Analysis Of The Macroeconomic Factors Impact On Our Stock Price Based On BVAR Model

There has a lot of factors that influence stock prices. Because macroeconomic factors havean impact on each member in the stock market, they are very important factors. Therefore thispaper separately analyzes their impact on the stock price from the macroeconomic condition,fiscal policy and monetary by constructing model. In this paper, coincident index、CPI、importvalue、export value and industrial added value growth rate are chosen as the indicators of thestate of the macroeconomic situation; we chose stamp duty on securities as the indicator of fiscalpolicy and stock prices; The monetary policies have M2growth rate、M1/M2、the one-yeardeposit rate, and the RMB against the U.S. dollar exchange rate. This paper construct BayesianVAR model to analyze the influence of the economy state、fiscal policy and monetary policy tothe Shanghai Composite index from January1999to December2013. The Bayesian VAR modelhas an advantage that it overcomes the shortcoming of VAR model’s excessive parameters. Atthe end, this paper get these conclusions: the stock market run basically consistent with the stateof the economy; stamp duty on securities doesn’t impact on the stock price in the longterm; theimpact of monetary policy on the stock market has a six months lag and their relationship is notvery clear.