Impacts of The Macroeconomic Environment on Financial Markets--Empirical Study Based on VAR Modeling

Zhenyao Wang ()
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Zhenyao Wang: Nanjing Audit University

A chapter in Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024), 2025, pp 181-192 from Springer

Abstract: Abstract In the modern economic system, the interactions between macroeconomic variables and financial markets constitute a complex and closely related network of relationships. This study aims to systematically analyze the impact of macroeconomic variables on China’s financial market and its transmission mechanism. In this paper, the monthly total import and export, consumer price index (CPI), money supply (M2) and unemployment rate from January 2018 to April 2024 are selected as the main macroeconomic indicators, and the SSEC composite index and interbank lending rate are taken as the representative variables of the financial market, and a vector autoregression (VAR) model is constructed to reveal how the above macroeconomic variables affect the financial market through multiple paths of The VAR model is constructed to reveal how the above macroeconomic variables affect the dynamics of the financial market through multiple paths. Finally, it is concluded that the total amount of import and export, money supply and unemployment rate have a negative impact on the interbank lending rate, while the consumer price index has a positive impact on it; the SSEC index is weakly affected.

Keywords: Macroeconomics; financial markets; vector autoregressive model (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-652-9_19

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DOI: 10.2991/978-94-6463-652-9_19

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