房地产场和金融场关系实证研究.docVIP

房地产市场和金融市场关系的实证研究 ——基于协整理论和偏最小二乘法 四川大学 王旭辉、罗太波、丁宏伟 摘 要 房地产市场和金融市场在现代经济中具有独特的地位和作用，两个市场的发展存在着密切的联系。研究房地产市场与金融市场的互动关系，对于推进两者的共同发展具有十分重要的现实意义。本文采用1994年到2009年房地产市场与金融市场的相关统计数据，通过协整分析发现金融市场与房地产市场存在长期的均衡关系，利用格兰杰因果检验判断两者之间的因果关系。采用主成分分析法获得金融指标交互组合形成因子，构建偏最小二乘法模型分析形成因子对房地产市场的影响，并使用协整检验验证回归的有效性，得到形成因子与房地产市场的误差修正模型。最后根据本文的研究结论提出相应的对策建议。 关键字：房地产市场；金融市场；协整理论；偏最小二乘法 An Empirical Study on Relationship between Real Estate and Financial Markets — Based on the Cointegration Theory and Partial Least Squares Abstract: Real estate market and financial market play a unique role in the modern economy. There is a close relationship between the developments of the two markets. The study on the interacion between the two markets has significant practical meaning in promoting the development of the two markets. This paper analysed the statistics of the real estate sales and the financial market of China from 1994 to 2009. By using cointegration theory, a long-term equilibrium relationship between the financial market and the real estate market was found. The causal relationship between the two markets was determined by using Granger causality test. The interacted factors were obtained by using the principal component method. Then a PLS model was built to evaluate the effect of interacted factors to the real estate market. The cointegration test was conducted to verify the validity of the PLS model. Then an error correction model of the interacted factors and the real estate market was built. Key words: Real estate market; Financial market; Cointegration theory; PLS朗读显示对应的拉丁字符的拼音字典 1 问题描述 2003年国务院下发《国务院关于促进房地产市场持续健康发展的通知》，其中明确指出：“房地产行业关联度高，带动力强，已经成为国民经济的支柱产业。”[1]近年来我国房地产市场投资增速迅猛。1995-2009年，我国房地产业固定资产投资额逐年攀升（见图1-1），特别是1998年实行住房市场化以后，一直维持着10%以上的增长率。2009年，房地产业投资规模突破49358.5亿元，投资额增长率维持在22%的高位，房地产业投资额占总固定资产投资的比重超过1/5。1998年以后，房地产业投资额占GDP比重亦逐年增加（见图1-2），2009年已经达到14%。随着房地产市场规模的不断扩大，保证其持续健康发展也就显得越来越重要。 图1-1房地产业投资情况图 图1-2房地产业投资额占GDP比重 资料来源：《中国统计年鉴1996~2010》 同时，房地产业属于资金密集型产业，其投资规