结构突变下的中国股票市场和房地产市场-金融工程专业论文.docxVIP

-一————————————————————————————————一ABSTRACT -一————————————————————————————————一 ABSTRACT In me first part of the paper,the theory of equal marginal benefit and credit cYcle and stock are ap口lied to analyse the inner mechanism of interaction of real estate pnce ln the field a‘e Drice，and the relative researches of both domestic and abroad scholars reviewed，The long term and short term interaction of the two markets and搬e the possible磊lctors that drives them is al so proposed in this part．In the second part of paper，the econometric model used in this paper and their evolutions IS 111ust。ated·In of the year of 1 998，the housing system of China was transferred from and regulatlon stock markethad been constricted．But the econometric method applied by domestlc sch01ars to study the two markets are mostly cl assical ones，there are few researches that took structu．ral breaks into consideration in analysing the interaction of the two markets．Since the existence of structural shifts would bias the resutt of statl onary test，which could lead to mendacious result in cointegration analysis and misleading test conclusions．To make up for this shortcoming，the multiple structural breaks the Shanghal developedbv Bai and Perron is introduced in the third part to analyse Indlces whlch Composite Index which represents stock market，and House Prosperity are trel3d statlonary represents real estate market．The results exhibits that both index of series，exogenous shocks only have temporary effects both series·The results wlth mac。o multiple structural breaks shows that real estate market is synchronlse economy．while the stock market only loosely relates to macro economy· Keywords：structural breaks：non—linear Granger；interaction 中国科学技术大学学位论文原创性声明本人声明所呈交的学位论文，是本人在导师指导下进行研究工作所取得的成 中国科学技术大学学位论文原创性声明 本人声明所呈交的学位论文，是本人在导师指导下进行研究工作所取得的成 果。除已特别加以标注和致谢的地方外，论文中不包含任何他人已经发表或撰写 过的研究成果。与我～同工作的同志对本研究所做的贡献均已在论文中作了明确 作者签名： 弛 的睨明。 签字同期：塑缨：笸』堡 中国科学技术大学学位论文授权使用声明 作为申请学位的条件之一，学位论文著作权拥有者授权中国科学技术大学拥 有学位论文的部分使用权，即：