地产类股票价格与短期利率动态相关性的实证分析
发布时间：2018-10-18 06:31
【摘要】：本文针对2002年至2011年间短期利率的调整以及对应时间的上证地产股票价格指数的波动状况进行研究，结合ARMA模型和平滑转换回归(STR)模型对数据进行实证分析，探索利率调整与地产指数变动之间的关系。本文研究中采用的利率为一年期的存款利率，依据是一年期的存款利率是基准利率，其他各类资金利率都是由此推算而出。全文共围绕了二个问题进行了展开，利率调整是否真的对地产类股票价格产生了影响？如果有影响，，那么这种影响导致利率调整和上证地产指数波动存在怎样的关系？围绕这二个问题，全文共分三个部分，第一部分主要阐述我国短期利率及地产类股价指数的变动情况；这部分主要介绍近几年我国政府对经济进行调控的货币政策和房地产上市企业股票价格的变动状况，以及政府对股市及房地产业的调控政策。第二部分主要是样本数据的处理以及模型的选定；本文选取了2002年至2011年利率变动以及上证地产指数随之变动的数据。针对货币政策传导机制中可能存在的线性和非线性关系，本文选用了ARMA模型和平滑转换回归(STR)模型。第三部分是实证分析以及研究结论。在实证分析过程中，我们引入了转换函数，从分析结果来看，利率与上证地产指数之间存在非对称关系，利率作为转换变量时，当其统计量等于0.24时，转换函数值等于0，当其与0.24的差的绝对值较大时，转换函数值等于1，此时利率与上证地产指数表现出区别与ARMA模型时的对称关系。
[Abstract]:This paper studies the adjustment of short-term interest rate from 2002 to 2011 and the fluctuation of Shanghai real estate stock price index in the corresponding time, and makes an empirical analysis on the data by combining ARMA model and smooth conversion regression (STR) model. Explore the relationship between interest rate adjustment and real estate index changes. The interest rate adopted in this paper is one year deposit rate, which is based on the base interest rate of one year deposit rate, and the other kinds of fund interest rates are derived from it. The full text has carried on the development around two questions altogether, whether the interest rate adjustment has really had the influence to the real estate stock price? If so, what is the relationship between the interest rate adjustment and the volatility of the Shanghai real estate index? Around these two problems, the full text is divided into three parts, the first part mainly expounds the changes of short-term interest rate and real estate stock price index in China; This part mainly introduces the monetary policy of our government to regulate the economy in recent years, the change of stock price of real estate listed enterprises, and the government regulation policy on stock market and real estate industry. The second part is the processing of sample data and the selection of model. This paper selects the data of interest rate change from 2002 to 2011 and the change of Shanghai real estate index. Aiming at the possible linear and nonlinear relations in monetary policy transmission mechanism, this paper chooses ARMA model and smooth conversion regression (STR) model. The third part is empirical analysis and research conclusions. In the process of empirical analysis, we introduce the transformation function. From the analysis results, there is an asymmetric relationship between interest rate and Shanghai real estate index. When interest rate is a variable of conversion, when its statistic is equal to 0.24, The value of the conversion function is equal to 0. When the absolute value of the difference between it and 0. 24 is large, the value of the conversion function is equal to 1. At this time, the interest rate and the real estate index of Shanghai Stock Exchange show the symmetry relationship between the interest rate and the real estate index of Shanghai Stock Exchange.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F293.3;F822.0;F832.51
本文编号：2278287
[Abstract]:This paper studies the adjustment of short-term interest rate from 2002 to 2011 and the fluctuation of Shanghai real estate stock price index in the corresponding time, and makes an empirical analysis on the data by combining ARMA model and smooth conversion regression (STR) model. Explore the relationship between interest rate adjustment and real estate index changes. The interest rate adopted in this paper is one year deposit rate, which is based on the base interest rate of one year deposit rate, and the other kinds of fund interest rates are derived from it. The full text has carried on the development around two questions altogether, whether the interest rate adjustment has really had the influence to the real estate stock price? If so, what is the relationship between the interest rate adjustment and the volatility of the Shanghai real estate index? Around these two problems, the full text is divided into three parts, the first part mainly expounds the changes of short-term interest rate and real estate stock price index in China; This part mainly introduces the monetary policy of our government to regulate the economy in recent years, the change of stock price of real estate listed enterprises, and the government regulation policy on stock market and real estate industry. The second part is the processing of sample data and the selection of model. This paper selects the data of interest rate change from 2002 to 2011 and the change of Shanghai real estate index. Aiming at the possible linear and nonlinear relations in monetary policy transmission mechanism, this paper chooses ARMA model and smooth conversion regression (STR) model. The third part is empirical analysis and research conclusions. In the process of empirical analysis, we introduce the transformation function. From the analysis results, there is an asymmetric relationship between interest rate and Shanghai real estate index. When interest rate is a variable of conversion, when its statistic is equal to 0.24, The value of the conversion function is equal to 0. When the absolute value of the difference between it and 0. 24 is large, the value of the conversion function is equal to 1. At this time, the interest rate and the real estate index of Shanghai Stock Exchange show the symmetry relationship between the interest rate and the real estate index of Shanghai Stock Exchange.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F293.3;F822.0;F832.51
【参考文献】
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