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Research on the Relationship between Macroeconomic Fluctuation and Financial Market Based on VAR Model

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DOI: 10.23977/ICEESR2023.040


Ranpu Zhu

Corresponding Author

Ranpu Zhu


This paper aims to study the relationship, mutual influence and feedback effect between macroeconomic fluctuations and financial markets using a VAR model. A VAR model was constructed using six varibles: GDP growth rate, CPI, interest rate, exchange rate, stock index, and bond yield. The study shows that macroeconomic fluctuations greatly impact financial markets, especially interest rates, and exchange rates have a greater impact on stock indices and bond yields. Equity indices have a positive impact on GDP growth and CPI, while bond yields have a negative impact on GDP growth. Finally, the paper makes some policy recommendations and suggests for future research directions.


VAR model; Macroeconomic fluctuations; Financial market

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