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利用我国1991～2008年股票市场与居民消费的年度数据,建立股票市场财富效应模型,采用处理非平稳时间序列回归的协整理论,对股票市场对我国城镇居民消费性支出的影响作实证分析,并用误差修正模型得到因变量的短期调整。研究结果表明:随着我国经济增长和居民收入的增加,股票财富对居民消费的影响不断增强。无论从长期还是短期分析,我国股票市场的变动都会给居民消费带来财富效应。
Using the annual data of stock market and household consumption in our country from 1991 to 2008, this paper establishes the wealth effect model of the stock market, and uses the cointegration theory to deal with the non-stationary time series regression to make an empirical analysis of the impact of the stock market on the consumer spending of urban residents in China. And use the error correction model to get the dependent variable short-term adjustment. The results show that with the increase of our country’s economic growth and residents’ income, the influence of stock wealth on the resident consumption is increasing. No matter from the long-term or short-term analysis, the change of the stock market in our country will bring the wealth effect to the resident consumption.