| 股票价格与实际利率之间长期协整与短期影响关系的实证检验 |
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| 引用本文： | 刘金全,崔畅,邵欣炜.股票价格与实际利率之间长期协整与短期影响关系的实证检验[J].预测,2002,21(5):42-45. |
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| 作者姓名： | 刘金全 崔畅 邵欣炜 |
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| 作者单位： | 吉林大学 数量经济研究中心，吉林 长春 130012 |
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| 基金项目： | 国家自然科学基金资助项目 (7990 0 0 2 5 )，教育部重大资助项目 (2 0 0 0ZDXM790 0 0 9) |
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| 摘 要： | 为了判断股票市场与债券市场之间的相互关联，我们使用协整模型和误差修正模型分析我国股票价格和实际利率之间的相互联系，发现我国的股票价格和实际利率之间不仅存在共同的长期趋势，并且具有短期的共同波动模式，因此在储蓄投资与股票投资之间具有一定的替代性和流动性。
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| 关 键 词： | 影响 股票指数 实际利率 协整检验 误差修正模型 |
| 文章编号： | 1003-5192(2002)05-0042-04 |
The Empirical Analysis of Long-run and Short-run linkages between China's Stock Price and Real Interest Rate |
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| LIU Jin-quan,CUI Chang,SHAO Xin-wei.The Empirical Analysis of Long-run and Short-run linkages between China''''s Stock Price and Real Interest Rate[J].Forecasting,2002,21(5):42-45. |
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| Authors: | LIU Jin-quan CUI Chang SHAO Xin-wei |
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| Abstract: | The paper investigates the nature of the relationship between stock prices and real interest rates, by using the co-integration testing and error correction model. By exploring the data from the China's economy, we get the evidences that suggest in general case, stock prices and real interest rates exhibit a long-run common trend and also follow a short-run cyclical pattern. |
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| Keywords: | stock index real interest rate co-integration test error correction model |
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