樓市股市同货币政策关系的实证研究.doc

楼市、股市同货币政策关系的实证研究 ——基于广东省的VECM模型分析 广东金融学院 吴丹红、陈少丰、林晓昧 摘 要 房市和股市在一国和区域的经济发展中扮演着重要的角色,自中国房地产住房体制改革与股市股权分置改革以来,房地产和股票已经成为投资者投资组合中最重要的两种资产。近年来，广东省房地产产业发展迅猛，房价暴涨成为了社会关注的热点，也是中央和广东省政府部门调控的难题；随着我国股市的蓬勃发展，股价的波动吸引着大量货币资金进出资本市场，降低了货币需求的稳定性，影响到了中央银行的货币政策执行效应。如何理解房市、股市与同货币政策之间的关系，都具有很重要的现实意义。 本文将2000年-2010年广东省商品房平均销售价格、上证综合指数与M2的月度数据分为三个阶段，然后采用多元协整分析的Johansen检验，分别对各个阶段中的三个变量之间的协整关系进行分析与检验，建立VECM模型，第一阶段房价、股价与M2它们三者均不存在协整关系；第二阶段房价与M2，股价与M2存在长期协整关系；在第三阶段只有房价与M2之间存在一个协整关系，说明广东省房价、股价同M2之间的关系存在着明显的阶段性特征。在VECM模型的基础上构建脉冲反应函数，揭示了各个阶段房价、股价对M2随机扰动的反应过程，并对其进行分析。最后在数据分析的基础上对结果进行分析，并以此为基础，为相关决策部门提供政策建议。 关键词：房价 股价 M2 VECM 脉冲反应函数 阶段性特征 Abstract Housing market and stock market play an important role in one country and regional economic development. Since the reform of real estate housing system reform in China and the reform of stock right splitting in the stock market, real estate and stocks have become two of the most important assets in the portfolio of investors. In recent years, because of the rapid development of the real estate industry in Guangdong Province, real estate price inflation has become not only a focus of attention of the community, but also the challenges for Central and Guangdong provincial government departments to regulate and control. With the?vigorous development of?Chinese stock?market, the volatility of stock price attracted large amounts of currency funds inflowing and outflowing of the capital markets, reduced?the stability of money demand and affected?the effects of central?banks monetary?policy. How to understand the relationship among the real estate market、 the stock market and the monetary policy that have very important practical significance. This article divided the data into three stages that is the average sales price of commercial property in Guangdong Province, the Shanghai Composite Index and the trend of M2 from 2000 to 2010. Then we used Multivariate Johansen Cointegration Analysis to respectively analysis and test their Cointegration