中国城镇居民消费水平和股票市场收益关系的研究--基于VAR模型的实证分析

Research on the Relationship Between Household Consumption Level and Return of Stock Market:Empirical Analysis Based on VAR Model

本文以我国1992-2020年的相关数据为研究样本,建立城镇居民消费水平、消费信心、消费能力、股票市场收益率之间的VAR模型,分析我国城镇居民消费水平和股票市场收益关系。结果显示:我国的城镇居民消费水平将会在一定程度上影响我国的股票市场的收益,其中我国城镇居民人均收入和支出都会对上证综指产生正向影响,失业人数增长水平会对股票市场的收益产生负向影响,并且失业率对于股票市场的影响相对更大。针对我国股票市场发展的现状,提出提升居民消费信心、增加居民消费意愿和改善我国股票市场资金结构三大政策建议。

Taking the relevant data from 1992 to 2020 of samples,this paper uses Eviews software to establish VAR model based on urban residents'consumption level,consumer confidence,consumption power and stock market return rate.Using this model to analyzes the relationship between urban residents'consumption level and stock market return rate.The result shows that the consumption level of urban residents in China will affect the return of China's stock market on some respect.Among the explanatory variables,the per capita income and expenditure of urban residents in China will have a positive impact on the Shanghai Composite Index,and the growth level of unemployment will have a negative impact on the return of the stock market.Moreover the unemployment rate has a greater impact on the stock market.In view of the present situation of stock market development in China,this paper puts forward three policy suggestions which are improving residents'consumption confidence,consumption level and capital structure of stock market in China.