运用VAR模型分析宏观经济变量与上证综合指数的关系

宏观经济变量是股票价格变动的重要因素之一。运用VAR模型，采用方差分解和格兰杰因果检验的方法，选取宏观经济变量中的狭义货币供应量（M1）、固定资产投资完成额（FIX）、社会消费品零售总额（CONS）以及上证综合指数（SZZZ）等分析发现：FIX与CONS对SZZZ的波动有比较显著的影响，而M1对SZZZ的波动影响不明显。同时M1与FIX和CONS之间也不存在明显的因果关系。但是从协整检验结果来看，FIX、CONS、M1与SZZZ之间存在着长期的均衡关系。

An Analysis of the Relationship Between Macro-economy Variables and Shanghai Composite Indices with VAR Model

Macro-economy variables are important indicators of changes in stock prices. The paper chooses the data of M1, the amount of finished fixed asset investments （FIX）, the amount of retail consumables （CONS） and daily Shanghai Composite Indices （SZZZ）, and uses the VAR model and methods of variance decomposition and Granger test, to explore the relationship between the changes of macro economic variables in China and the Shanghai Composite Indices. The paper points out that the FIX and CONS has significant influence on SZZZ, while the changes of M1 have little impact on SZZZ. Besides, there is not distinct causal relationship between M1 and FIX or M1 and CONS. But based on the result of cointegration test, there is long-term equilibrium relationship among these four variables.