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文檔簡介
1、本文研究了宏觀經(jīng)濟變量和印度尼西亞股票市場(如雅加達綜合指數(shù))之間的長期均衡及格蘭杰因果關(guān)系。宏觀經(jīng)濟學(xué)變量用貨幣供應(yīng)量(M2)、月存款利率、BIC利率、通貨膨脹率、匯率以及雅加達綜合指數(shù)，所采用的方法是 Johansen多變量協(xié)整檢驗方法和向量自回歸模型中的格蘭杰因果檢驗方法。
本文的研究結(jié)果表明，宏觀經(jīng)濟變量和股票市場即存在長期均衡關(guān)系也存在格蘭杰因果關(guān)系。本文協(xié)整檢驗的結(jié)果表明，宏觀經(jīng)濟變量和股票市場之間存在一個協(xié)整
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