本文關鍵詞：中國股票市場價格與房地產(chǎn)市場價格聯(lián)動性的研究　出處：《暨南大學》2014年碩士論文　論文類型：學位論文

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【摘要】：股票市場與房地產(chǎn)市場在國民經(jīng)濟中占據(jù)舉足輕重的地位。股票市場是中國資本市場必不可少的組成部分，也是國民經(jīng)濟的晴雨表，同時，被稱為支柱產(chǎn)業(yè)的房地產(chǎn)的地位也不容忽視，它的興衰則直接影響著數(shù)十幾個龐大的行業(yè)，房屋建設與屋內(nèi)裝修等各個環(huán)節(jié)與國民經(jīng)濟中的某些行業(yè)如家電行業(yè)、玻璃行業(yè)、化工行業(yè)、建材行業(yè)等等有著千絲萬縷的聯(lián)系，起著牽一發(fā)而動全身的作用，貢獻著我國GDP的絕大比例。股票市場與房地產(chǎn)市場的地位如此重要，它們之間也存在一定的關系，彼此相互影響。 股票市場和房地產(chǎn)市場引起了我國學者的關注與研究，是我國學術研究的熱點問題。以往的學者主要從銀行信貸、貨幣供應量、國民經(jīng)濟發(fā)展總量，利率等方面分別對房地產(chǎn)市場和股票市場作出相關的研究，或是設立模型測量房地產(chǎn)經(jīng)濟的泡沫問題。實際上，房地產(chǎn)市場與股票市場之間有一定聯(lián)系，一個市場的變化會引起另一個市場變化。研究房地產(chǎn)市場與股票市場，研究兩者之間的關系從價格來入手是比較合適的，一方面原因在于兩個市場的價格資料的獲取非常簡單易得，淺顯直觀，另一方面，價格涵蓋的信息非常豐富。例如價格能充分反映市場的供求狀態(tài)，也是市場繁榮景氣與否的風向標。因此本文研究的重點放在兩個市場價格的聯(lián)動性之上。那么房地產(chǎn)市場與股票市場之間存在怎樣的關系，價格聯(lián)動機制是怎樣的，背后的理論是什么，如何剖析兩者聯(lián)動的傳導途徑，這是本文試圖解釋的內(nèi)容，也是本文研究的目的。 本文將采用定性分析與定量分析兩種方式來研究房地產(chǎn)市場價格與股票市場價格變動的關系，梳理自1998年以來房地產(chǎn)市場與股票市場的價格變動的脈絡，研究兩者的價格聯(lián)動機制，試圖深度剖析兩個市場價格變動關系的深層機理。具體做法為，首先采用微觀和宏觀等理論對兩個市場的價格變動關系作出理論闡釋，接著使用計量經(jīng)濟學的模型進行實證研究，利用時間序列上的VAR模型和脈沖響應分析、格蘭杰因果模型以實證的角度分析房地產(chǎn)市場與股票市場價格變動的關系。最后，，建立多變量的VAR模型，以銀行拆借利率和貸款額、貨幣供應量作為變量研究資產(chǎn)價格波動的傳導機制。 本文主要的研究如下: （1）股票市場與房地產(chǎn)市場之間相互聯(lián)系。建立VAR模型和脈沖響應模型來分析兩者內(nèi)部存在的關聯(lián)性。在1998年-2013年，股票市場是房地產(chǎn)的格蘭杰原因。且股票市場與房地產(chǎn)市場從長期來看有協(xié)整關系，存在一種穩(wěn)定均衡的關系。 （2）股票市場與房地產(chǎn)市場價格波動的傳導機制。財富效應和信貸機制是促進股票市場價格與房地產(chǎn)價格的同向運動的原因，而資產(chǎn)組合理論下的資產(chǎn)替代則導致房地產(chǎn)市場與股票市場的負方向運動。宏觀經(jīng)濟因素如利率、貨幣供應量、銀行信貸、通貨膨脹對股票市場的價格和房地產(chǎn)價格的影響較為復雜，不可簡單地加以概論�？傮w來說，當我國經(jīng)濟繁榮，處于上行的經(jīng)濟周期階段，利率較低，銀行信貸是個寬松的環(huán)境，貨幣供應量增加以及溫和的通貨膨脹，使得經(jīng)濟的總需求增加，股票價格和房地產(chǎn)價格會同時上漲。當我國處于經(jīng)濟衰退的階段，利率上升，銀行信貸從緊，貨幣供應量減少，此時我國股票市場的價格與房地產(chǎn)市場的價格則有可能同時下跌。
[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.

【學位授予單位】：暨南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F299.23

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