摘要
房地产市场与股票市场之间的相关关系受到学者们的广泛关注,但两市场之间的联动效应是否会对实体经济产生影响还有待检验。从DCC-MGARCH模型中提取出房地产市场变量与股票市场变量的动态条件相关系数,以此来表征两市场的联动效应,发现房地产市场与股票市场的相关关系具有明显的时变特征,尤其是2014年中国经济进入“三期叠加”新阶段以后,由正向联动为主转为负向联动为主。进一步地,基于中国宏观经济2000—2018年的月度数据,运用自回归分布滞后模型和脉冲响应分析等方法,实证考察了两市场之间的联动效应对固定资产投资产生的影响,从新的视角对虚拟经济与实体经济的关系进行探究。结论是:房地产市场与股票市场的正向联动对于固定资产投资增长具有显著推动作用,而房价和股价的增长都抑制了固定资产投资增长。因此,深化资产市场体制改革,在进行政策调控时考虑对房地产市场与股票市场相关性的影响,促进房、股两市正向联动,有利于固定资产投资增长和经济的长远发展。
The relationship between the real estate market and the stock market has been closely observed by scholars,but whether the linkage effect between the two markets has an impact on the real economy remains to be examined.This paper extracts the dynamic conditional correlation coefficient of real estate market variables and stock market variables from DCC-MGARCH model to characterize the linkage effect between the two markets.It is found that the correlation between the real estate market and the stock market has obvious time-varying characteristics,especially after China's economy entered the new stage of"three-phase superposition"in 2014,it has changed from positive linkage to negative linkage.Furthermore,based on the monthly data set of China's macro-economy from 2000 to 2018,using the methods of ARDL model and impulse response analysis,this paper empirically investigates the impact of the linkage effect between the two markets on fixed asset investment,and explores the relationship between the virtual economy and the real economy from a new perspective.The conclusion is:the positive linkage between the real estate market and the stock market has a significant role in promoting the growth of fixed asset investment,while the growth of housing price and stock price inhibit the growth of fixed asset investment.Therefore,deepening the reform of the asset market system,considering the impact on the correlation between the real estate market and the stock market when carrying out policy regulation,and promoting the positive linkage between the two markets are conducive to the growth of fixed asset investment and long-term economic development.
作者
李增刚
杜舒康
LI Zenggang;DU Shukang
出处
《济南大学学报（社会科学版）》
CSSCI
2021年第4期100-114,159,共16页
Journal of University of Jinan:Social Science Edition
作者简介
李增刚,经济学博士,山东大学经济研究院教授、博士生导师;通讯作者:杜舒康,南开大学商学院博士生。
