of the main means for the government to implement macroeconomic regulation and control,and its effect research is also the focus of current scholars.Based on the monthly data from January 2013 to December 2018,a structural vector autoregressive(SVAR)model is constructed in the paper with short-term constraints to study the impact of China's active fiscal policy on stock price volatility.The results show that under the background of active fiscal policy,on the one hand,expanding the scale of fiscal expenditure and increasing the fiscal deficit in the short term may lead to the monetization effect of deficit,cause price fluctuation,drive up the price of products,increase the profits of companies,and increase the stock price accordingly;on the other hand,the price level continues to rise,which affects the psychology and expectations of investors and leads to stock price fluctuation.As a result,the scale of government expenditure and inflation rate are significantly related to stock price fluctuation;economic growth and monetary policy can create a good environment for the development of various market players,but the impact on stock price is not significant;the stock market has its own movement rules,and the impact of its own shocks is the main reason for stock price fluctuation.