摘要
随着我国房地产业的发展,房地产市场与金融市场的关系越来越密切,但国内尚无有关房地产市场与金融市场关系的实证研究。本文在实证分析中国1997到2003年间房地产市场与金融市场的月度数据基础上,建立两者之间的误差修正模型(ECM模型)。我们对ECM模型线性Granger因果检验,并对模型的残差项进行非线性Granger因果检验,发现房地产市场的发展与金融市场的发展长期之间存在着双向线性因果关系,但没有发现两者间的非线性的Granger因果关系。
The relationship between real estate market and financial market is becoming closer and closer in the development process of real estate industry of China. But there is not empirical research to the relationstlip yet. This paper gives the error correction model based on the real estate market and financial market monthly data during 1997 to 2003 of China. Then the linear Granger Causality to ECM is tested, and the nonlinear Granger Causality to the survival of the model is tested too. We find that there is two-way linear Granger Causality between the real estate market and financial market of China, but not nonlinear Gra,ger Causality.
出处
《管理工程学报》
CSSCI
2006年第2期1-6,共6页
Journal of Industrial Engineering and Engineering Management
