运用VAR方法,选取1996年至2006年的季度数据,利用Johansen协整检验、Granger因果检验和冲击响应分析,实证检验了我国股票市场与宏观经济之间的关系。检验结果表明我国股票市场与实际经济之间存在长期均衡关系,但只存在经济增长对股票市场的单向因果关系,股票市场发展对经济增长的动态影响尚十分微弱。 Using the VAR method, the quarterly data from 1996 to 2006 were selected. The Johansen cointegration test, Granger causality test and shock response analysis were used to test the relationship between the stock market and macroeconomy in China. The test results show that there is a long-term equilibrium relationship between the stock market and the real economy in our country, but there is only one-way causal relationship between economic growth and the stock market. The dynamic impact of stock market development on economic growth is still very weak.