我国房地产价格与股票价格波动关系研究
毕业论文关键词：房地产价格；股票价格指数；向量自回归模型；格兰杰因果检验
Research on Volatility Relations between Real Estate Price and Stock Price
—Empirical Analysis Based on Weekly Data in 1998－2016
Abstract： Based on 1998-2016 weekly data of China's real estate prices and stock prices ,this article constructs VAR model to simulate the relationship between the two price volatilities , getting the following conclusions:(1)The real estate market price and the stock market price has positive correlation in the long term.(2)Stock market price is the one-way granger causality to the real estate market price in the short term.(3)The volatility of real estate market price makes no effect on the stock market price,but the latter is sensitive to the former in the short term．(4)Compared to the real estate prices, the stock price’s response to a shock is more obvious. Both prices and stock index react more intensely to the change from themselves, taking a long time back to the steady state.This article suggests that government department should curb excessive speculation in the stock market,in order to avoid further unreasonable growth of real estate prices; Investors should choose persified investment channels, treat the housing and stock market boom carefully. Key words: real estate price；stock price；VAR model；granger causality test
目 录
摘要1
关键词1
Abstract1
Key words1
一、引言1
二、文献综述2
（一）房地产价格与股票价格不存在显著的相关关系2
（二）房地产价格与股票价格存在正相关关系2
（三）房地产价格与股票价格存在负相关关系2
三、数据选取及样本描述3
四、我国房地产价格与股票价格波动关系实证分析3
（一）单位根检验4
（二）协整检验5
（三）格兰杰因果检验5
（四）向量自回归模型5
（五）方差分解6
（优尔）脉冲响应函数6
五、结论与建议7
致谢8
参考文献8
我国房地产价格与股票价格波动关系研究
一、引言
1998年7月，国务院研究决定将推动居民住房的商品化进程，坚持由市场这只“无形的手”调节商品房价格，彻底停止我国计划经济时期遗留的住房实物分配制度。这一重大的政策变革标志着我国房地产行业正式迈入市场化阶段。数据显示，截至2016年底房地产总投资额在我国国民生产总值中所占的比重接近19.2%，因为房地产行业的势头很大程度上也决定了电器、建材、能源等相关产业的发展，所以促进其有序健康发展是对我国经济长期稳定有升走势的重要保证。与此同时，我国股票市场也在近20年里不断扩张，不论是上市股票数量还是资金流入规模都成上升趋势，股市已经成为居民参与资本市场的一大重要途径。我国股市在近20年里多次发生巨大波动，相关政策与金融改革不断推进落实，一直是学术界的关注点。