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本文从分析上证指数及与股票市场密切相关的国民经济运行变量的时间序列入手,依据现代动态计量学的理论与方法,对我国股市和国民经济运行之间的关系进行了具体的分析,从而建立了一个向量自回归(VAR)模型,并在此基础上得出我国股市与经济运行之间的长期均衡关系和短期变动的向量误差修正(VEC)模型。实证研究的结果表明,目前股市背离国民经济运行只是暂时的现象,在一段较长的时期内,我国的股市发展依然受到国民经济运行状况的制约。
Based on the analysis of the time series of Shanghai Stock Index and the operating variables closely related to the stock market, this paper analyzes the relationship between the stock market and the national economy in China according to the theory and method of modern dynamic metrology, A model of vector autoregression (VAR) is established. Based on this, a long-term equilibrium relationship between the stock market and the economy in our country and a vector error correction (VEC) model for short-term changes are derived. The results of empirical studies show that the current stock market deviates from the national economy is only a temporary phenomenon. For a long period of time, the development of China’s stock market is still constrained by the operation of the national economy.