中国股票市场价格与房地产市场价格联动性的研究

发布时间：2018-01-03 19:27

本文关键词：中国股票市场价格与房地产市场价格联动性的研究　出处：《暨南大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票市场与房地产市场在国民经济中占据举足轻重的地位。股票市场是中国资本市场必不可少的组成部分，也是国民经济的晴雨表，同时，被称为支柱产业的房地产的地位也不容忽视，它的兴衰则直接影响着数十几个庞大的行业，房屋建设与屋内装修等各个环节与国民经济中的某些行业如家电行业、玻璃行业、化工行业、建材行业等等有着千丝万缕的联系，起着牵一发而动全身的作用，贡献着我国GDP的绝大比例。股票市场与房地产市场的地位如此重要，它们之间也存在一定的关系，彼此相互影响。股票市场和房地产市场引起了我国学者的关注与研究，是我国学术研究的热点问题。以往的学者主要从银行信贷、货币供应量、国民经济发展总量，利率等方面分别对房地产市场和股票市场作出相关的研究，或是设立模型测量房地产经济的泡沫问题。实际上，房地产市场与股票市场之间有一定联系，一个市场的变化会引起另一个市场变化。研究房地产市场与股票市场，研究两者之间的关系从价格来入手是比较合适的，一方面原因在于两个市场的价格资料的获取非常简单易得，浅显直观，另一方面，价格涵盖的信息非常丰富。例如价格能充分反映市场的供求状态，也是市场繁荣景气与否的风向标。因此本文研究的重点放在两个市场价格的联动性之上。那么房地产市场与股票市场之间存在怎样的关系，价格联动机制是怎样的，背后的理论是什么，如何剖析两者联动的传导途径，这是本文试图解释的内容，也是本文研究的目的。本文将采用定性分析与定量分析两种方式来研究房地产市场价格与股票市场价格变动的关系，梳理自1998年以来房地产市场与股票市场的价格变动的脉络，研究两者的价格联动机制，试图深度剖析两个市场价格变动关系的深层机理。具体做法为，首先采用微观和宏观等理论对两个市场的价格变动关系作出理论阐释，接着使用计量经济学的模型进行实证研究，利用时间序列上的VAR模型和脉冲响应分析、格兰杰因果模型以实证的角度分析房地产市场与股票市场价格变动的关系。最后，，建立多变量的VAR模型，以银行拆借利率和贷款额、货币供应量作为变量研究资产价格波动的传导机制。本文主要的研究如下: （1）股票市场与房地产市场之间相互联系。建立VAR模型和脉冲响应模型来分析两者内部存在的关联性。在1998年-2013年，股票市场是房地产的格兰杰原因。且股票市场与房地产市场从长期来看有协整关系，存在一种稳定均衡的关系。（2）股票市场与房地产市场价格波动的传导机制。财富效应和信贷机制是促进股票市场价格与房地产价格的同向运动的原因，而资产组合理论下的资产替代则导致房地产市场与股票市场的负方向运动。宏观经济因素如利率、货币供应量、银行信贷、通货膨胀对股票市场的价格和房地产价格的影响较为复杂，不可简单地加以概论。总体来说，当我国经济繁荣，处于上行的经济周期阶段，利率较低，银行信贷是个宽松的环境，货币供应量增加以及温和的通货膨胀，使得经济的总需求增加，股票价格和房地产价格会同时上涨。当我国处于经济衰退的阶段，利率上升，银行信贷从紧，货币供应量减少，此时我国股票市场的价格与房地产市场的价格则有可能同时下跌。
[Abstract]:The stock market and real estate market to occupy a pivotal position in the national economy. The stock market is an indispensable part of China capital market, is the barometer of national economy at the same time, known as a pillar industry of the real estate status can not be ignored, it directly affects the rise and fall of several dozens of large industries, some industries link housing construction and house decoration and the national economy such as the home appliance industry, glass industry, chemical industry, building materials industry and so on are inextricably linked, plays a far-reaching role, contribution of GDP in China. The vast proportion of the stock market and real estate market is so important that there is the relationship between them, affect each other.
The stock market and real estate market and attracted the attention of scholars in China, is a hot issue of academic research in China. Previous scholars mainly from bank credit, money supply, the total development of the national economy, interest rates and other aspects respectively made relevant research on the real estate market and the stock market bubble, or set up model the measurement of the real estate economy. In fact, there is a certain relation between the real estate market and the stock market, a change in the market will cause another changes in the market. The study of the real estate market and the stock market, the relationship between the two studies from the price to start is more appropriate, one reason is that access to two markets the price data is very simple, simple and intuitive, on the other hand, the price covers the very rich information. For example, the price can reflect the market supply and demand condition, but also the market boom or not Vane. So this study focused on the linkage of the two market price. What is the relationship between the real estate market and the stock market, the price linkage mechanism is how, what is the theory behind, how to analyze the pathway of linkage, the dissertation attempts to explain the content of the thesis is purpose.
This paper will use qualitative analysis and quantitative analysis of two kinds of methods to study the real estate market prices and the stock market price movements, combing since 1998 the real estate market and stock market price changes in the context, the price linkage mechanism of the deep mechanism of depth analysis of two changes in the market price relationship. Try to practice for the first, price changes between the micro and macro theory on the two market to make theoretical explanation, empirical research and then use econometric model, using VAR model of time series and impulse response analysis, Grainger causal model analysis of the relationship between the price of the real estate market and the stock market changes in the empirical point of view. Finally, the VAR model of multi variables, the interbank interest rates and the amount of loans, money supply as the transmission mechanism of asset price fluctuation variables.
The main research in this paper is as follows:
(1) the relationship between the stock market and real estate market. The establishment of VAR model and impulse response model to analyze the relationship between internal existence. In 1998 -2013 years, the stock market is Grainger. The causes of real estate and stock market and real estate market from the long-term cointegration relationship, the existence of a stable equilibrium the relationship between.
(2) the transmission mechanism of the stock market and real estate market price fluctuations. The wealth effect and the credit mechanism is to promote the move in the same direction causes the stock market price and real estate price, and asset portfolio theory of asset substitution leads to the negative direction of the real estate market and the stock market. Macroeconomic factors such as interest rate, currency the supply of bank credit, inflation, price and real estate price on the stock market is more complex, can not simply be introduction. In general, when China's economic prosperity, in the upward economic cycle, the interest rate is low, bank credit is a relaxed environment, the increase in money supply and mild inflation, so that the total demand of economic increase, stock prices and real estate prices will rise at the same time. When our country is in the economic recession, rising interest rates, tightening of bank credit, money supply reduction, At this time, the price of our stock market and the real estate market may fall at the same time.

【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F299.23

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