Empirical Research On Spillover Effect Between The Factor Of The Stock Market And The Factor Of The Credit Market The Money Market And The Real Economy

The development of world economy towards integration nowadays leads to closer ties and more complex relationship among the financial markets. Many countries continue to increase the opening-up in financial markets, and large amounts of capital will accelerate the global free flow. Economic globalization contributes to wide communication and development of economy, but also aggravated the interdependency between global economic and financial markets, so any local fluctuations in regional financial markets will spread quickly to other markets. The outbreak of U.S. subprime mortgage crisis spread to the global financial markets and the real economy, and triggered a worldwide financial crisis. China, as one of the emerging market countries, is also affected to some different degrees.Based on the U.S. subprime mortgage crisis, China's stock market experienced an unprecedented bull market and bear market, choose the time as a starting point, in this dissertation, it select three years monthly data before and after the financial crisis to carry out the empirical research on spillover effect between the factor of the stock market and the factor of credit market, currency market and real economy. In this dissertation, it select fixed assets investment, industrial added value, total retail sales, import and export value, state revenue, the consumer price index and macro prosperity index to measure real economy, by using the method of principal component analysis to reduce its dimensional to get the real economy's composite index. By using Granger causality test, VAR model, Variance decomposition and impulse response function methods to analysis the change of spillover effects and its influencing duration before and after the sub-prime crisis. And it use variance decomposition to analyze the strength changes of spillover effects between the factor of the stock market and the factor of the credit market, the money market and the real economy, and use the impulse response function methods to analyze the the influencing duration changes of spillover effects between the factor of the stock market and the factor of the credit market, the money market and the real economy. Research results show that the spillover effect from stock market to credit market, money market and real economy has increased to some different degrees after subprime mortgage crisis. And the spillover effect and its influencing duration from credit market to stock market has increased. The spillover effect from money market and real economy to stock market has reduced. And the dissertation puts forward relevant countermeasures and proposals hoping our financial markets and the real economy can develop better and faster.