VAR案例分析報告

VAR模型的應(yīng)用舉例案例分析的目的股市對居民儲蓄存款存在分流的作用。一般來說，若股市出現(xiàn)牛市，資金會從存款性金融機構(gòu)流向股市，居民儲蓄存款下降或者增速會減緩。從當前我國經(jīng)濟發(fā)展趨勢來看，居民儲蓄存款與股市交易額均呈上升趨勢。那么兩者是否存在相互影響呢？本案例將分析居民儲蓄與股市之間的這種聯(lián)動效應(yīng)。實驗數(shù)據(jù)本實驗選取從 1996年到2008年4月的月度數(shù)據(jù)。整理如下。表1 股市交易額與居民存款余額 單位：億元滬深股市居民儲蓄滬深股市交居民儲蓄存日期日期易總額款余額交易總額存款余額1996.1143.493230356.542002.43114.39279728.21996.263.9416432026.252002.51924.59480394.31996.3217.75633296.482002.64303.07681711.791996.4873.422134018.532002.73227.30582527.91996.51163.7434622.12002.81946.36683275.971996.61812.86235457.912002.91460.39184139.051996.7 2718.62 36048.67 2002.10 1181.989 84725.131996.81685.59136705.82002.111908.61785693.491996.91862.16437085.172002.121781.22886910.651996.104012.437671.422003.13060.93390677.631996.113818.9737917.262003.21666.80292824.211996.124238.9238520.82003.32120.63794567.841997.11829.17939038.182003.45848.29795194.121997.21493.92540869.122003.53209.4596351.671997.34263.841580.972003.62557.1597674.571997.45127.9242112.162003.72351.91798590.91997.54640.9642295.162003.81519.42799255.581997.63080.9542771.162003.91661.203100888.61997.72415.7343312.52003.101615.799101381.91997.81858.37843914.922003.112824.502102235.41997.91625.71344139.452003.124359.423103617.71997.102081.67344720.332004.13649.76109232.71997.111586.9545068.432004.27215.755110646.41997.121570.19546279.82004.35792.181111872.21998.11716.977464832004.45270.107112175.41998.21171.90648537.542004.51823.421112610.21998.31703.31248686.482004.62627.057113792.51998.43624.4448984.62004.72548.009114253.21998.53322.3497002004.81880.649114489.61998.62593.349949.892004.93978.274115458.71998.71761.80550749.822004.102893.0651160011998.81497.88250900.912004.113045.002117617.91998.92149.00851580.742004.122094.784119555.41998.101861.7952247.772005.11754.347122237.31998.112194.2452952.322005.22021.07127823.41998.121040.05853407.52005.33047.432129259.41999.11138.81954293.672005.43036.061129816.81999.2334.019656767.452005.51497.376130577.41999.31757.27757814.652005.63177.354132339.11999.42063.44558369.072005.72243.73133656.41999.52719.5958967.842005.84776.3331345051999.69562.5959173.482005.94132.053136316.31999.75538.0259147.552005.102097.632136827.11999.83665.4759187.262005.112301.058138504.31999.92705.1259364.312005.122350.0861410511999.101250.08759269.92006.13635.936148008.41999.111558.04959185.382006.23726.141151179.61999.121482.01359621.82006.34074.6251528192000.14443.45860241.82006.47308.7261534012000.26621.81962270.32006.510926.12153523.42000.38877.35562492.292006.69159.456154996.92000.45960.92662536.122006.78197.536155131.92000.54298.7162195.392006.85526.955156282.12000.66251.17762842.382006.96705.497158108.92000.75436.68662841.52006.106793.858158033.42000.86650.38762861.112006.1110586.65159716.72000.93167.35963243.272006.1215861.8161587.32000.102706.93163122.342007.126191.65161968.62000.115235.81863492.062007.217845.01171042.62000.123985.7964332.382007.332526.3172607.72001.13161.01666547.312007.449865.94170932.72001.22055.59167343.362007.559864.231680402001.35368.46568365.132007.655444.85169651.62001.45845.64668618.462007.733764.63169567.22001.54752.868393.542007.855638.96169171.52001.65190.08669628.582007.947008.27169038.12001.73344.07469677.772007.1035870.9163957.62001.82677.71170558.482007.1125750.72166561.12001.102147.89271818.812007.1229632.95172616.12001.122193.07173762.432008.147340.36174347.92002.1 2072.056 74953.71 2008.2 21457.51 183960.22002.2 1341.433 78114.33 2008.3 29058.96 187414.92002.3 4917.915 78728.3 2008.4 27832.14 188389.14.3VAR 模型的構(gòu)建 數(shù)據(jù)平穩(wěn)性檢驗考慮到本例中的數(shù)據(jù)是宏觀經(jīng)濟月度數(shù)據(jù)，先消除季節(jié)性特征后再進行分析。另外數(shù)據(jù)變動趨勢過大，本例還對數(shù)據(jù)進行了對數(shù)平滑處理。下圖是兩個變量經(jīng)過季節(jié)性調(diào)整并取對數(shù)后的新序列，其中 lsa表示居民儲蓄額， ltr表示股市交易總額。在主窗口命令行中輸入：genrlsa=log(savingsa)genrltr=log(tradingsa)141210864296 97 98 99 00 01 02 03 04 05 06 07LSD LTA圖1 居民儲蓄額與股市交易額對數(shù)值的對比圖根據(jù)圖形特征選取同時存在截距項和趨勢項進行單位根檢驗。分別在 lsa和ltr窗口中點擊view/unitroottest ?/。Lsa單位根檢驗的結(jié)果：NullHypothesis:LSAhasaunitrootExogenous:Constant,LinearTrendLagLength:0(AutomaticbasedonSIC,MAXLAG=13)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-3.2957650.0711Testcriticalvalues:1%level-4.0225865%level-3.44111110%level-3.145082*MacKinnon(1996)one-sidedp-values.Ltr單位根檢驗的結(jié)果：NullHypothesis:LTRhasaunitrootExogenous:Constant,LinearTrendLagLengt