【摘要】 利用变点检验、线性和非线性Granger因果检验的计量方法研究了房地产市场化改革完成后中国股票市场和房地产市场的关系。实证结果表明:上证综合指数和国房景气指数均为分段趋势平稳序列,外生冲击对二者只有短暂的影响;从房改完成后的历史数据来看,房地产市场在一定程度上成为中国国民经济的晴雨表,正在完善之中的中国股票市场与宏观经济走势的联系仍不十分密切;两者的互动关系表现为股市是房市的线性Granger先导,而房市在一定程度上对股市有滞后的非线性Granger的引导作用。更多还原

【Abstract】 Based on the multi-breaks test and linear and non-linear Granger non-causality test,this paper deals with the relationship between Shanghai Composite Index and House Prosperity Indices after the reforming of private housing of China is discussed in this paper.The empirical results show that both of them are trend-stationary serial around the breakpoints,thus exogenous shock could only have temporary impact on them;the real estate market is a good indicator of macroeconomic development while the stock market is less relevant to it;Shanghai Composite Index can linearly Granger-causes House Prosperity Indices,while House Prosperity Indices only non-linearly Granger-causes Shanghai Composite Index at longer time intervals.更多还原