中国股市是宏观经济的晴雨表吗?——基于马氏域变模型的研究

本文运用马氏域变向量自回归模型研究我国宏观经济因素变动对股市的影响。宏观因素选取了工业增加值、消费、出口、通胀率、广义货币增速、利率以及人民币兑美元的实际汇率以反映实体经济增长和货币政策变动。本文首先利用马氏域变模型对所选变量不同时期所处状态进行识别，进而分析了各宏观经济变量周期与股市周期之间的关系；在此基础上，对各序列绝对离差建立马氏域变向量自回归模型，并利用其冲击响应函数研究各宏观经济因素波动对我国股市的影响。研究发现，A股收益率和各宏观经济变量变动都具有明显的非线性；在大多数时间里实体经济变动和股市波动保持了较好的协同性，股市周期略领先于实体经济周期；M2的快速增长往往伴随着股市的大幅上涨，但股市大幅上涨阶段并不与M2的快速增长相伴；利率调节对股市周期有显著的负向影响；通货膨胀对股市收益率影响显著；实际汇率变化周期与股市收益率周期相协同。

Is the Stock Market a “Weatherglass” of Macro-Economy in China?——a Study based on Markov Switching Model

The effects of macro-economic factors on stock markets are analyzed using Markov Switching Vector Autoregression model. The factors of output, price and monetary are chosen to reflect economic growth and monetary policy, which include industrial added value, consumption, export, inflation rate, M2, interest rate and real exchange rate of RMB against US dollar. Firstly, the states of factors in different periods are identified by Markov Switching Vector Autoregression to investigate the relation of macro-economic factors and stock price separately. Further, by building Markov Switching Vector Autoregression for absolute difference to get impulsion response function of macro factors fluctuation to stock market, the effects of different macro-economic factors on stock markets are compared. Finally, the conclusion and policy suggestions are got from empirical results.The conclusion demonstrates that the return of China's stock market has obvious nonlinear relationship with the macroeconomic variables,The stock market reflects the overall health of the economy; in most of the time the real economy changes and stock market volatility has maintained good cooperativity, the stock market cycle was slightly ahead of the real economy cycle; the rapid growth of M2 was often accompanied by a sharp rise in the stock market, the frequent changes in monetary policy have a significant effect on the stock market; interest rate adjustment did not have an immediate impact on the stock market cycles, there exists an inverse relationship between interest rates and stock price; greater volatility of stock movements was correlated with higher inflation rate; The periodicity of the real exchange rate changes is consistent with the stock return cycle.