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本文对2003年2月至11月间我国月度股票收益率与消费者价格指数(CPI)、工业品出厂价格指数(PPI)之间的价格传导关系运用计量经济学方法进行了研究。研究成果:1、股票月度收益率与CPI和PPI之间存在协整关系。2、股票月度收益率与PPI呈反向变动关系;与CPI呈同向变动关系。3、向量自回归分析结果显示:滞后1期的股票收益率对CPI在统计上有影响,滞后2期的股票收益率对PPI在不同统计水平上也有显著影响。滞后1、2期的PPI对股票收益率在不同统计水平上也有影响。Granger因果关系检验进一步支持了向量自回归分析的结果。
In this paper, the econometric method was used to study the price conduction between monthly stock returns and consumer price index (CPI) and industrial producer price index (PPI) between February and November 2003. Research results: 1, the monthly stock returns and CPI and PPI cointegration relationship exists. 2, the monthly return of stock and PPI showed a reverse relationship between changes; and CPI showed the same change. The result of vector autoregressive regression analysis shows that the stock return in lag period 1 has a statistically significant impact on CPI, and the lagged stock return in period 2 also has a significant impact on PPI at different statistical levels. The lagged 1,2-period PPI also has an impact on stock returns at different statistical levels. Granger causality test further supports the results of vector regression analysis.