中国房市与股市波动的分段引致关系研究

本文运用Chow Breakpoint检验、Augment Dickey-Fuller检验、EG协整检验、Granger-cause检验等计量方法,利用1998年1月～2007年1月的数据对我国房市与股市波动的相关性进行实证研究。研究表明我国房市与股市的波动具有显著的分段相关关系、轮动引致关系。本文认为,实行宏观调控政策时,应当对房市和股市进行系统的调控,避免调控这个市场的风险的政策,使风险转移到另一个市场,造成调控政策的失效。

China real estate and stock market fluctuation's subsection reducing relation research

Based Chow Breakpoint test, Augment Dickey-Fuller test, EG co-integration test, Granger-cause testing and other measurement methods, we used the data on China's real estate market and stock market, which covers the period from January 1998 to January 2007, to study phase correlation on fluctuations between them. Research shows that the fluctuation in China's real estate market is significantly related to that of stock market. There are phase correlation and mutual causal relationship between China's real estate market and stock market. This paper presents that, the policies to control risk in one market will make risk transfer to another market. The real estate market and stock market should be controlled systematically, lest failure of the policies on the two markets.