| The Li Keqiang Index can predict economy and make objectively and truly measuring China's economic development come true.Therefore the study can enrich the theoretical literature on the economy-stock relationship;improve economic regulation,capital market supervision and investor management.With the upgrading and transformation of the industrial structure,some indicators of the Keqiang Index are not applicable.Therefore,the article decides to use the total freight volume instead of the rail freight volume,the medium and long term loans of financial institutions instead of that of banks.At the same time,the article uses VAR model and MS-VAR model to study the linear and nonlinear relationships between the two,respectively.The results of the VAR model:(1)the two has a long-term stable positive correlation,one unit's change of the Shanghai Composite Index and the CSI 300 causes the Keqiang Index to change by 6.42 and 2.32 units,respectively;(2)there is a one-way Granger causality relationship from the stock market to the Keqiang index.The results of the MSIAH(2)-VAR(1)model:(1)the MS-VAR model significantly improves the fitting effect compared to the VAR model.the two has an obvious nonlinear correlation;(2)the stock return rate has an asymmetric effect on the volatility of the Keqiang Index,bases on the large differences in the two-zone system's coefficient parameters,conversion probabilities,duration,etc;(3)during the sample period,China's economy and stock market mostly stay in a more stable and low-speed growth state.This may be related to China's recent policies,such as strengthening supply-side structural reforms,transforming economic growth modes,etc,which have slow down the growth rates of economy and stock market.In the context of the new normal of economy,this low-speed growth state can help economy and stock market stay stable.Finally,the article put forward some economic policy recommendations according to the empirical results. |
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