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本文以1996—2015年的房地产价格和股票价格数据为支撑,在对以往相关文献进行梳理的基础上,首先选取DCC-MGARCH(Dynamic Conditional Correlation)模型就我国房地产市场和股票市场的动态关联机制进行了实证研究,得出了房地产市场投资惯性较强,股票市场稳定性较差;两个市场的相关性具有时变特征且大部分时间内为正,但在“新常态”时期出现的两市场价格“背道而驰”的现象会持续较长时间等结论。而后基于状态空间模型探讨了影响两者相关性的主要因素,得出了该相关性受经济增长的影响最为显著,其次为货币政策;现阶段货币政策对相关性具有正向影响,而经济增长对相关性具有反向作用;近期内货币政策是一种稳健的调控手段等结论。本文提出了政府应对股价和房价的水平值和波动性同时予以监测,增强两市场的稳定性的建议,同时要兼顾政策在两个市场之间的“溢出效应”等政策建议。
Based on the related literatures in the past, based on the DCC-MGARCH (Dynamic Conditional Correlation) model, the dynamic correlation mechanism between the real estate market and the stock market in our country was supported by real estate price and stock price data from 1996 to 2015. The empirical research shows that the inertia of investment in the real estate market is strong and the stability of the stock market is poor. The correlation between the two markets has time-varying characteristics and is positive for most of the time. However, in the period of “new normal ”, Two market prices “contrary” phenomenon will continue for a long time and other conclusions. Then, the main factors affecting the correlation between the two are explored based on the state-space model. It is concluded that the correlation is most significantly affected by economic growth, followed by monetary policy. At the present stage, monetary policy has a positive impact on the correlation, while economic growth The opposite has an effect on the correlation; the recent monetary policy is a sound means of regulation and other conclusions. This paper puts forward some suggestions that the government should monitor the level and volatility of stock prices and house prices at the same time to enhance the stability of the two markets. At the same time, we should take into account policy recommendations such as “spillover effect” between the two markets.