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摘要自20世纪80年代以来，中国的房地产业经历了一系列突飞猛进的发展，在解决居民住房问题的同时，对推动国民经济发展也起着愈加重要的作用。它切实影响着老百姓的生活，关系着经济发展的潜力，更与国家宏观调控的各项经济政策紧密相关。本文选取宏观经济中最有代表性的部分——金融市场，将其分解为股票市场、信贷市场和汇率市场，连同房地产市场，利用EViews 6.0软件构建VAR和VEC模型，分析研究房地产价格（以下简称房价）的变化和金融市场波动之间有无互动关系，找出开放经济条件下房价波动与金融市场关联的传导机制。研究结果表明：贷款总额、股价、汇率对房价波动均存在贡献，且在短期内对房价有正向影响，在长期内逐渐趋于平稳；房价与贷款总额间的反应最为显著，且两者具有自我强化的循环作用，其次是股价；相对应，房价对贷款总额、股价、汇率同样存在贡献，除自身影响以外，房价波动是其他变量波动的最大贡献者。本文的目的在于对各经济指标之间的相互作用有更明晰的了解，为市场参与者的投资决策提供建议，为政策制定者提供参考。32958
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关键词 住房价格 金融市场 互动关系 VAR模型 VEC模型
毕业论文外文摘要
Title Correlation Analysis of Chinese Housing Prices and Stock Prices，Exchange Rates，The Amount of Loans and Other Economic Variables.
Abstract Since the 1980s,the rapid development of China's real estate plays an important role in solving the housing problems of residents and promoting economic development.It truly affects the lives of ordinary people, relates to the potential for economic development,and it has more to do with the economic policies of the national macro-control.This paper selects the most representative part of the macroeconomic——the financial market.It is pided into the stock market,credit market and foreign exchange market.In the way of building VEC model and VAR model by EViews 6.0,I analyzed the interaction between financial market volatility and changes in housing prices, found out the conduction mechanism of the housing price fluctuations on financial market in Open Economy.The results showed that:among the variables,the total amount of loans, stock prices, exchange rates have contribution to price fluctuations;they all have a positive response relationship in the short term,however,in the long term impact gradually tends to be stable;response of housing prices and the amount of loans is most significant,and the interaction has the cyclic self-intensified function,the second is the price;Besides,housing prices also make contributions to the amount of loans,stock prices and exchange rates.In addition to its influence,the price fluctuation is the greatest contributor to fluctuations in other variables.The purpose of this paper is to supplement and improve the related research,provide advice for investors and reference for policy makers,achieve the goal of controlling the risk of housing price fluctuations and maintaining stable economic development.
Keywords housing prices financial market interactive relationship VAR VEC
目 次
1 引言 1
1.1 问题的提出 1
1.2 研究意义 1
1.3 研究思路及方法 2
2 文献综述 4
2.1 房价与股票市场(变量)的关系 2
2.2 房价与信贷市场(变量)的关系 2
2.3 房价与汇率市场(变量)的关系 5
2.4 述评 6
3 待验证假说、数据与模型 7
3.1 待验证假说 7
3.2 数据说明 7
3.3 数据处理 9
3.4 数据检验 9
3.5 VAR模型12
4 实证分析14
4.1 平稳性检验14
4.2 协整检验14
4.3 建立VEC模型16