Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
文献类型：期刊论文
| 作者 | Sumuya, Borjigin1,2; Yang, Yating1; Yang, Xiaoguang2 ; Sun, Leilei3
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| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
 |
| 出版日期 | 2018-03-01 |
| 卷号 | 493页码:107-115 |
| 关键词 | Stock prices Macroeconomy Relation |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2017.10.033 |
| 英文摘要 | Many researchers have realized that there is a strong correlation between stock prices and macroeconomy. In order to make this relationship clear, a lot of studies have been done. However, the causal relationship between stock prices and macroeconomy has still not been well explained. A key point is that, most of the existing research adopts linear and stable models to investigate the correlation of stock prices and macroeconomy, while the real causality of that may be nonlinear and dynamic. To fill this research gap, we investigate the nonlinear and dynamic causal relationships between stock prices and macroeconomy. Based on the case of China's stock prices and acroeconomy measures from January 1992 to March 2017, we compare the linear Granger causality test models with nonlinear ones. Results demonstrate that the nonlinear dynamic Granger causality is much stronger than linear Granger causality. From the perspective of nonlinear dynamic Granger causality, China's stock prices can be viewed as "national economic barometer". On the one hand, this study will encourage researchers to take nonlinearity and dynamics into account when they investigate the correlation of stock prices and macroeconomy; on the other hand, our research can guide regulators and investors to make better decisions. (C) 2017 The Authors. Published by Elsevier B.V. |
| 资助项目 | National Natural Science Foundation of China[61463039] ; China Postdoctoral Science Foundation[2015M581192] ; Natural Science Foundation of Inner Mongolia[2014BS0706] |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000423892800009 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29403]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Sumuya, Borjigin |
| 作者单位 | 1.Inner Mongolia Univ, Sch Econ & Management, Hohhot 010021, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sumuya, Borjigin,Yang, Yating,Yang, Xiaoguang,et al. Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2018,493:107-115. |
| APA | Sumuya, Borjigin,Yang, Yating,Yang, Xiaoguang,&Sun, Leilei.(2018).Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,493,107-115. |
| MLA | Sumuya, Borjigin,et al."Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 493(2018):107-115. |
入库方式： OAI收割
来源：数学与系统科学研究院
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