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A Study Of The Markov Switching Relationship Between Stock Market And Macroeconomic In China

Posted on:2010-06-30Degree:MasterType:Thesis
Country:ChinaCandidate:X B KouFull Text:PDF
GTID:2189360275490236Subject:Investment science
Abstract/Summary:PDF Full Text Request
Stock market is a"barometer",which reflects macroeconomic circumstances. And the macroeconomic development is the basis of the stock market.In the course of the development of stock market,economists always are interested in the relationship between stock market and macroeconomic.But it is difficult to achieve a consensus.Because of the relationship between stock market and macroeconomic can't be constant,the focus of this paper is that study dynamic relationship between stock market and macroeconomic variables,using a modern econometric model.We also study the circumstances under which they are signally affected by each other.In order to propose reference views for making policy and macro-contrl.This article first introduces the current research on the relationship between stock market and macroeconomic inside and outside in the literature summary. Chapter two is the theory analysis the relationship between stock market and economic growth and inflation.Chapter three introduces the model.First of all, introduces the traditional VAR model,following MS-VAR model including univariate MS-VAR and bivariate MS-VAR model.Chapter four,the first part introduces the selecting of indicator of this paper and description characteristic of those indicators.The second part mainly shows the empirical study result.Empirical results show there is some difference in the traditional VAR model and MS-VAR model.We use model selection criteria and find that MS model simulation of the relationship between stock market and macroeconomic is more accurate.Bivariate MS-VAR model takes into account the interaction among variables.Thus,it is more accurate than univariate MS model.Comparing the final conclusions of this paper, we find that the relationship between stock market and economic growth is depend on the level of development of stock market,while the relationship between the stock market and inflation is depend on the inflation.Finally,based on previous analysis of this article,we make some suggestions in order to maximize the function of the stock market for the stability and development of macroeconomic.The main contribution of this paper is not only the use of MS-VAR to study the dynamic relationship of stock market and macroeconomic,but also analysis the economic background which stock market and macro-economic relationship base on. So understand the relationship more accuratly of stock market and macroeconomic.
Keywords/Search Tags:Vector Autoregression, Stock Market, Macroeconomic
PDF Full Text Request
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