中国通货膨胀水平与上证综指相关性的实证研究

2008年金融危机后,中国的通货膨胀率节节攀升,整体趋势持续走高.同时,股市也发生了剧烈波动,对我国宏观经济与金融稳定产生了深远的影响.本文选用1995年至2012年的数据对上证指数与通货膨胀率之间的关系进行了研究,综合运用了单位根检验、Granger因果检验、VAR模型来考察两者之间的关系.实证结果表明两者之间存在长期稳定的均衡关系,基于VAR模型的脉冲响应和方差分解表明,通货膨胀率受自身和上证指数的影响都比较大,而上证指数受通货膨胀率的影响有限.

The Empirical Research between the Level of Inflation in China and Shanghai Composite Index

After the 2008 financial crisis,the overall trend of China＇s inflation rate continues to rise.Meanwhile,the stock market also showed dramatic fluctuations,thus giving a profound impact on China＇s macro-economic and financial stability.This paper studies the relationship between the Shanghai index and the inflation rate based on the data from 1995 to 2012,using Unit root test,Granger causality test and VAR model.The empirical results show that there is a long-term stable equilibrium relationship between the two.Impulse response and variance decomposition shows that the inflation rate is affected both by the impact of its own and the Shanghai Composite Index,while the Shanghai Composite Index is limitedly affected by the inflation rate.