The Research Of Relationship Between Bank Credit And Stock Market Prices On The Foundation Of VAR Model

With the expansion of the scale of capital market in China, community residentsand enterprises tend to be more robust demand for financing, represented by stockmarket slump in asset prices is the main characteristics of economic operation. The ussubprime financial crisis the world economy instability, together with other countriesand regions experienced many different degree of economic instability since the20thcentury. A variety of economic phenomena have been accompanied by asset pricefluctuations and changes in bank credit. so discuss the intrinsic mechanism of action ofcrises, international scholars have carried out extensive research to find some effectivemeasures to prevent and respond to the financial crisis. The establishment of the capitalmarket in China started later than other countries, and there are more uncertain factors,At the same time because of the rapid development of the stock market, which leads tothe stock proportion in the residents’ asset structure improved quickly; Naturally,investors are becoming more and more widespread attention of fluctuations in stockprice volatility and be care of the related internal causes. Therefore, the study ofrelationship between asset prices and macroeconomic factors, especially for relationshipbetween the direct financing market represented by stock and indirect financing marketpriority to bank has theoretical and practical significance.Therefore, the article started in this point, by using econometric models of vectorauto regression model to inspect the monthly data from January2009to March2012.Toresearch the correlation between Chinese stock market price fluctuation and the changeof bank credit scale since the post financial crisis. First, from macroscopic to elaboratethe influence mechanism of monetary policy and stock market in China, Secondlythrough financial intermediaries and the behavioral finance methods to analysis thecorrelation of our country’s bank credit scale and theoretical stock market prices. On thebasis of comprehensive review VAR model, the article used Stationarity andcointegration test,granger and causality analysis, impulse response function andvariance decomposition for the empirical analysis.Tests results show that after the financial crisis era, Chinese stock market and bankcredit correlation degree is low, long-term stable equilibrium relationship and theirforecast effect is not obvious. However, there is a positive correlation relationshipbetween stock prices and consumer price index, and the economic barometer of China’s stock performance is not perfect. In view of the theoretical and empirical results aresuggestions put forward that our country’s stock market, commercial banks and otherinstitutions should strengthen the regulation and policy system of execution, correcthandling of credit funds into the stock market, expansion of the stock market andmonetary market and the ongoing financial innovation policy. So we hope China’sfinancial market develop stably, healthily and sustainable.