资产价格波动差异:由股市与房价观察

The Different Volatilities of Asset Price:View from Stock and Residential Markets

我国股票市场和住宅市场的"市盈率"与货币幻觉代理变量通货膨胀率、名义利率呈现明显的反向关系,即在高通胀时,市场被低估;在低通胀时,市场被高估。通货膨胀通过货币幻觉,影响资产估值高低。股市的市盈率波动幅度远大于住宅市场,股票价格波动主要来自估值倍数变化;而住宅的估值倍数波动小,房价波动更多地受到了估值倍数与租金变化的综合影响。

In China, the price-earning ration （P/E） in both stock market and residential market is inversely correlated to inflation and nominal interest rate, which are the proxies of money illusion. It means that when the inflation is high, the asset price may be undervalued, and in contrast, a low inflation will probably leads to an overvalued price. Inflation influences the valuation of asset via money illusion. The volatility of P/E in stock market is much higher than that in residential market. The volatility of stock price is mainly resulted from the fluctuation of P/E. However, as P/E in the residential market has little changes, housing price is more affected by the combination of price-earn- ing ration and the change of rent.