中国楼市与股市关系的实证分析AnempiricalAnalysisoftheRelationshipbetweenChineseHouseMarketandStockMarket摘要楼市和股市是居民最主要的投资渠道，两者在资本市场有着举足轻重的地位。一方面资本市场在经济发展中有着极为重要的作用。2007年6月以后，我国的股票市值首次超过GDP，随着我国资本市场的完善和发展，其在促进经济改革和发展、完善金融资源配置方面的作用日益凸显。另一方面房地产是构成整个社会财富的重要部分。房地产价格决定着社会和居民的财富，它的发展影响着工业化和城镇化的进程，它的波动关系着金融体系的安危，也影响着宏观经济的稳定和发展。因此，股价与房价之间的关系研究对于稳定国民经济、增进居民福利具有十分重要的现实意义。针对近年来高居不下的房价和频繁波动股价的现状，论文选取了10个主要城市的住宅价格指数、写字楼价格指数、商铺价格指数作为楼市指标的维度和上证指数作对比分析，采集我国2005年1月至2017年12月间4个指标的月度数据作为样本数据，挑选时间序列模型对4个指标进行单位根检验，再用多元时间序列中的Johnson协整模型对股票市场和北京的住宅、写字楼和商铺市场的长期关系建立数学模型，并用VAR方法对模型的参数进行估计。根据模型分析楼市与股市的相互制约关系，且得出结论，住宅、写字楼和商铺价格指数会对上证指数产生影响，反之，影响则不明显。最后，提出房价的有效控制措施规范股票市场。关键词：楼市股市协整检验VARAbstractTherealestatemarketandthestockmarketisthemaininvestmentchannelsforresidents.Andbothplayadecisiveroleinthecapitalmarket.Ontheonehand,thecapitalmarketplaysanextremelyimportantroleineconomydevelopment.InChina,after2007,themarketvalueofstockexceededGDPforthefirsttime,whichwasincreasinglyprominenttopromotetheeconomyreformanddevelopmentandtoimproveallocationoffinancialresources.Ontheotherhand,therealestateisoneofthekeypartsofthewholesocietywealth.Therealestatepricesdecidethewealthofsocietyandresident,influencingthedevelopmentofindustrializationandurbanizationprocess.Andthefluctuationseffectthefinancialsystemandthestabilityanddevelopmentofmacroeconomy.Therefore,wewillreapthebenefitsofgivingaresearchtothedynamicrelationshipinordertoleveloffnationaleconomyandimproveresidentswelfare.Inviewofthecurrentsituationthatthehousepriceisveryhighandthesharespricefluctuatesfrequentlyinrecentyears.Andthepaperselectsresidentialindex,officebuildingindexandshopindexof10maincitiesastheindexofhousingmarketandtheShanghaistockindexasacomparativeanalysis.ThepaperusesourcountryinJanuary2005toDecember2017betweenthefourindicatorsofmonthlydataassampledata.Firstlythepaperchoosestimeseriesmodelsforunitroottestof4indexes;SecondlyusemultivariatetimeseriesofJohnsoncointegrationmodelofthestockmarketandtheresidential,officeandshopindexofBeijingtoestablishthemathermaticalmodelforlongtermrelationship;ThelastestimateparametersofthemodelbyVARmethod.Accordingtothemodeltoanalysistherealestatemarketandthemutualrestrictionrelationofthestockmarket.Andtheconclusionisthatthepriceindexofresidential,officeandshopwillhaveanimpactontheShanghaistockindex,andonthecontrary,theimpactisnotobvious.Finally,theeffectivecontrolmeasuresofhousepricesareputforward,andthestockmarketisstandardized.Keywords:therealestatemarket,thestockmarket,cointegrationmodel,VAR目录第一章绪论............................................................................................................................1第一节研究背景与意义......................................................................................................1第二节研究现状.......................................
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