| 基于VAR的央行对股票市场影响力分析 |
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| 引用本文： | 徐为民.基于VAR的央行对股票市场影响力分析[J].统计与信息论坛,2006,21(3):107-111. |
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| 作者姓名： | 徐为民 |
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| 作者单位： | 天津财经大学,金融系,天津,300222 |
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| 摘 要： | 文章利用协整和向量自回归工具,通过单位根检验、因果关系检验、协整检验和脉冲分析,从更宽广的视角来分析央行对股票市场的影响力。
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| 关 键 词： | 中央银行 股票市场 向量自回归 |
| 文章编号： | 1007-3116(2006)03-0107-05 |
| 修稿时间： | 2005年12月31 |
An Influence Analysis of Central Bank to Stock Market Based on VAR |
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| XU Wei-min.An Influence Analysis of Central Bank to Stock Market Based on VAR[J].Statistics & Information Tribune,2006,21(3):107-111. |
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| Authors: | XU Wei-min |
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| Abstract: | The stock market and the Central Bank has subtle relations.This article uses the tools of co-(integration) and vectorial autoregressive model,by means of the unit root test,Granger causality tests,the co-(integration) test and the impulse analysis to analyzes the influence of the Central Bank on the stock market from a broader angle of view.The conclusion is that the central bank may have impact on the stock market. |
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| Keywords: | the Central Bank stock market VAR |
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