The paper focuses on the stock market wealth effect from 2002 to 2008 through the co-integration analysis, ECM model and state space model.The results indicate that China's stock market wealth effect is significantly existed from the long-run equilibrium relationship; China's stock market wealth change has a negative impact for consumption change, but not significantly; from the dynamic process of the MPC of the stock market wealth, the wealth effect and crowding-out effect of stock market is significantly existed.%本文利用2002-2008年的月度数据,利用协整分析、误差修正模型等现代计量经济方法和状态空间模型研究了中国股市财富效应问题.研究结果认为:从长期均衡关系看,我国股市财富效应是显著存在;从短期动态关系看,我国股市财富波动对全社会消费支出波动具有负影响但不显著;从股市财富的边际消费倾向的动态过程看,我国股市财富效应始终存在,但挤出效应同样显著.
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