负利率环境下资本流向研究.pdfVIP

负利率环境下的资本流向研究 作者姓名： 孙瑞雪 指导教师： 张学勇 内 容 摘 要 利率作为资本的价格，对于资本流动具有重要的影响。储蓄、股市和房市是资本流 动的三大方向。负利率是实际利率为负的情况，这一不正常的经济现象必然会对资本在 股市和房市中的流动产生一定的作用。我国在经济发展过程中，经历过多次负利率时期。 2010年2月开始我国再度进入负利率区间。本文使用2003年2月－2010年10月的月度数 据，通过引入虚拟变量，建立ARDL模型对资本在股市和房市中流动进行实证分析。研究 表明，负利率对股市中的资本流动影响不显著，而对房市产生显著影响。负利率下，资 本有流入房市的趋向，且负利率对房市的资本流动存在一年期时滞效应。但是，这一作 用不能形成长期均衡效果。 关键词：负利率 房市 股市 ARDL模型 ABSTRACT As the price of capital, the interest rate plays a significant role in the flow of capital.Savings,stock market and real estate market are the three main destinations of the capital.Negative interest rate which means the real interest rate is negative will definitely have some effect in the capital flow.During the development of our economy, we have experienced many negative interest periods.Feburary ,2010 saw the reappearance of negative interest rate in our country.This paper study the influence of it in stock market and real estate market by analyzing the data from Feburary 2003 to October 2010.Through introducing the dummy variable and establishing the ARDL model, I draw the conclusion that the negative interest does play a significant effect the real estate market, while has little effect on stock market.Under the circumstance of negative interest rate, the capital tends to flow into the real estate market.In additon,the negative interest rate has a one-year delay effect on the real estate market.But,this effect can not reach long-run equilibrium. KEY WORDS: negative interest real estate market stock market ARDL model 1 目 录 一、国内外相关研究 1 二、负利率定义与历程 3 （一）负利率定义 3 （二）负利率历程 3 三、负利率的经济影响 5 （一）负利率对储蓄的影响 5 （二）负利率对投资的影响 5 四、经济计量方法 6 五、实证分析 7 （一）数据选择与处理 7 （二