var案例分析报告

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1、VAR模型的应用举例1案例分析的目的股市对居民储蓄存款存在分流的作用。一般来说，若股市出现牛市，资金会从存款性金融机构流向股市，居民储蓄存款下降或者增速会减缓。从当前我国经济发展趋势来看，居民储蓄存款与股市交易额均呈上升趋势。那么两者是否存在相互影响呢？本案例将分析居民储蓄与股市之间的这种联动效应。2实验数据本实验选取从1996年到2008年4月的月度数据。整理如下。表1股市交易额与居民存款余额单位：亿元日期沪深股市交易总额居民储蓄存款余额日期沪深股市交易总额居民储蓄存款余额1996.1143.493230356.542002.43114.39279728.21996.263.94

2、16432026.252002.51924.59480394.31996.3217.75633296.482002.64303.07681711.791996.4873.422134018.532002.73227.30582527.91996.51163.7434622.12002.81946.36683275.971996.61812.86235457.912002.91460.39184139.051996.72718.6236048.672002.101181.98984725.131996.81685.59136705.82002.111908.61785693.4919

3、96.91862.16437085.172002.121781.22886910.651996.104012.437671.422003.13060.93390677.631996.113818.9737917.262003.21666.80292824.211996.124238.9238520.82003.32120.63794567.841997.11829.17939038.182003.45848.29795194.121997.21493.92540869.122003.53209.4596351.671997.34263.841580.972003.62557.159

4、7674.571997.45127.9242112.162003.72351.91798590.91997.54640.9642295.162003.81519.42799255.581997.63080.9542771.162003.91661.203100888.61997.72415.7343312.52003.101615.799101381.91997.81858.37843914.922003.112824.502102235.41997.91625.71344139.452003.124359.423103617.71997.102081.67344720.33200

5、4.13649.76109232.71997.111586.9545068.432004.27215.755110646.41997.121570.19546279.82004.35792.181111872.21998.11716.977464832004.45270.107112175.41998.21171.90648537.542004.51823.421112610.21998.31703.31248686.482004.62627.057113792.51998.43624.4448984.62004.72548.009114253.21998.53322.349700

6、2004.81880.649114489.61998.62593.349949.892004.93978.274115458.71998.71761.80550749.822004.102893.0651160011998.81497.88250900.912004.113045.002117617.91998.92149.00851580.742004.122094.784119555.41998.101861.7952247.772005.11754.347122237.31998.112194.2452952.322005.22021.07127823.41998.12104

7、0.05853407.52005.33047.432129259.41999.11138.81954293.672005.43036.061129816.81999.2334.019656767.452005.51497.376130577.41999.31757.27757814.652005.63177.354132339.11999.42063.44558369.072005.72243.73133656.41999.52719.5958967.842005.8