CAJ | 학술논문

通过因子分析从诸宏观经济变量中提取了金融政策因子和宏观经济状态因子,建立了基于VAR的股价波动、金融政策和宏观经济三变量回归模型。研究表明：金融政策影响股价的表现,而宏观经济状态对股价、股价对金融政策和宏观经济状态的影响均不显著;基于标准差的VAR（5）模型相对于基于收益率的VAR（3）模型能更好地刻画股市波动与金融政策、宏观经济三者之间的关系。
통과인자분석종제굉관경제변량중제취료금융정책인자화굉관경제상태인자,건립료기우VAR적고개파동、금융정책화굉관경제삼변량회귀모형。연구표명：금융정책영향고개적표현,이굉관경제상태대고개、고개대금융정책화굉관경제상태적영향균불현저;기우표준차적VAR（5）모형상대우기우수익솔적VAR（3）모형능경호지각화고시파동여금융정책、굉관경제삼자지간적관계。
The paper sets up the regression model of the stock fluctuation,financial policy and macroeconomy on the basis of the VAR,which extracts the Financial Policy factors and Macroeconomic factors through the factor analysis about the macroeconomic variables.The result shows that the monetary policy impacts the stock price performance,but the impact of the macroeconomic state to the stock prices and the stock prices to the macroeconomic and financial policies are both insignificant.The VAR（5） model which is based on the standard deviation is better to portray the relationship of stock market fluctuations,financial policy and macroeconomic than the VAR（3） model which is based on the return.