| In recent years,with the deepening of China's financial reform and the improvement of financial openness,the development of China's capital market has made great progress.This aspect is reflected in the continuous expansion of the capital market in China,the capital market operating fundamentals continue to consolidate;the other is reflected in China's capital market financing capacity gradually strengthened,the financing channels gradually diversified.However,there are various unstable factors in the process of capital market development.The existence of this unstable factor leads to the fluctuation of the capital market,which has an impact on China's macro economy.In the process of capital market operation,the capital market fluctuations in a certain phenomenon,this phenomenon can not be avoided,which includes both the size of the capital market and capacity fluctuations,including the overall volatility in the capital market.Since the second half of 2014,China's capital market in the short term showing a violent fluctuations in the phenomenon.In the course of violent volatility,especially during the crash period,the topic of the impact of capital market volatility on the macro economy has caused widespread controversy.Whether the excessive prosperity of the capital market is a good phenomenon,the value of the prosperity of the capital market on the value of economic development and the collapse of the capital market price will have a negative impact on the economy as a practical and theoretical discussion of the topic.Because the fluctuation of capital market price can reflect the economic information of capital market,and the fluctuation of capital market price can be reflected by price index.Therefore,this paper chooses the various indexes of capital market,The Impact of Capital Market Fluctuation on Macroeconomics.The main contents of this paper include two aspects.On the one hand,this paper uses the state space model to extract the common factors of the four indicators representing the volatility of the capital market.We find that the common factors and the four volatility measures are similar in dynamic and the results of our estimation of the state space model.The common factor obtained is reasonable.On the other hand,we compare the common factor and the timing diagram of the macroeconomic variables.The results show that the CPI is in the same direction when the CPI is larger and the opposite is the opposite of the CPI,Said there is a corresponding partition between the situation,but not obvious.Which is not representative of the relationship between capital market volatility and macroeconomic changes may exist a certain threshold,there is a lack of single-equation estimation,so this paper establishes a nonlinear threshold vector autoregressive model for common factor and macroeconomic variables for unit root test,Threshold test and empirical analysis.The main conclusions of this paper are as follows:First,the CPI as the threshold:In the larger CPI range,the common factor on the CPI has a positive impact on the industrial added value has a negative impact in the smaller CPI range is not significant,whether in the CPI is larger or smaller range,CPI and industrial added value on the common factor of the impact are not significant.Second,the industrial added value as the threshold:in the industrial added value of the smaller interval,the common factor on the industrial added value has a negative impact on the larger industrial added value in the interval is not significant,both in the industrial increase The positive factors have a positive effect on CPI,and the effect of CPI and industrial added value on common factors is not significant in both industrial added value and smaller range.Thirdly,the common factor as the threshold:the common factor has a positive effect on the CPI and has a negative effect on the industrial added value.The difference is that the common factor has a negative impact on the CPI Larger,in the smaller common factor range;the common factor on the impact of industrial added value will be greater.The effects of CPI and industrial added value on common factors were not significant in any range.capital market volatility,macroeconomic,state space model,TVAR model. |
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