Based On DCC-MGARCH Entity Study On The Relationship Between Real Economy And Financial Stability

The financial system is the subsystem of economic system,and the operation of the financial system has a significant influence on overall economic activity,it is closely related to our vital interests of the individual economy.In the year of 2015,the stock market of our country had experienced a date of up and down,and the financial market fluctuating uneasiness.In the year of 2016,it still happened frequently in financial markets.At the beginning of 2016,the stock market stopped circuit breakers which only putted fusing mechanism into effect for four days,the college students naked borrowing event,and RMB as the currency basket series of financial affairs and so on,these events have not only affected the stability of our financial market,but also spread to the real economy,which affected the solid development of the real economy.On the one hand,It lets us sigh in the ups and downs of stock market and the high speed of the development of the Internet financial,on the other hand,it also lets us ponder the importance of financial markets and the harmonious development of the real economy.With the deepening of the financial deepening,the capital of our country began to be reconfigured throughout the country.And the links between the components of financial markets are tighter,One component of financial markets is upheavals that is likely to spread to other markets,which,in turn,has led to a series of interconnected markets and the real economy is also hard to be an exception.While focusing on the development of individual markets and individual industries,it also needs to from a holistic perspective to study the dynamic relationship between the real economy and the financial market.Therefore,to explore the relationship between financial stability and the real economy,not only can help our country related department to real understand relation between dynamic fluctuation in the real economy and financial stability trend,but also can prevent the happening of the changes between the development of the financial market and the real economy,and effective measures to cope with the situation,has the certain practical research value.Combined with the development of our country,in this paper,we have made a detailed definition of the real economy and the financial stability.On the basis of it,we also analyzed the factors which can impact the relationship of them.To know the dynamic relationship between the mutual influence of both at a deeper level,this paper uses the empirical model analysis approach to the relationship of them.On the empirical research method,the paper also use the continuation of the literature method,such as ADF test,granger causality test and other methods,on the basis of introducing DCC-MGARCH model in analysis of the dynamic characteristics of the two.In the perspective of selecting quotas,this essay selects eleven foundation quotas such as bad lending rate,financial deeping rate,pe-ratio of the stock,the national housing climate index,seven days interbank offered rate,the people's purchasing power,the oscillations of stock index,the amount of national foreign currency,the total value of shares market price divide by GDP,investment in the regular assets rate of rise and the growth rate of loans of financial institutions and so on.Then we use them to structure the financial stability index(FSI)as a last measure,and use it as a key indicator of financial market stability.At the same time,we use the growth rate of industrial added value(IND)to measure the real economic.Secondly,we take the stationarity test and Grainger causality test to the financial stability index(FSI)and the growth rate of industrial added value(IND).The stationarity test shows that the index of financial stability index is stable,but the real economy index is first order stable.The Grainger test results for the two reasons for each other for the Grainger.Then,on the basis of this study,this paper constructs the DCC-MGARCH model for FSI and IND,and uses dynamic correlation coefficient to describe the dynamic relationship between them.Through the empirical analysis results we can know that,the dynamic correlation coefficient of financial stability and the real economy has a strong positive correlation,and with the change of time,the dynamic correlation coefficient changed,namely the dynamic correlation coefficient of them showed a strong time-varying.In this paper,we use the method of DCC-MGARCH model to analysis the dynamic relationship between the real economy and the financial stability.Then we can get the message through the dynamic correlation coefficient that: In the first,in our country,the development of the real economy and the financial markets presents obvious positive correlation or negative correlation,and the relationship between of them has an obvious time varying characteristic.In the second,the negative correlation between of them usually appeared at the end of a year or at the start of a year.Then,based on the above research,this paper analysis the impact of emergency extensibility of the relationship,by studying the emergency event makes the impacts of financial stability and the real economy,we find that the emergency event makes an influence on both of them,only the two markets reflect different degrees of impact.Financial markets are more sensitive when emergencies occur.therefore,according to the empirical results,this paper put some suggests which can promote two markets developed in a harmonious situation,such as the implementation of strengthening macro regulation system,emergency system and the stock market for small and medium sized enterprise financing system and other measures.